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Hi List,
eSignal has been stripping volume data (ie tradesize=0 on all trade
quotes, while it reports size on bid/ask quotes) from all CBOT a/c/e
traded instruments (e.g. Dow emini YM, bonds etc) since mid-October.
This change invalidates all volume studies, makes tick-volume charts
useless etc.
eSignal reported it's doing so, because CBOT a/c/e is transmitting
"wrong" volume data (background: in the a/c/e/ system trade-volume size
reported per trade quote does not correspond to an individual trade, due
to a/c/e "netting" system). Well, the CBOT a/c/e engine has been working
the same way since its first day. eSignal announced it'll wait for the
CBOT's "new" system (based on LIFFE's engine, no dates yet) that will
report every trade (like Globex does), before it resumes transmitting
volume. That will take months...
While I have publicly appraised eSignal for its improvement in many
aspects over the last 1.5year, I think this particular decision to
remove volume is absolutely wrong and very alarming about their decision
making process on such crucial issues. Professional traders have enough
problems to deal with nowadays, without this kind of quote vendors'
"help".
eSignal should asap start reporting the volume data exactly as it is
transmitted by the CBOT exchange, as esignal was doing until mid-Oct.
And let the trader decide if its "wrong" and whether to use it or not!
If you're an eSignal subscriber and trade any of those markets (Dow YM,
bonds etc) let them know. And if you trade Eurex markets beware, because
your volume is "wrong" (using the same definition) too and might
disappear tomorrow!
Regards,
MT
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