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On a similar note, watch the SP mini and the SP.....the guys at the edge of
the pit are trying to arb the mini and the S&P.....because of a delay in
getting some of the quotes into the system, the quotes on the mini will
usually let you know where the real market is several seconds sooner.
Denis Cattani
-----Original Message-----
From: Lawrence Lewis <lel@xxxxxxxxxxxxxxxx>
To: RealTraders Discussion Group <realtraders@xxxxxxxxxxxxxx>
Date: 23 January, 1998 10:44 AM
Subject: Do SP Futures really lead cash?
>I've been wondering whether anyone here has done the following test with
>their real time feed:
>Compare the SP500 futures contract with the actual real-time tick by tick
>compilation of cash transactions on each stock which is a component of
>the SP500.
>
>I know the futures lead the REPORTED cash by a minute or so, but what
>about actually calculating the cash. This way you could also get volume.
>Even better, it seems one could estimate the cash even better by looking
>at bid/ask and size.
>
>What does anyone think?
>
>Larry Lewis
>
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>
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