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Hi Tim,
I always like reading the stories of the pits.
When you were in the pits what was the number one board display did you look
at?? Besides the 'noise' , hand signals, runners, shouting of the big
players, what did you look at that off floor traders can have access to?
Regards,
Jerry Gress
Stockton, Calif. USA
trader@xxxxxxxxxxxxx
----- Original Message -----
From: "Timothy Morge" <tmorge@xxxxxxxxxxxxxxx>
To: "Ron" <ron560@xxxxxxxxxxx>
Cc: "Omega List" <omega-list@xxxxxxxxxx>
Sent: Tuesday, July 11, 2000 10:27 AM
Subject: Re: DATA Discrepency BE AFRAID!!!
> Ron:
>
> If have ever visited the futures exchanges--or better yet--pit traded for
a
> period of time, you'd see that the prices we get from data vendors [and
the data
> the exchanges send out] are only fairly crude representations of where the
> market is. Remember, except for the totally electronic exchanges, we are
seeing
> prices that are derived from a group of clerks standing outside the pit,
typing
> away as fast or slow as they wish. Often, I'll do an order in a pit like
the
> Nasdaq futures [where I have direct phones to the pit] and after I make
the
> trade and confirm the trade and price is moving away from where I made the
> trade, my broker will be shouting at a pit 'recorder' to get the price on
the
> *blanking* screen.
>
> I had a seat on the CME for a stretch of time. Trading in the currency and
S&P
> pits for any period of time there will give you a better feel for the
'noise'
> contained in the data most of us use. You clean it the best you can and
trust
> techniques you use that are successful over time. Data streams from
different
> sources may not match--especially if they are using different data plants.
>
> What do you do in this case? You'll have to watch both data streams with
your
> indicator and then choose which you trust and which is successful. This
may be
> the lesson that shows you just how subjective most indicators are.
>
> Be careful out there! This is real money!
>
> Best,
>
> Tim Morge
>
> Ron wrote:
>
> > Please consider the following example:
> >
> > DTN Feed_IBM 60min_Stochastic Crossover
> > A crossover buy is generated using DTN data.
> >
> > Quote.com Feed_IBM 60min_Stochastic No Crossover
> > No crossover in Quote.com data using same stochastic parameters.
> >
> > What do you do? Both feeds have been working fine all day and tick
counts
> > are within 95% of each other but obviously there is a discrepancy in the
> > data between the two feds. Its very hard to get to independent feed to
match
> > data exactly, especially on the lower time frames.
> >
> > Since no two feed are the same does it make sence to test systems on one
> > data source and trade it using another. No matter how reliable your data
> > source is for historical data there is no guarantee that your real time
data
> > matches the intrinsic characteristics of your historical data source.
Infact
> > most often the performances will NOT be the same for the same system.
This
> > highly limits the type of systems that can be traded in real-time and
tested
> > historically. SO BE AFRAID!!!
> >
> > This data problem has been bugging me for a long time and unless you
have
> > direct feeds from exchanges and full control over the data distribution
and
> > filtering process you may be trading based on artificially adjusted
data.
> >
> > So where do you draw the line.
> >
> > All comments appreciated. Thanks
>
>
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