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Dear Fellow Traders,
I have run BMI satellite as my real-time data feed since 1985. From
time to time I have heard from others among these groups that the data,
particularly S&P futures data, occasionally lags the market, sometimes
by 10-20 seconds, occasionally by more than a minute.
At the end of this May, I subscribed to the LOS Squawkbox (www.los.net),
and since then, while following the S&P futures market realtime, I have
informally comparing the ticks on my monitor (1- or 2-tick chart) with
the call from the Squawkbox. This is not exact, as the ticks on the
screen represent "last price traded" while the Squawkbox broadcasts only
bids and asks. Nevertheless, I believe that I can readily tell when
then are following one another more or less synchronously.
In my experience, their synchrony has never been more than a second or
two apart, with the monitor (satellite) prices lagging.
Today, at the close, following a strong rally that made contract and
all-time highs, the S&P market went into a trading range for about a
half hour, and then many commercials began selling size heavily in the
closing minute of trading. The Squawkbox was going wild - it sounded
like pandemonium reigned on the floor as the brokers were falling over
themselves, executing trades in the final seconds --- a truly "wilde
rumpus", indeed. Over the Squawkbox, I heard the closing bell ring,
signifying the end of trading. I looked at the header at the top of my
screen, showing the date and time. It read 4:13 PM. I was surprised,
as I expected it to have just changed to 4:15 PM (Eastern), when the
market closes. I looked at the clock that is immediately in front of me
and noted the position of the second hand. Approximately 15-20 seconds
later, the time on my screen header changed to 4:14 PM. A minute later,
it changed to 4:15 PM, signifiying the end of trading according to my
BMI satellite data. After I heard the bell ring over my Squawkbox, my
S&P chart continued to add new data; when the time on my screen header
changed to 4:15 PM, the chart stopped making new ticks.
I conclude that at the close of trading today, the S&P futures data that
I received by BMI satellite lagged the market by over 75 seconds.
Sincerely,
Richard Josslin
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