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Hi Abhijit:
Thanks for a very good breakdown.
When Bob Fulks said: CME does not report all the ticks....
He is referring to your (b);
then he said TS & eSignal is reporting all the ticks.... he is referring to
(a).
I agree with him too because I had a talk with eSignal tech.
They said they take whatever CME gives out and sends it to us right away.
This data will bear
'local' (our pc) time stamp.
Riley
From: Abhijit Dey <omegalist@xxxxxxxxxx>
To: omega-list@xxxxxxxxxx
Subject: Re: mini data on TS8
Date: Tue, 30 Nov 2004 11:15:50 -0600
Riley, The confusion seems to be this:
CME reports trades / ticks / whatever in 2 ways.
a) Realtime, as it is happening. All data providers get this directly or
indirectly, may or may not filter / massage them and passes it on to us.
b) End of the day - CME make it available in their ftp site. Older data you
can purchase from CME as well.
Add to the scenario the fact that many providers have inconsistent
reporting of data in "real time" and from their "historybank", and...
well.. you get the picture.
Now, when someone says "in comparison to the CME data", they must be
talking about data received from source (b). As we do not have any way to
get data from source (a), directly. We don't know how our data provider
molested the ticks when it passes through their machines. 8P
What adds further to the confusion is the fact many here do not seem to
accept (b) as correct. Is this fun or what?
IMHO, I don't understand what the big deal is. Any feed is fine as long as
it is *consistent in real time*. If there are consistent problems, it's
easy to work around - like say, IB's feed. It's very incomplete, and I have
no problems with it. It pumps out x% of actual ticks, everyday. Works for
me. Heck, I don't even know what x is.
Abhijit
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