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I've been looking at e-Signal's version of tick volume lately.
Unless I've completely misunderstood what I'm dealing with,
they condense their data stream by sending only tick changes,
rather than all the ticks. That is, a bond contract with the
following sales:
99-19, 99-20, 99-20, 99-20 (and so on for the next 10,000
ticks), 99-21
comes across as:
99-19, 99-20, 99-21.
Has anyone else found a way to extract value from this?
I like volume data on position trading and had hoped that
tick volume would be a workable substitute for intraday work,
as some folks have suggested. But this looks useless to me,
and I'm not inclined to waste much time on it.
Thanks.
Owen Davies
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