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Mike,
I will evaluate better later, but it seems like
CME can manipulate stoh spikes, hooks, and divergence based on contract
size.
I am running mini tic sessions, so there
Might be a bias there. It may be all right, but I don't see how you are
Using same tic sizes as before and the same stohs look the same too (?).
It can go back to the way it was in a fraction of a second since they don't
pay
For commision anyway. Another charting indicator variable is exchange tic
size no matter how you rationalize it;
And this is a variable that has never been there before.
I'm sorry I made you scrutinize a new trading variable.
But if you haven't changed anything and don't see any difference then you
are ok.
I'm sure you will get over your mental duress rapidly; and can give you some
Transactional Analysis therapy sessions if needed.
I don't get the same indicator confirmation, yet any way, but its really to
early to judge.
Phil
> -----Original Message-----
> From: mike ball [mailto:thinkpad600e@xxxxxxxxx]
> Sent: Monday, December 19, 2005 10:16 AM
> To: Phil Bailey; Eric Svendsen; omega-list@xxxxxxxxxx;
> bfulks@xxxxxxxxxxxx
> Subject: Re: CME Tick Aggregation
>
> Stochs are running the same as always. Business as usual as
> was figured. My Tick charts all look the same.
>
> However, your statement on "Bigger Ticks" goes along with the
> annoucement the CME made.
> So, no big surprise there.
>
> As for the tape this morning, yeah, I'd say some triple digit
> size was prevalent in first half hour opening session.
>
> Thanks Phil, now you have me scrutinizing the tape again, for
> "some" directional bias in the NQ e-minis.
>
> And after all those years of self-help and therapy to not do
> that so much. All blown in a few careless discussions on
> Omega-List.... ;-)
>
> mike
>
> **Not sure if these attachments will go through, but figured
> I'd share them with the list. The actuals on the tape were
> admittedly bigger than what I usually see in opening hour sessions.
>
>
>
>
> ----- Original Message ----
> From: Phil Bailey <baileyp@xxxxxxxxxxx>
> To: mike ball <thinkpad600e@xxxxxxxxx>; Eric Svendsen
> <esvendsen@xxxxxxxx>; omega-list@xxxxxxxxxx; bfulks@xxxxxxxxxxxx
> Sent: Sunday, December 18, 2005 8:48:51 PM
> Subject: RE: CME Tick Aggregation
>
>
> 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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