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Dear Kim and everybody else,
Think a moment about the "volume" traded at each tic.
e.g.
Gold is trading at 289.2 at .4
Trades are occuring around the ring between many different brokers. Broker A is buying 20 at .4 while Broker B is buying 2 while
Broker C is buying 7. These buys are from differect selling brokers.
Do you really think that the reporter is adding up all of the trades at .4 and reporting it?
Of course not. It's not feasible.
I agree that Globex and any other electronic system will give you volume but I was under the impression that you meant exchange (open
outcry) trades.
No matter what they are telling you or selling to you, until the floors go electronic, they cannot give you real volume with tick
data.
Furthermore, the example you provided does not look like tic by tic data to me. Look at the time differences between trades. e.g. 9
minutes between trades at 08:35 and 08:44.
Hope this helps,
Manning Stoller
Kim Horn wrote:
> Dear manning,
> This is not true, you can get tick data with volume for most futures.
> We get it directly from the exchange....We have GIGABYTES of it.
> We buy it in bulk......
>
> If you don't believe me you can down load it directly via the internet from
> exchanges.For example try this one: www.sfe.com.au
> They have a data download page.
>
> Here is a sample to prove you wrong:
> "Date", "Time", "C", "V"
> 12/14/94,08:30:02,89.54,100
> 12/14/94,08:31:03,89.535,10
> 12/14/94,08:32:12,89.535,10
> 12/14/94,08:34:10,89.525,11
> 12/14/94,08:35:37,89.525,1
> 12/14/94,08:44:08,89.505,20
> 12/14/94,08:50:09,89.505,100
> 12/14/94,08:52:13,89.51,2
> 12/14/94,08:52:34,89.505,4
> 12/14/94,08:53:23,89.5,25
> 12/14/94,08:53:40,89.5,3
>
> -----Original Message-----
> From: Manning Stoller [SMTP:mstoller@xxxxxxxxxxxxx]
> Sent: Friday, 14 August 1998 0:11
> To: Kim Horn
> Cc: 'omega-list@xxxxxxxxxx'
> Subject: Re: Ticks + Volume
>
> Dear Kim,
> What you want does not exist.
> Contract volume is not reported with tic data. Never has been.
>
> Regards,
>
> Manning Stoller
>
> Kim Horn wrote:
>
> > Regarding my mail below. I had many responces but most
> > did not understand what I was trying to do.
> >
> > I have no problems reading bar data intra day from ASCII files of the
> > format:
> > "Date", "Time", "O", "H", "L", "C", "V"
> >
> > However, I don't want to do this now. I want to read tick data that may have a a number of ticks (prices) per second. Each tick
> > has Date, Time, Price, Volume. I want to look at intra day
> > behaviour on the RAW TICKS....not bar data.
> >
> > The volume is the number of future contracts exchanged at
> > that price, may be 1 to a few thousand.
> >
> > Some of you said the above is not possible,
> > some suggested changing the data to
> > "Date", "Time", "O", "H", "L", "C", "V", "OI"
> > format by copying fields. There were other superstitiuos
> > suggestions
> >
> > Omega Tech support sent a text copy of the manual. I
> > already had that and read it..... really usefull
> >
> > However, nothing worked !!!!!
> > I can read the Date, Time and Price but NOT the Volume.
> >
> > The work around is to use HASHNUMS DLL to read in the
> > Volume from the ASCII file... This works but it seems
> > strange that Tradestation cannot read tick data. After all
> > thats where all data comes from...
> >
> > Thanks for responces
> > Thanks in advance for a solution
> >
> > Kim
> >
> > ---------------- OLD MAIL ------------------------------
> >
> > I need to historically test a tick based system. I
> > have the data in the following format:
> >
> > "Date", "Time", "C", "V"
> > 09/15/97,08:30,93.64,20
> > 09/15/97,08:30,93.64,15
> > 09/15/97,08:30,93.64,10
> > 09/15/97,08:30,93.64,20
> > .......etc....
> >
> > I need the volume and price information.
> > I have tried importing into Tradestation but I
> > only get the Price; no Volume. Should
> > I be able to read in the volumes too ?
> >
> > Any suggestions
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