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Your observations are certainly correct and are applicable in all exchange traded
markets.
It is my belief that it comes down to the priorities of the price reporters on the
floor. The only time you will get accurate bid/ask on your screen is when the the
reporter takes the time to input. If they are busy with current traded prices, they
do not input bid/ask. When the market quiets down, the bid/ask will then come up to
date again.
This is a big plus for electronic trading - you always know the bid/ask and the
volume is accurate.
Manning Stoller
Earl Adamy wrote:
> >I call the floorseveral times daily and bid/ask/last is always right in line
> with my BMI price on my screen.
>
> This prompts a question. I'm using Ensign with DTN and I've noted that S&P and
> currency bid/ask from CME were identical to the CME realtime feed during Globex
> hours and virtually useless during RTH. Since the last price seems to be
> accurate within a second, I sent a note off to Ensign's author with some current
> examples of useless bid/ask data for the S&P:
>
> Example#1: Last = 1102.00, Bid = 1101.70, Ask 1101.60
> Example#2: Last = 1101.50, Bid = 1102.10, Ask 1101.70
> Example#3: Last = 1101.10, Bid = 1101.20, Ask 1101.40
>
> He replied: "I have seen the same problem for years. In watching the raw data
> feed from our vendors, more current bids and asks are just not sent. The
> program is the bucket at the end of the pipe. The program cannot invent data
> that is not sent down the pipe." Since Ensign runs under both DTN and BMI, his
> reply suggested to me that the bid/ask issue is not feed specific.
>
> Anyone care to comment on this?
>
> Earl
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