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I've been following this thread with much interest. I just downloaded
and tried out Metaserver RT from http://www.traders-
soft.com/ts/msrt/index.htm#tws. Seems very good, however the trial
only allows me to view two symbols MSFT, ES. My question has anyone
used the real time quotes downloader from trading-tools.com???
Where is the data from??
TIA
-- In equismetastock@xxxx, JayTownsend@xxxx wrote
> Hi Bob:
>
> All futures data providers that supply open interest data, do so on
a one-day
> delay basis. Yes, they report it as the current day's open
interest, but it
> isn't. The open interest isn't available until a significant time
delay
> after the closing bell of the daytime, open-out-cry session.
Futures
> exchanges are required by law to square up all of their buys and
sells before
> the opening of the next open-out-cry session because funds are
actually
> transferred to the buyer and sellers accounts through "clearing"
brokers at
> the end of the session, each and every trading day. That is why if
you have
> the market go in your direction your account is actually given the
funds at
> the end of the session, and are available for you to withdraw if
you wish,
> even though you are still in a position. This process sometimes
takes a long
> time because the open-out-cry is not electronically controlled and
must be
> done manually. I have heard reports that some exchanges have come
close to
> not being able to open their next trading session because they
hadn't settled
> all of their buy and sell orders from the previous one. This
manual system
> also leaves itself open to floor trader cheating and manipulation
and stories
> about that are rife. If you follow futures prices closely you
often time see
> a jump change in settlement price an hour or more after the actual
close of
> the session. The reason I've been given for this is that the floor
traders
> are still executing trades among themselves. All sorts of wild
things happen
> during and after trading session. Some 20 years ago I had a sell
stop well
> below my long wheat position on the Minneapolis exchange and it got
hit when
> the trading range for the day was 5 cents above it. My broker
didn't have
> any problem forcing the exchange to take back their illegal trade.
>
> For the above reasons all volume reports on North American
exchanges are
> estimated volumes until the following day, and open interest
numbers simply
> aren't even reported until the following day. You can check both
of these
> out by looking at the Wall Street Journal which clearly states that
open
> interest numbers are for the preceding day and that volume numbers
for the
> current day listed are estimated, alongside an actual volume number
for the
> preceding day. Sure, the data providers drop these numbers in the
current
> day's slots, but they aren't the current day's real numbers.
That's why such
> indicators as On Balance Volume are not really correct for futures
and open
> interest indicators aren't really valid either. If you read the
really good
> technical analysis books they will admit this. Any data provider
that says
> they are providing the real volume and open interest for the
current trading
> day are lying. Most though tell the truth.
>
> I too entered my own data on a daily basis for many years with The
Downloader
> using the WSJ as my source before going to electronic feeds 7 or 8
years ago.
> I now use day session, open-out-cry data only because the off hour
> electronic trading can have some wild trades out of "normal"
trading ranges
> because they are often times very thinly traded. Both Reuters and
UA/CSI
> give you a choice of individual sessions, combined sessions, or day
> session/open-out-cry only. The WSJ now carries only the 24 hour
trading
> sessions merged into one. As previously mentioned, that can have
some very
> wild electronic trades in it.
>
> Because of the problems with the open-out-cry day session trading
with both
> floor trader cheating and the difficulty of arriving at settlement
prices,
> the U. S. congress has been after U. S. exchanges to go to strictly
> electronic sessions which will supposedly end the cheating and
create a rapid
> settlement which will instantly provide real volume and open
interest
> reporting too. The exchanges have been given several dates to go
fully
> electronic but they somehow keep putting it off into the future.
>
> Understanding the data you are working with helps to make better
trading
> decisions.
>
> Jay
>
> --------------------------------------------------
>
>
> All:
>
> I have Metastock V7.2 EOD and I follow futures data. I use
> Quotes Plus as my data provider. They have different packages,
> but their futures data includes volume and open interest. They
> also provide Metastock and ASCII conversion utilities. These
> can be set up so that the conversion runs automatically after
> you do your daily download. Volume is included at the time
> of download, not a day later like some providers.
>
> Bob
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