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Regarding my prior mail...
I have had NO luck in being able to read ASCII TICK data
and get the Volumes as well. I can get see all the tick data,
the dates and times.....but no volume.
I have had a dialog with Tech Support at Omega since the original
post last week and still they cannot provide a solution.
At this point I believe it can;t be done.....
There has been a number of items in ther list about whether ascii tick
data actually exists. It does !! I have gigabytes of it. We get it directly
from the exchange. It is also available live; and does not require fully
automated exchanges....as the OPEN OUTCRY contract volumes
and prices are recorded LIVE in (near) REAL TIME....
The exchange provides 2 sources of data.
1) The CHIT price & volume records, this is what the guys in the PITs
write down on their chits as they trade ..It is typed in as the day progress.
2) The PIT data, recorded live from the actual trades....This is what goes
out on the live feed (EG reuters, telerate etc). There are data entry
operators on the catwalk above the exchange PITS typing in the
trades as they happen !!!! Amazing but true.....Yes typing, by hand,
all the trades, in real time........I just walked back from the exchange
and they are still there....
The live feed's PIT data is not 100% accurate (typo's) and is corrected
in real time as the chits come through. The live feed suppliers
have a protocol that allows past data to be corrected. A
big problem with a live real time Tradestation is what do you do
when history changes and your position changes due to a
correction?
We have been getting both sets of data at the end of month
every month, since 1992 from the exchanges. So I guess it
must exists. If people find this too hard to believe I can send
them some.....
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