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datafeeds:
SP Comstock does not deliver each transaction like other data feeds also
don't do. We have done research on that topic:
- We have compared 3years of tick data on 3major future markets with price
data from the trading system of the exchanges.
- The research is done on about 5GB of tick data.
-> SP Comstock delivers about 70% of all transaction in average.
Other data feeds like FutureSource have the same problem. The result is
worst than SP Comstock.
Should anybody be interested in the detailed analysis please respond
privately.
Regds
Phil Schuch
Von: pierre.orphelin [mailto:pierre.orphelin@xxxxxxxxxxxxxx]
Gesendet: Friday, October 27, 2000 8:55 PM
An: BobR; omega-list@xxxxxxxxxx; Robert Pisani
Cc: realtraders@xxxxxxxxxxxxxxx
Betreff: Re: UMDS and S&P Comstock
----- Message d'origine -----
De : "BobR" <bobrabcd@xxxxxxxxxxxxx>
À : <omega-list@xxxxxxxxxx>; "Robert Pisani" <pisani@xxxxxxxx>
Cc : <realtraders@xxxxxxxxxxxxxxx>
Envoyé : vendredi 27 octobre 2000 19:04
Objet : Re: UMDS and S&P Comstock
> Ah, glad you asked this question because I have a related one for which
the
> answer is significant. When using tick bar charts it is important to know
> just what the feed is sending. Some feeds send a tick for each trade.
> Others send a tick only when the price changes during a trade. A chart
> based on say 72 tick per bar could be very misleading if it is only
updated
> on a price change tick feed. So, the question is when categorizing feeds,
> which ones send all trades, most trades or only price change trades?
>
> S&P Comstock is said to broadcast every transaction. True or False?
TRUE
> Future Source?
False on european futures ( costly mistakes on trading system results last
year when comparing with Comstock).
cant say for the others below
> BMI? no need to answer
> DBC Signal
> eSignal
> DTN
> X fill in
> Y fill in
> Z fill in
> etc.
>
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