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The T&S data does include all kinds of data which is not of interest to someone
trying to reconcile real futures trades, however T&S data can be readily
filtered. Before doing any programming with the data, I loaded files into my
shareware text editor (TextPad32) and used the sort capability to gather the
transactions I wanted by sorting (OptionType, Commodity Code, Expiration),
selecting the contracts I wanted, and then sorting (TradeDate, TradeTime). Some
general tips: use the CME Commodity Code rather than the Ticker, exclude options
by looking for blank (not C or P), exclude Ask/Bid flag by looking for blank
(not B or A - lots of these in non-front months). The record length of the T&S
record is 83 rather than the 100 indicated in the format spec.
Earl
-----Original Message-----
From: James F. Mazzulla <tagteam@xxxxxxx>
To: omega-list@xxxxxxxxxx <omega-list@xxxxxxxxxx>
Date: Tuesday, May 05, 1998 7:24 AM
Subject: Re: SP8M Daily Tick Count
>CME's T&S includes not just actual trades but certain
>bids/offers. For example, there's a trade at 80, then
>someone offers 70 but no trade occurs. The next trade
>actually occurs at 60. In that case the 70 may be reported
>as "Asked" in T&S.
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