|
PureBytes Links
Trading Reference Links
|
In case anyone is actually using the Signal refresh tick data from the
Omega ftp site, I thought I'd share some numbers with you.
I compared Signal vs. BMI refresh data, counting the number of ticks
for the front month S&P futures contract for all of calendar 1998.
I included all ticks with timestamps between 9:30 and 4:15 ET.
I excluded any files for which Omega reported data feed problems for
this time range (keep in mind that this may be a subset of the days
when there actually WERE data feed problems). To avoid any data
conversion problems, I pasted the Signal files into a Signal server,
and the BMI/Comstock files into a Comstock server (not that this
should be necessary -- the server seems to handle either file format,
as Omega claims).
Here are the results:
Number of trading days 252
Number of good days - Signal 249
Number of good days - BMI 238
Number of good days - both 237
Average ticks/day - Signal 2293
Average ticks/day - BMI 3820
Average Signal/BMI tick ratio 60%
Best day Signal/BMI tick ratio 88%
Worst day Signal/BMI tick ratio 32%
A cursory look at a few other futures symbols showed similar results.
There are two possible reasons why the Signal files have only 60% as
much data as the BMI files: either Signal isn't broadcasting
everything, or Omega isn't collecting everything. Personally, I find
it hard to believe that even Signal's data could be THAT bad -- but
then, I've never used Signal. I sent an email to Omega tech support,
suggesting they might want to look into this further. Unfortunately,
I got an extremely perfunctory response. In essence, it said,
"Sometimes ticks get dropped. Thanks for choosing Omega Research."
Not that I really expected anything more, but you have to wonder
why they'd bother going to the trouble and expense of collecting and
posting data that is practically useless.
I guess the message to take home is, if you're running the Signal
server, consider using the BMI/Comstock files (after confirming
that they work with the symbols in your portfolio). If you're running
a non-Signal server, be aware of what you're getting if you use the
Signal files.
Or better yet, buy some real data.
|