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The GS only saves the first tick of a new bid or ask price sent from
DTN. There is an option in the GS to "save redundant real time
bids/asks," but nothing changes.
An earlier service pack of TS2000i had the bid and ask GS fields record
every tick that matched the bid/ask. The corresponding charts produced
clean data because they wouldn't save any of the bad ticks. For example, a
20 bid-tick bar would complete once 20 trade ticks hit the bid. The charts
were better at illustrating intraday momentum and true price, without all
the outside ticks and noise.
Now (post SP4c), the bid/ask charts look distorted. In the same example, a
20 bid-tick bar will complete once there are 20 *changes* to the bid
price. If you use intraday time charts, a number of bars will be missing
because often times the bid or ask doesn't change during the interval, even
though there may be activity. Also, because a tick will be saved once the
bid or ask changes, you get several gaps between the bars.
I don't know why Omega changed the bid/ask fields. They don't know why
either, by the way. The original bid/ask fields were better.
To summarize:
Before Service Pack 4c (I think):
1 bid tick = 1 trade tick that hit the bid.
After SP4c:
1 bid tick = 1 change in the bid price.
At 12:40 PM 1/18/2002 -0800, Robert Pisani wrote:
>Aside from the usual concerns (accuracy, timeliness), I need accurate
>bid/ask data for stocks. If anyone has any information about that at DTN,
>I'd appreciate it.
>Thanks.
>Bob
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