|
PureBytes Links
Trading Reference Links
|
Hello,
Saturday, November 15, 2003, 8:27:02 PM, you wrote:
After about a week of relations with CME support I got information that they don't store data
in history GLOBEX T&S files as data flows but somehow prepare files after the market close.
So that's why some records are combined.
Sorry but I couldn't find person who can explain exactly how those records are combining.
So if you want to find your trade in T&S it can't be done in CME GLOBEX T&S history files.
Thanks to All who answered.
good luck.
9gn> Hello omega-list,
9gn> I try to figure out how data that i use (eSignal) correspond with
9gn> GLOBEX data.
9gn> I parse GLOBEX Time and Sales datafile
9gn> (ftp://ftp.cme.com/pub/gtime/gx031114.zip)
9gn> and got 54653 T&S records. Then i sum up volume from all records and
9gn> got total 630640 contracts (i compare just day session 9:30-16:15 ET).
9gn> I opened 1 tick chart in TS and inserted Volume indicator and export
9gn> data to file. I parse file and got 109185 records then sum up all
9gn> volume from all records and got 622679 contracts (day session).
9gn> Now question is why the difference in number of records between GLOBEX
9gn> T&S file and tick file from TS (with eSignal) so big (54653 vs 109185)?
9gn> Volume about the same 630640 and 622679.
9gn> Or maybe i use a wrong method to compare data?
9gn> TIA
--
Best regards,
mailto:9m9@xxxxxxx
|