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Yes, you are right.
That is becaue you do not see the price until the price reporter types it
in.
Trading with lagging data is tough.
neal weintraub
-----Original Message-----
From: Richard Josslin <oldfogey@xxxxxxxxxxx>
To: omega-list@xxxxxxxxxx <omega-list@xxxxxxxxxx>;
realtraders@xxxxxxxxxxxxxx <realtraders@xxxxxxxxxxxxxx>
Date: Wednesday, July 08, 1998 6:32 PM
Subject: Substantial Time Lag Today with BMI Satellite
>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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