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I am trying to figure out how exactly the layout works from the cme data zip
file.
I basically transferred all data into a searchable database, and this is
what I find:
1. Close/Open
They have a close and open for the session but the price and ticksequence
are not part of the regular ticks. Also ticks can appear before the open
time and after the close time. How should you translate this tick stream,
<open> <ticks> <close> and forget about the ticks outside this time frame ?
2. Cancel (X), Correction (C)
The ticks marked as cancel do not appear in the actual ticks (which have a
ticknumber and a time stamp). If this is so should I just forget the cancel
The ticks market as Correction do not appear in the actual ticks, should I
just include them in the "tick stream"?
Anyway just wondering if somebody else might know this.
Thanks
Robert
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Robert Linders
Orlando
Robert@xxxxxxxxxxxxxx
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