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Kelly wrote:
>....I wanted to ask you (or anyone else) if you knew if BMI or
>Bloomberg records B&A into the data file?
Judging by the number of ticks that were recorded, Bloomberg
=must= record the B/As. On the date in question (4/6, I
believe it was), Bloomberg had 4371 ticks while T&S showed
around 4357.
I think it's the s/w that controls if (and where) the B/As
are recorded. Actual trades (ticks) as well as B/As appear
to be recorded in one file using TS4 while TS2k separates
bids, asks, and trades. Therefore, with TS2k, you would need
to add the bid and ask records to the 1-tick trade records
to get an accurate count. When I did this, my count was
=very= close to T&S.
Apparently, an actual trade doesn't have to occur for the
CME to consider a "sale" to have been made at a certain
price. All that's required for recordation in T&S (and, I
presume, transmittal) is a bid higher than the last or an
offer lower than the last.
Best regards,
Jim
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