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Carroll:
A quick perusal of my tick file for today's SP8M reveals exactly what you
describe. In one instance the price remained the same for 6 consecutive
ticks, then 1 tick up, then returned to the original price for 6 more
ticks. I have discovered, however, that although I only chart the daytime
SP, ticks are collected for the night market as well. Thus the high tick
count.
Randy
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From: Carroll Slemaker <cslemaker1@xxxxxxxx>
To: Earl Adamy <eadamy@xxxxxxxxxx>; murpran@xxxxxxxxxxxx
Subject: Re: CME Tick Data
Date: Monday, May 04, 1998 7:26 PM
Hi Earl -
I'm using the "volume by tick" file because it is a "tick" file (a
report of price changes) whereas the time-and-sales file is, presumably,
a list of all individual sales and would, therefore, contain groups of
consecutive sales occurring at the same price.
Incidentally, I notice periods of time on my GLOBEX chart for the S&P
where the plot is horizontal - inspection of the data window shows
groups of consecutive same-price "ticks". I wonder if BMI perhaps
transmits all sales (for the day session) rather than just price
changes. I got a mail message from Randy Murphree, using
satellite-delivered BMI, who reported that his tick counts for 4/29 and
4/30 were higher, even, than the CME figures! (5983 and 5530
respectively, compared with CME figures of 5664 and 5470.)
Regards,
Carroll
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