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Hello,
Use Google.
http://schumer.senate.gov/new_website/record.cfm?id=319137
for report obligations see "Daily and Standardized reporting" and below.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "sanjiv" <sumangalam@xxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Tuesday, November 24, 2009 12:19 AM
Subject: [amibroker] Re: Tick data, how important is bids/asks?
> Hello Mr. Tomasz Janeczko,
>
> Just being curious: does the TimeStamp on the 90 second delay reported trades happen to be the TimeStamp of actual trade or the
> TimeStamp of reporting? If the TimeStamps are Reporting times then the OHLC Bars could also be distorted.
>
> Further, it will be nice to know more about ""alternative trading systems" (dark pools among others)". Any links please!
>
> With Regards
>
> Sanjiv Bansal
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@xxx> wrote:
>>
>> Hello,
>>
>> Bid and asks are sent by IQFeed and eSignal and IB,
>> and they are shown in Time&Sales window in AmiBroker.
>> http://www.amibroker.com/guide/w_timesales.html
>>
>> Historical data is different story. Various feeds supply various information.
>> IB does not deliver tick historical data at all (best resolution is 1 second).
>> IQFeed as written below delivers historical tick data in form of TRADES only.
>> eSignal depending on request you send can deliver trades only, bid/ask only or both (including
>> all bid/ask changes that happen *between* trades).
>> Access to historical bid/ask was not given in form of arrays in AB because
>> of differences outlined above (only some sources deliver necessary info), and because
>> there was no room in quotation structure. With recently introduced changes (added aux1/aux2 fields)
>> now it is technically possible to deliver historical bid/ask matching trade records (the way IQfeed does)
>> but that requires extra code in the plugin(s) and it is under development.
>>
>> Note also that in the past I have been doing research on bid/ask relationship vs trade prices
>> and found that there is really lots of manipulation occuring on bid/ask and level2 books and
>> hypothesis that relationship between bid/ask/trade is market driving force was found to be false.
>> People often forget that nowadays lots of trades come from dark liquidity pools as they are required
>> to report trades made but they are not required to report quotes (bid/ask) so they don't appear
>> in order books *at all*. You won't see any quote from dark pools. You will see the trades, but they
>> are reported with delay as large as possible.
>>
>> So called "alternative trading systems" (dark pools among others) are required to report trades to the Consolidated Tape on a
>> 90-second delay.
>>
>> This leads to very distorted picture and makes bid/ask analysis very questionable.
>>
>> Best regards,
>> Tomasz Janeczko
>> amibroker.com
>> ----- Original Message -----
>> From: "iqfeed" <iqfeed@xxx>
>> To: <amibroker@xxxxxxxxxxxxxxx>
>> Sent: Monday, November 23, 2009 4:18 PM
>> Subject: [amibroker] Re: Tick data, how important is bids/asks?
>>
>>
>> > Just to clarify, IQFeed does provide bid/ask quotes in the stream. We send every trade, as well as every bid/ask price and
>> > volume
>> > update. We don't store each bid/ask update in history however. Instead, we only store trades, and the bid/ask price at the
>> > time
>> > of the trade which allows 3rd party software to determine if a trade occured at the bid or the ask. Trades are often
>> > interpreted
>> > as a buy or a sell based on if the trade hit the bid or ask and we provide the information needed to determine this.
>> >
>> >
>> > --- In amibroker@xxxxxxxxxxxxxxx, "Potato Soup" <potatosoupz@> wrote:
>> >>
>> >> I'm working with IQFeed tick data. They don't seem to provide bid/ask quotes, just trades. What's the consensus on whether
>> >> this
>> >> matters? I've seen it argued that a lot of games go on with quotes, fakeouts, etc. And that trade ticks are all that matter.
>> >> Seems though for less liquid instruments you'd really want updated quotes, or the true price could be quite far from the last
>> >> trade.
>> >>
>> >> I realize most AmiBroker users don't trade on ticks, but thought I'd ask here for comment anyway.
>> >>
>> >
>> >
>> >
>> >
>> >
>> > ------------------------------------
>> >
>> > **** IMPORTANT PLEASE READ ****
>> > This group is for the discussion between users only.
>> > This is *NOT* technical support channel.
>> >
>> > TO GET TECHNICAL SUPPORT send an e-mail directly to
>> > SUPPORT {at} amibroker.com
>> >
>> > TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
>> > http://www.amibroker.com/feedback/
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>> >
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>> >
>> > Yahoo! Groups Links
>> >
>> >
>> >
>>
>
>
>
>
> ------------------------------------
>
> **** IMPORTANT PLEASE READ ****
> This group is for the discussion between users only.
> This is *NOT* technical support channel.
>
> TO GET TECHNICAL SUPPORT send an e-mail directly to
> SUPPORT {at} amibroker.com
>
> TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
> http://www.amibroker.com/feedback/
> (submissions sent via other channels won't be considered)
>
> For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> http://www.amibroker.com/devlog/
>
> Yahoo! Groups Links
>
>
>
------------------------------------
**** IMPORTANT PLEASE READ ****
This group is for the discussion between users only.
This is *NOT* technical support channel.
TO GET TECHNICAL SUPPORT send an e-mail directly to
SUPPORT {at} amibroker.com
TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
(submissions sent via other channels won't be considered)
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
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