|
PureBytes Links
Trading Reference Links
|
Kim,
I am curious about the relationship between CHIT data and the Pit data.
What exchange does the data come from. ?
Do you know how do they know what time the volume was done on the CHIT. Is
it something accurate enough to tie to the time of the price. Do they
group all the chits together somehow.
We only put a time bracket on the card (a symbol indicating which 15-minute
bracket) E.g. K1 means
1100-1115. The accuracy here is not all that is should be either -
sometimes when the trades are keyed in they might be given a different
bracket.
It sounds a bit like Heisenbergs Uncertainty principle - If you know the
lots you dont know the time, and if you know the time you dont know the
lots.
Sorry to drag this longer than you probably want, but I am curious about
what they do.
Thanks
Peter
-----Original Message-----
From: Kim Horn [SMTP:kim@xxxxxxxxxx]
Sent: Thursday, August 20, 1998 8:13 AM
To: 'Peter Ryan'; 'omega-list@xxxxxxxxxx'
Subject: RE: Update: Ticks + Volume
I agree with you....This is why we use CHIT data. The historical
records of the chits written by traders are volume accurate. We
get both files of chit and pit data...My issue is historical ascii tick
data...I don't care about the accuracy of real time data....
When I need to care the exchanges wil be electronic :-)
-----Original Message-----
From: Peter Ryan [SMTP:pryan@xxxxxxxxxxxxxx]
Sent: Wednesday, 19 August 1998 18:42
To: 'omega-list@xxxxxxxxxx'
Subject: RE: Update: Ticks + Volume
Kim,
I am a local (floor trader) at Simex.
In Simex at least, the volume reported real-time in open outcry is a rough
guess only. Most commonly, a round number of 5 lots is used. Sometimes it
is higher, sometimes lower - usually dependant on the speed of the market.
In a busy market it is highly impractical for the REAL volume to be
collected from the pit by human beings, and more collectors wont help.
A trader has a responsibility to report traded PRICES immediately, and to
make sure the traded price appears on the board. A trader must also
confirm the trade with the opposite trader (using hand signals). There is
no responsibility to report volume to the exchange at the time of the
trade. The only person interested in the volume is the one on the other
side of the trade - you both want to be sure of the quantity traded (price
you can argue about later because any disagreement will only be a few ticks
apart, but differing quantities can kill you). In fact if you watch the
pits carefully traders tend to confirm the volume only with each other most
of the time.
Trading cards have to be collected and matched within a 15 minute time
bracket, but the reality is that the period is often longer. It is only
when matching is completed that the true volume is known. The total volume
for the day is not known until after the trading closes.
On the fly corrections are only done to prices - not volume.
It is not uncommon for big locals to 'buy them all' - meaning he will take
all prevailing offers. It boggles the mind to think of someone outside the
pit trying to get a handle on the size of trades like that.
It is not uncommon for a house trader to be taken before he even gets the
price and quantity out of his mouth (a local may have seen the order coming
from the phones). Again, not practical for observers to try to record the
volume.
Bottom line is that the real time volume in not reliable, and I would think
all open outcry pits are the same.
I would be interested to know if other pits are different.
|