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Pete wrote:
> Are we sure that the cme is the one doing the filtering. Signal is doing
> that, but I don't believe BMI is.
Well, that's an assumption on my part. If you look at the BMI tick data
for SP or DSP (CME) you won't ever see 2 consecutive ticks at the same
price. However, for YX (NYFE), you will see a number of consecutive
ticks at the same price.
I first noticed it when I was doing some tick volume studies on DSP and
YX. I *assume* that the difference is the exchange. Filtering may be a
poor choice of words but it appears that you don't get a tick from the
CME unless the price changes.
--
Dennis
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