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Abhijit,
Nice snap shot analysis. For ES, its about cut in half, easy.
But it is a variable determined by market makers who control the efficiency
by basket size.
Its kind of like a stealth. You don't hear or get any feedback from market
and then its gone.
If I didn't have 4 index quotes flashing, I couldn't tell if the market was
going even with 4 screens of charts.
Feedback is a distraction though. It is real efficent now anyway, but it's
the holidays too.
Its a good opportunity to clean charts up. But it will take some history to
mesh these
Charts with the old for a confident indicator comparison, but it looks good
so far.
I guess ES was getting way beyond most of the Financial communities hardware
capabilities, cheap #$%&*'s.
And IB has less tick quantity 'variance' but they are getting data from CME
as well.
So in effect they will still be average (~).125 seconds delayed after the
large packets hit from CME.
Instead of the average 'contract tics' delayed, it will now be the average
'largest size contract packets' delayed.
So as far as 'error' of efficiency (timeliness and not tick counts), they
should theoretically be less efficient
with the sum of variances (CME delay + IB delay) indicating greater delay
{error}.
They should have lost most all of the initial IB quote system advantage for
the customer (supposed hardware efficiency),
but IB company scalpers may take home bigger paychecks now.
Thanks,
Phil
> -----Original Message-----
> From: Abhijit Dey [mailto:omegalist@xxxxxxxxxx]
> Sent: Monday, December 19, 2005 5:45 PM
> To: Omega List
> Subject: Re: CME Tick Aggregation
>
> Number of bars
>
> 12/16 TS8 12/16 IB ratio 12/19 TS8
> 12/19 IB ratio
> ES 500t 144 42 0.29 83 43
> 0.52
> ER2 300t 136 49 0.36 131 55
> 0.42
> EMD 100t 120 51 0.43 105 55
> 0.52
>
> 1) We IB data people now have "less error" ; )
> 2) High volume contracts are affected more, which makes
> sense. The trades that get aggregated is one big lot hitting
> many smaller lots.
> That obviously happens more in ES. In something like EMD,
> it's more of small fry's small lot maching another small
> fry's small lot on the other side, so the drop in data volume
> would be less.
>
> Now, we are dealing with too many moving targets; rounding
> errors; no idea how IB's volume is affected. So the
> observation #2 above is kinda
> iffy. But observation #1 is good ; )
>
> Abhijit
>
> PS :
> someone want to redo this with eSig data?
> thanks to SVE for the TS8 data
>
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