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The price momentum on multiple ticks per bar is a thing to behold and is
much smoother than price bars, whether it is 30or 100 or 200 ticks per bar.
Indicators and signals based on tick bars with changed and unchanged ticks
vs changed ticks only makes a big difference. That is why it is important
to know exactly what the datafeed and delivery mechanism interface is
providing to the GS.
bobr
----- Original Message -----
From: "Jimmy Snowden" <jhsnowden@xxxxxxx>
To: "BobR" <bobrabcd@xxxxxxxxxxxxx>; <Omega-list@xxxxxxxxxx>
Sent: Monday, August 11, 2003 7:54 AM
Subject: Re: IB-MSRT-GS
> BobR,
>
> That sounds really good to me. It also makes me now think if you
> trade minute and above time frame that you are right what difference
> does it make. I'm too slow to even watch a tick chart.
>
>
> Best regards,
> Jimmy Snowden
> mailto:jhsnowden@xxxxxxx
>
>
> Monday, August 11, 2003, 9:50:15 AM, you wrote:
>
> B> Maybe someone can correct me if this interpretation is wrong. I would
like
> B> to understand exactly what the explanation is. Its been observed and
> B> commented on that the tick counts for the ES and NQ in the GS for data
> B> coming from IB/MSRT/GS is about 20% of that from esignal and dtn. The
> B> question is why. IB was asked this question and they said their time
> B> snapshot only referred to market depth and not for price quotes. So if
> B> sequential multiple trades occur at the same price, MSRT sees the same
> B> TradePrice but must be passing it on to the GS only when it changes.
In
> B> other words, the GS must be registering a tick count only when the
LastTrade
> B> in MSRT changes price, and not multiple ticks on multiple trades at the
same
> B> price. If this is true, then the GS is collecting changed ticks only,
which
> B> is not such a bad thing, and is an alternative way of viewing price
> B> momentum. Its just important to know what is being looked at. Others
have
> B> commented that in comparing TIME bars with other datafeeds they look
the
> B> same as from IB. When comparing TICK bars there is a world of
difference.
>
> B> bobr
>
>
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