Why is 'E' event timestamp used instead of 'T' transaction time in Binance Futures depth update? Shouldn't it use 'T' transaction time? #54

nkaz001 · 2024-03-13T14:54:53Z

In the Binance Futures depth stream, the event timestamp is actually the send timestamp, and the transaction timestamp is the actual time at which matching happens. When examining the stream data, the transaction timestamp precedes the event timestamp. If we use the event timestamp, it results in lower latency and leads to inaccurate backtesting results.

Does historical data also use event timestamp?

nkaz001 · 2024-03-13T14:57:34Z

for instance,
1710340597530784 {"stream":"btcusdt@depth@0ms","data":{"e":"depthUpdate","E":1710340597717,"T":1710340597716,"s":"BTCUSDT","U":4171697482390,"u":4171697488761,"pu":4171697482344,"b":[["1000.00","172.609"] ...

thaaddeus · 2024-03-14T07:06:21Z

historical data also uses event timestamp currently

nkaz001 · 2024-03-14T08:57:07Z

could you add transaction time in the historical data? or could you consider replacing event time with transaction time?

thaaddeus · 2024-03-14T12:37:23Z

I will consider it, please vote on https://roadmap.tardis.dev/feature-requests

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Why is 'E' event timestamp used instead of 'T' transaction time in Binance Futures depth update? Shouldn't it use 'T' transaction time? #54

Why is 'E' event timestamp used instead of 'T' transaction time in Binance Futures depth update? Shouldn't it use 'T' transaction time? #54

Why is 'E' event timestamp used instead of 'T' transaction time in Binance Futures depth update? Shouldn't it use 'T' transaction time? #54

Why is 'E' event timestamp used instead of 'T' transaction time in Binance Futures depth update? Shouldn't it use 'T' transaction time? #54

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