|
PureBytes Links
Trading Reference Links
|
At 11:56 AM 11/30/2004, Riley Robertson wrote:
>Bob Fulk: The conclusion was that CME does not report all the ticks and TradeStation
>and ESignal do.
>
>
>I am thinking eSignal gets their data from CME and sends it to us immediately.
>If CME does not report all the ticks, does it mean eSignal is NOT getting ALL the ticks?
>
>But eSignal sends to us ALL the ticks they receive from CME.
All I know is what the message stated. In our test TradeStation and ESignal sent about the same number of ticks in real-time. There were a few more ticks from TradeStation when I refreshed the day, presumably getting all the ticks so I assume those ticks were lost somehow in the process.
The CME data, available later on their web site, seemed to have about half the ticks and the person BobR referenced was able to compare tick-by-tick to see what CME had done to take out ticks.
It could be that CME sends all ticks real-time and only takes out ticks on the data on their site but this is just a guess.
The bottom line is that you need to back-test with the same data you are trading with and if you are losing X% of the ticks being sent, your system had better be able to handle that.
It goes without saying, (but I will say it anyway :-) ), that if you are using short-time-interval charts that you should dedicate a separate machine to the read-time data and trading and do email, research, etc., on a different machine. Computers are now very cheap...
Bob Fulks
|