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I am currently using DBC's Signal feed, delivered via cable, but I would
like to evaluate other feeds (Signal Online, BMI, and other vendors).
I have written a program which counts ticks
(for the S&P future) during successive half-hour periods during the trading
day and compares the results with similar counts taken from the CME's
time-&-sales files. What I'm finding is shocking - half the ticks are
missed consistently during the first half hour! Performance improves
steadily to nearly 100% by 12:30 NY time, then begins to decline again
starting an hour before the close. This profile is repeated consistently
each day.
I would greatly appreciate receiving ASCII files of one or more days of tick
data for
the September S&P. And please let me know what feed the data represent and
any other information which might relate to data completeness - number of
symbols monitored, many processor-intensive systems/indicators running, slow
machine or connection, etc. I will send the results of my analysis to all
participants.
Thank you very much.
Carroll Slemaker
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