|
PureBytes Links
Trading Reference Links
|
After reviewing E-quotes for apx. a week, I can report the following:
It would appear CME E-quotes (driven by Caplin Websheet), is not a
streaming push feed, but uses one second "snapshots" for updates
(and dumps all other information).
Updates received from E-quotes Fri 09-Jan-2004
(Trade or Bid/Ask price/volume change):
13:30 = 57 updates received
13:31 = 60 updates received
13:32 = 60 updates received
13:33 = 60 updates received
13:34 = 59 updates received
I have never seen E-quotess update frequency exceeded 60 in any
one minute period.
I was interested how this might effect sales data,
so I ran the tests again, just looking at the number of sales (trades)
only (not sale volume & ignoring Bid/Ask Price/Volume updates):
13:30 = 32 separate sales recorded
13:31 = 54 separate sales recorded
13:32 = 53 separate sales recorded
13:33 = 36 separate sales recorded
13:34 = 39 separate sales recorded
For comparison, Bloomberg gave the following:
13:30 = 59 separate sales recorded
13:31 = 439 separate sales recorded
13:32 = 163 separate sales recorded
13:33 = 88 separate sales recorded
13:34 = 91 separate sales recorded
It would appear E-quotes are not sending the full picture, but
are they netting? (I.E. some data providers will "net" all trades
in a period of time, and send them through as one large trade).
I added the volume of all sales (trades) during each minute:
Caplin/E-quotes
13:30 = 317 contracts traded
13:31 = 293 contracts traded
13:32 = 368 contracts traded
13:33 = 442 contracts traded
13:34 = 541 contracts traded
Bloomberg:
13:30 = 578 contracts traded
13:31 = 5,785 contracts traded
13:32 = 2,109 contracts traded
13:33 = 937 contracts traded
13:34 = 2,164 contracts traded
So it would appear, not only is E-quotes not sending us every sale,
they are also not making up for it in the figures that are sent.
I did notice the E-quotes Cumulative Volume frequently does not keep
pace with the sales (trades) volume:
12:49:11 CUMULATIVE_VOLUME = 545,018
12:49:12 TRANSACTION_VOLUME = 1
CUMULATIVE_VOLUME = 545,019 (correct)
12:49:13 TRANSACTION_VOLUME = 100
CUMULATIVE_VOLUME = 545,120 (wrong)
12:49:14 TRANSACTION_VOLUME = 1
CUMULATIVE_VOLUME = 545,121 (correct)
12:49:15 TRANSACTION_VOLUME = 5
CUMULATIVE_VOLUME = 545,138 (wrong)
12:49:16 TRANSACTION_VOLUME = 3
CUMULATIVE_VOLUME = 545,178 (wrong)
I'm wondering if the missing sales (trades) data equate to the wrong
Cumulative Volume figures?
I'm going to speak with Caplin & CME to see if they are experiencing
extreme data loss at the moment (to the tune of 75%), but at this
stage I don't see what use only a 25% view of the market is.
Justin
|