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Carroll wrote:
> I will then download the correspond files from the CME and compare these
> data with the reports.
You can't directly compare CME tick counts with DBC/Signal. If a future
ticks 25,50,50,75 the CME will call that 4 ticks. The CME will filter
the 'redundant' 50 tick and send 25,50,75 to the data feed. TS will
report 3 ticks. The NYFE, on the other hand, will send all 4 ticks to
the data feed.
Keep in mind how these prices get into the system... some clerk is just
typing them into a terminal. Does it really matter if he hits 50 once or
twice? He is just giving his best guess of the last price looking down
into a chaotic pit. How many times he hits the button has *nothing* to
do with the actual number and size of the transactions. And if things
are really fast, he may not even know what price to report.
The only fair comparison is among the various data vendors.
--
Dennis
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