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I suspect it has something to do with sheer tick volume - Eurex has the
highest turnover of all futures exchanges worldwide. Reporting every tick
would impose unreasonable bandwidth requirements, and institutional players
(heck, not even I) don't care about every tick. For an example of what a
really liquid market reporting every tick looks like, check the E-Mini S&P
or the CAC40 at busy times. Now imagine 5 times that volume (Bund, Bobl,
Schatz, DAX, Eurostoxx) plus all the "smaller" contracts, it's just not
doable across a normal feed.
The sensible thing would have been to modify the feed to report highs and
lows of shapshot intervals which are slightly longer. Instead they went
for reporting interval averages - that's one number instead of two per
interval. Cheap and cheerful.
At 22:50 10/09/03 +1000, Adrian Pitt wrote:
Thanks for the URL Stefan...very fascinating...who on earth invented
such a ludicrous system in this day and age of computers? LOL.
Adrian
> -----Original Message-----
> From: Stefan Schulz [mailto:prog1@xxxxxxxxxxxxxx]
> Sent: Wednesday, 10 September 2003 10:28 PM
> To: omega-list@xxxxxxxxxx
> Subject: RE: A/C/E "one second netting"
>
>
> From kaj's earlier post:
> http://www.optioninvestor.com/futurescorner/fc_052703_01.asp
>
> At 21:26 10/09/03 +1000, Adrian Pitt wrote:
> >Pardon my ignorance, but can you tell me what 'A/C/E "one second
> >netting" ' is please.
> >
> >Adrian
>
>
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