pizanno - I've had those same little voices in my head over the shot clock. (So, first thing in the morning, get that doctor's appointment, ok?

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I believe you're right, in that game clocks (that don't show tenths) drop immediately from 8:00 to 7:59 as soon as it's turned on, which means 7:59 means 7:59.9 down to 7:59.0, and thus, when the clock shows 0:00, the horn won't go off immediately because the actual time is between 0:00.9 and 0:00.1. I've also seen shot clocks that do as you say, where there is a delay from starting it until it goes down a click. However, from what I've seen, the horn goes off as soon as that clock shows 0.
So, my only suggestions to your problem would be:
1) Was the shot-clock horn on? On many scoreboard consoles, the horn can be turned on and off, so in your situation, was the horn possibly turned off at that moment?
2) Is there a chance different manufacturers would make their units operate differently, so that there would be some shot clocks out there that operate the same as game clocks? So, when the shot clock is turned on, it immediately clicks down to 34, therefore, when it shows 0, there is still .9 to .1 actually left.
3) When you "tested" the clocks that showed a delay between starting and showing a change in digits, were you sure those clocks also had a delay between showing 0 and the horn?
4) Have you considered medication?