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Dennis:
Well, I've traded in the pits at the Merc and watched the blue jackets type in
the prices, then stop and ask what's trading now...and watched their prices
scroll along...They definately report transactions at the same price, for many
reasons. One thing the clerks are doing is trying to preserve a record of the
price action that those traders and brokers in the pits feel adequately protect
them [read that...the traders watch the recorded prices and when times get
tough, they make sure the record reflects what they want it to reflect. It's in
their best interest].
Tim Morge
Dennis Holverstott wrote:
>
> Well, you learn something every day. Looks like the CME does broadcast
> same-price ticks. I just hadn't looked at futures with less action than
> the S&P. Comparison with time and sales would seem to be a good test.
>
> I received this privately:
>
> > I dont think that is the case.
> > Time consideration is what you is missing in there.
> > Take a look at the Eurodollar ticks.
> > You will see the same price ticks everywhere.
> > Now try to filter those out and you will loose
> > 50-90% of the data.
> > I think the correct data must contain same price
> > ticks. Howerever for SP its almost impossible to
> > report every transaction considering the speed,
> > time and liquidity. Therefor almost all data is
> > not the real one.
>
> --
> Dennis
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