Clock

[Carroll Slemaker <cslemaker1@xxxxxxxx>]

Some people seem to believe that the time associated with a real-time
price update is absolute - that is, that ALL people receiving this
update from ALL vendors will see the same "time stamp" attached to the
price.  They believe that all such recipients will see the same set of
price updates included in any particular "bar".

This is not true.  After considerable investigation I finally unearthed
the following:  the CME (and, presumably, other exchanges as well) does
NOT transmit a time-stamp with their data.  They claim that their goal
is to transmit the data within a couple of seconds of its entry into
their system and, therefore, a time-stamp is unnecessary.  It turns out
that the time-stamp is added by the data vendor.  Furthermore, for DBC
Signal at least, the time is added at the individual broadcast sites
with the result that Signal data collected at different sites around the
country (or world) will often have different time-stamps.

I have confirmed this by two comparisons:  I have compared my collected
data for an S&P contract with a time-&-sales file downloaded from the
CME (which contains entry times to the second) and found that the times
on my data differ from the CME's.  Even more important, I have compared
my collected data with that downloaded from Omega, who collected their
Signal data using the same distribution medium (FM radio at the time I
made this comparison) as I did, but located in Florida instead of
Southern California.  Guess what?  My data compared exactly with theirs,
tick for tick, except that the times differed.

The changeover from one minute to the next occurred at slightly
different places in the two tick streams, sometimes different by as many
as four or five ticks.  The significance of this is that one-minute or
five-minute bars which I produce might begin and end with different
ticks as compared with similar bars which you produce.  This could
result in quite different system results, trend lines, and so on. 
Likewise for historical data obtained from a data vendor or other
source.

So, if you attach special significance to the first or last tick of any
particular bar, give careful consideration to the preceding.

Carroll Slemaker