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Dennis wrote:
> You can't directly compare CME tick counts with DBC/Signal.
In addition to duplicated prices it is also necessary to look at a type
code carried with each entry. But I have written a program to filter
out duplicate prices as well as bid, ask, and added entries (I retain
"deleted" entries because I wish to replicate the real-time feed and,
presumably, these "deleted" entries did appear in the real-time
stream). The data stream, filtered in this manner, should very closely
(exactly?) match any COMPLETE real-time data feed.
One other thing, Dennis, if our data stream is really decoupled from the
record of actual sales, just an attempt by an independent observer to
capture prices as he perceives them, then I am positively amazed that
our data stream coincides with the CME file as well as it does - and it
does usually coincide quite well.
Regards.
Carroll
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