Tick data with two timestamps...

[626]

I want to use some tick-data for some research. However, the data that I have has two timestamps for each record. It looks something like the following:

trade_report, 08:03:08.171, 08:03:08.090, ...
quote_update, 08:03:08.611, 08:03:08.624, ...
quote_update, 08:03:08.711, 08:03:08.723, ...

Does anybody have any idea of why there are "two" timestamps? They are only few milliseconds apart, but I can only guess what each one is.

I would appreciate the help.

 

[theknifemac]

If one timestamp is always later than the other, I would guess the earlier one is when the exchange reported the trade and the other is when the market data vendor published it