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- 1$\begingroup$ The two approaches are to (1) store all timestamps in UTC, or (2) to store all timestamps in the local time of that exchange and to maintain a database of UTC offsets for exchange/date pairs. $\endgroup$chrisaycock– chrisaycock2013-09-28 16:04:38 +00:00Commented Sep 28, 2013 at 16:04
- 1$\begingroup$ Be sure to look at this answer: quant.stackexchange.com/questions/7650/data-synchronization $\endgroup$vanguard2k– vanguard2k2013-09-30 07:39:25 +00:00Commented Sep 30, 2013 at 7:39
- $\begingroup$ Thank you for your answer. Unfortunately I'm not sure if I can give precise examples since that might be disclosing proprietary information but it definitely is an issue that we've been struggling with, especially when there are proxies that could be used to estimate relationships (thinking NX Nikkei futures and S&P 500). $\endgroup$Matthew McMaster– Matthew McMaster2013-10-03 01:52:05 +00:00Commented Oct 3, 2013 at 1:52
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