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Mea culpa!!! There seems to be a lot of misinformation bandied about on
this list about these files and related subjects and, unfortunately, I
am responsible for more than my share of it.
I'm talking about two files in particular, CME's time-&-sales file and
their volume-by-tick file. I have been saying that the T&S file
contains entries for individual sales and, therefore, contains duplicate
price entries while the V-by-T file contains only price changes.
That is ass-backwards (sort of)! The T&S file contains a sprinkling of
bid and ask entries and sometimes a bid or ask will be followed
immediately by a trade at the same price. If all bid and ask entries
are deleted from the T&S file, there may be a single duplicate entry -
the final settlement price may be the same as the last trade of the
day. This is what I found with the CME file tr980501.iom.
As for comparing a CME file with your own collected data, I believe that
you should use the T&S file with bid, ask, and insert records deleted
(if the software you are using to collect the data skips bid and ask
records).
As for the V-by-T file, it DOES contain duplicate-price entries, LOTS of
them. For 5/1/98, 1027 out of its 4501 entries are duplicates. The
reason I said "sort of" above is that if you delete bid and ask entries
from the T&S file, and delete all duplicates and the strange "spread"
entries from the V-by-T file, the results do not match! Each of the
resulting files contains some prices not included in the other, and the
total number in the V-by-T file is much less than that for the T&S.
I've already gotten lots of interesting info from the CME, but there's
more that I need and I'm still working on it. (For example, a fellow in
the Market Data dept. at the CME tells me that they DO include a time
stamp and sequence number on each price datum that they send to
vendors. If so, how come the same tick may have a different time stamp
if received from Signal in Florida rather than Signal in So. California
or BMI in DC?) When I'm finished, I'll publish a report on this list.
Carroll Slemaker
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