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You are talking about aggregate tick bars being sent down or individual
ticks. Yes- it comes down to data vendor. This is a core issue. You cannot
realistically disassemble aggregate data sent to you back into ticks, it
would be too much assumption- we all know how good assumption is.
Anyhow- given a provider that sends 1 tick updates- the task is doable, else
it is moot.
-Chris
-----Original Message-----
From: Joel Reymont [mailto:joelr@xxxxxxxx]
Sent: Monday, January 19, 2004 1:10 PM
To: 'OmegaList'
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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