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How about this? Volume based charts & Tick based charts look very
similar to each other, as compared to time based charts. CME's change,
as I understand, changes the number of ticks being reported. But it
should not change the number of contracts being traded reported.
So, maybe if you can come up with a volume based chart interval that
closely matched your 600t & 1200t chart "before the changeover".. maybe
the charts would keep looking more or less the same "after the changeover"?
Let us know if that makes any difference.
Thanks,
Abhijit
marc miller wrote:
RE: My 'tick charts'-- 600 & 1200, on both the ES #F, and NQ #F (DBC Esignal
feeds)
My 1200 tick, usually about 40- ish bars in a day now has about 15 bars
My 600 tick, usually around 100- ish bars in a day, now showing about 20
bars (just approximate- eyeballing with this old dog's +200 readers..)
Needless to say, indicators/systems on my "tick" charts aren't LOOKING like
they used to.
lack of bars + lack of signals = lack of detection???
I cannot tell if it is because of "low volume" of the Holidays,
or the CME Tick Aggregation.
But I'll wager the latter.
Anybody else with some feedback?
Wishes to all for a good year-
Marc Miller
----- Original Message -----
From: "Phil Bailey" <baileyp@xxxxxxxxxxx>
To: "'Abhijit Dey'" <omegalist@xxxxxxxxxx>; "'Omega List'"
<omega-list@xxxxxxxxxx>
Sent: Tuesday, December 20, 2005 1:42 PM
Subject: RE: CME Tick Aggregation
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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