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BitMEX / api-connectors

Libraries for connecting to the BitMEX API.
https://www.bitmex.com/app/restAPI
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orderBookL2 and orderBookL2_25 mesasge timestamps #287

Open theproper opened 5 years ago

theproper commented 5 years ago

When subscribing to these two websocket topics messages don't seem to contain the timestamp field. This field is crucial for determining the delay of the message, eg how much time passed since the server sent the message... Messages from orderBook10 and all other subscription topics contain the timestamp field.

Is there any other way of determining the delay of orderBookL2 and orderBookL2_25 messages or I'm missing something?

datourezi commented 5 years ago

same question

derekpankaew commented 5 years ago

I'd love to know the answer to this as well.

robertvo commented 5 years ago

This is a must have feature for any serious algo trading, I can't believe BITMEX left it out.

thaaddeus commented 4 years ago

It would be really awesome new year improvement, adding timestamp shouldn't break any existing clients anyway and would allow robust tracking of latency of order book messages (exchange send timestamp and local timestamp comparisons etc).

hiteshbhatia3559 commented 4 years ago

Its now been over a year since this issue was opened, its hilarious to not have this. Please add source/exchange timestamps!!!!