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Omega List - get all the ticks from the CME on
eSignal ...
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--- Bob R <bobrabcd@xxxxxxx> wrote:
> Thanks, that makes sense. Apparantly dtn is using
> the aggregated feed and
> the cme end of day historical data is also from the
> aggregated feed. I
> guess we will live with this. This question came up
> from traders who
> switched from dtn to esignal.
>
> Bob Roeske
>
>
> ----- Original Message -----
> From: "wireless wireless" <wirelessquotes@xxxxxxxxx>
> To: "Bob R" <bobrabcd@xxxxxxx>
> Sent: Tuesday, August 03, 2004 10:57 AM
> Subject: Re: Plug In for back fill eSignal to
> TS2000i
>
>
> > Hi Bob,
> >
> > The CME has multiple datafeeds. The one with the
> lower
> > tick counts is a filtered feed that aggregates
> trades,
> > thus fewer ticks. If this doesn't make sense to
> you,
> > let me know.
> >
> > This is from the engineer that looked into this:
> >
> >
> > The CME file provided by Bob are compiled from a
> > different CME feed that aggregates trades, hence
> the
> > lower number of messages on their end. CQG is on
> the
> > same feed as we are, and we match trade for trade.
> > Here's a sample from both eSignal & CME files, for
> > 7/30/04; this is less than 1 second time frame; we
> > show 7 trades, CME shows 5
> >
> > eSignal CME
> >
> > Time Price Size Time
> > Price Size
> >
> > 7:04:36 109850 45 090436 0109850
> > 50 --> Aggregation of 45 + 5
> > 7:04:36 109850 5
> >
> > 7:04:36 109850 10 090436 0109850
> > 10
> > 7:04:37 109850 2 090436 0109850
> > 2
> > 7:04:37 109850 5 090437 0109850
> > 5
> >
> > 7:04:37 109850 3 090437 0109850
> > 5 --> Aggregation of 3 + 2
> > 7:04:37 109850 2
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