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Anyone who has followed the Bonds of a very short term basis will have
noticed that recently, one minute charts have revealed many more bars with
only one or two ticks - perhaps the result of slower summer activity but
more ominously, a possible permanent diminution in liquidity.
For what its worth, two cursory "side by side" comparisons of the September
Bonds Time and Sales data from the CBOT web site matched very nicely with
DTN's feed (as I have received it) on two different days last week. Ticks
and prices were almost exactly the same in spot checks throughout the trading
day. Running Win2000-TS2000 SP5 - Digi card at 460800 baud rate.
Regards,
Jim Alvis
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