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Of course, this takes us back to the original post.
And the observation that no platform vendor is implementing this.
Yes.
SQ is workable if I can have access to the Time&Sales pipe from the vendor.
(I am under the impression that...)
ESignal sends complete time and sales ticks down the pipe.
Some data vendors only deliver their data in seconds packets.
Often the data vendor drops >inconvenient< ticks.
Most platforms then bundle the piped data into minimum size packets.
The SQ data engine seems to support seconds sized packets. (Great!)
But does not seem to show all ticks.
TS Global Server drops intra-second ticks and volume, recording only the
last price.
(TSGS does not support sub-minute packets. SQ wins!)
As concerns the creation of my own bars, I am not sufficiently familiar with
SQ to know how.
Do you have a code example suitable to daytrading?
ERic
----- Original Message -----
From: "Joel Reymont" <joelr@xxxxxxxx>
To: "'OmegaList'" <omega-list@xxxxxxxxxx>
Sent: Monday, January 19, 2004 10:09 AM
Subject: RE: Tick data
> I think part of the deal is picking a real-time data vendor
> that will actually send you the individual ticks.
> I don't know how you can extract individual ticks
> from 1 second bars unless the actual ticks were sent down
> the pipeline. If that is indeed the case then there's no need
> to reconstruct anything as you should be able to build
> yourself a tick bar of any size.
>
> What am I missing here?
>
> > -----Original Message-----
> > From: Eric Svendsen [mailto:esvendsen@xxxxxxxx]
> >
> > In the case of tick bars, the time bars (1 second) must be
> > broken up, and reconstructed using trade counts (tick bars)
> > or volume accumulations (volume bars.)
>
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