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Absolutely. Data providers should always pass on the data. PERIOD.
They could warn their customers but it is not responsible to turn
volume off.
Best regards,
Jimmy Snowden
mailto:jhsnowden@xxxxxxx
Sunday, November 9, 2003, 10:03:43 AM, you wrote:
M> Hi List,
M> eSignal has been stripping volume data (ie tradesize=0 on all trade
M> quotes, while it reports size on bid/ask quotes) from all CBOT a/c/e
M> traded instruments (e.g. Dow emini YM, bonds etc) since mid-October.
M> This change invalidates all volume studies, makes tick-volume charts
M> useless etc.
M> eSignal reported it's doing so, because CBOT a/c/e is transmitting
M> "wrong" volume data (background: in the a/c/e/ system trade-volume size
M> reported per trade quote does not correspond to an individual trade, due
M> to a/c/e "netting" system). Well, the CBOT a/c/e engine has been working
M> the same way since its first day. eSignal announced it'll wait for the
M> CBOT's "new" system (based on LIFFE's engine, no dates yet) that will
M> report every trade (like Globex does), before it resumes transmitting
M> volume. That will take months...
M> While I have publicly appraised eSignal for its improvement in many
M> aspects over the last 1.5year, I think this particular decision to
M> remove volume is absolutely wrong and very alarming about their decision
M> making process on such crucial issues. Professional traders have enough
M> problems to deal with nowadays, without this kind of quote vendors'
M> "help".
M> eSignal should asap start reporting the volume data exactly as it is
M> transmitted by the CBOT exchange, as esignal was doing until mid-Oct.
M> And let the trader decide if its "wrong" and whether to use it or not!
M> If you're an eSignal subscriber and trade any of those markets (Dow YM,
M> bonds etc) let them know. And if you trade Eurex markets beware, because
M> your volume is "wrong" (using the same definition) too and might
M> disappear tomorrow!
M> Regards,
M> MT
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