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Maybe someone can correct me if this interpretation is wrong. I would like
to understand exactly what the explanation is. Its been observed and
commented on that the tick counts for the ES and NQ in the GS for data
coming from IB/MSRT/GS is about 20% of that from esignal and dtn. The
question is why. IB was asked this question and they said their time
snapshot only referred to market depth and not for price quotes. So if
sequential multiple trades occur at the same price, MSRT sees the same
TradePrice but must be passing it on to the GS only when it changes. In
other words, the GS must be registering a tick count only when the LastTrade
in MSRT changes price, and not multiple ticks on multiple trades at the same
price. If this is true, then the GS is collecting changed ticks only, which
is not such a bad thing, and is an alternative way of viewing price
momentum. Its just important to know what is being looked at. Others have
commented that in comparing TIME bars with other datafeeds they look the
same as from IB. When comparing TICK bars there is a world of difference.
bobr
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