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Chris,
I've been watching intraday TS for years and what I've seen is
chart tickbars with ticks coming only on price changes
and my custom TickVolume indicator showing ALL ticks,
for EC sometimes going into thousands/min.
That said, I posted a question to the list recently about a
discrepancy from the above. Specificaly, 500 & 1200
tickbar charts show bars with 500 & 1200 ticks, but 50
& 100tb charts, in fast markets, have many more than 50
and 100 ticks. I asked TS about it, but so far no good answer.
It is a problem for me because I often look at the Data Window
and add up Up and Down ticks to know how close or far I am
from bar completion, but only if the bars end on the nominal
number of ticks.
If CME change will mean sending ticks only on price changes
this problem should be solved.
Jan Philipp
----- Original Message -----
From: "Chris Cheatham" <chris@xxxxxxxxxxxxxxxxxx>
To: "'Omega List'" <omega-list@xxxxxxxxxx>
Sent: Saturday, December 17, 2005 4:49 PM
Subject: Re: CME Tick Aggregation
I actually am happy about it. Tick volume has been a huge pain for me the
last year or so. I've been after TS for months to institute "only update
on
price change" options for charting." Something had to be done. TS
recognized
it, and I guess CME did too.
My guess is that tick charts will have fewer ticks, and that volume charts
will be less "perfect," i.e., more instances of overbar vol totals. The
really interesting question is if volume on minute-based charts will
remain
correct. I guess "no," as I don't know how some doens't get collected and
spit out after the new bar starts. We'll soon find out.
Best,
Chris
----- Original Message -----
From: "Phil Bailey" <baileyp@xxxxxxxxxxx>
To: "'Chris Cheatham'" <chris@xxxxxxxxxxxxxxxxxx>; "'Omega List'"
<omega-list@xxxxxxxxxx>
Sent: Saturday, December 17, 2005 6:40 PM
Subject: RE: CME Tick Aggregation
Looks like they are trying to increase profit multiple times.
They now can 'delay' quotes until the bucket (as in 'bucket shop') is
filled.
Tic charts may have just become obsolete.
On FOMC day, Esignal gave random quotes from 1:15pm to 2:00pm. Then their
affiliate
they own, Futures Source, went random and Esignal corrected until close.
If George Bush can do whatever he wants, I guess big money everywhere
will
start doing
the same while he's still in power. Its all in the name of invisible
terrorists.
What a scam, the real terrorists are raping America's economy.
> -----Original Message-----
> From: Chris Cheatham [mailto:chris@xxxxxxxxxxxxxxxxxx]
> Sent: Saturday, December 17, 2005 8:26 AM
> To: Omega List
> Subject: CME Tick Aggregation
>
> Anyone know what to expect from the new CME tick aggregation?
>
> Chris
>
> http://www.cme.com/trading/get/sup/glxnews2825.html#M6
>
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