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I think it will be interesting concerning the divisor multiples of largest
ticks absorbing
Smaller ones. I see some big ticks. That means when big money is moving,
there will be few or one tick.
IB tick charts are divided by approximately 6, but that is a time function
Like .25 to .4 second periods. IB tick size may be divided by 60 if they
don't readjust their time
Period given the demand will be down. IB's time methodology is more or less
a constant compared to ticks (time equals ticks to fill big orders).
In effect, its like an exponential smoothing technique.
Largest tick size may 'sqiggle' up all our nice stohs and disquise tic
indicator cycles since ticks will now be VARIABLE based on tick size,
NOT tick QUANTITY. Mathmatically, I can't initially see any constant
correcting this conversion
Unless somehow volume is interpolated as tick size; but we all know what a
bummer volume is (but maybe not with fewer
Ticks - nah, volume will always be a bummer). And then stohs may now be
restricted to time charts now. We'll see how Jurik holds out Monday.
We have Tradestation, Esignal, IB, and maybe some Ensign and other charting
feeds.
I would be curious to hear a survey of initial response feedback next week
from interested particicpants
Stating their feed type and initial assessment. This is a good opportunity
to organize a collective defensive posture.
Phil
> -----Original Message-----
> From: mike ball [mailto:thinkpad600e@xxxxxxxxx]
> Sent: Saturday, December 17, 2005 1:38 PM
> To: Eric Svendsen; omega-list@xxxxxxxxxx
> Subject: Re: CME Tick Aggregation
>
> We didn't have the empirical tick truth to begin with so this
> will not make a difference.
> Just a variation on a theme of mismatched tick information
> served up from the CME.
>
> Mike
>
> ----- Original Message ----
> From: Eric Svendsen <esvendsen@xxxxxxxx>
> To: OmegaList <omega-list@xxxxxxxxxx>
> Sent: Saturday, December 17, 2005 10:17:50 AM
> Subject: Re: CME Tick Aggregation
>
>
> I think this is a big deal for the tape readers.
>
> It will change TickBar calibrations too.
>
> The number and the size of the trades,
> differentiates the type of traders entering the market.
>
> The loss of information is always a bad thing.
>
> Eric
>
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