Investigating CTP Level-1 Futures Tick Discrepancies
Summary
The author asks why a CTP feed recorded a Level-1 tick for a Shanghai Futures Exchange contract even though trade volume was zero and the displayed prices and quantities matched the preceding half-second snapshot. A third-party Ricequant dataset had no record at that timestamp, raising a question about differences between the two feeds.
The post provides a specific timestamped observation but no answer, diagnosis, or evidence establishing which feed is correct. It does not determine whether the extra update reflects feed behavior, recording or timestamp conventions, or a data issue. It is a useful description of a market-data validation problem, but offers no resolution or method for reconciling the sources.
Key ideas
- The author observed a CTP tick with unchanged displayed prices and quantities and zero trade volume.
- A third-party dataset did not contain a record at the same timestamp.
- The post asks about the discrepancy but provides no explanation or confirmed source of error.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.