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Hi, I parse out CME data myself and am familiar with your issue. My vendor
of comparison is Realtick vs. eSignal. Just a note of caution regarding
intraday data. ALL VENDORS DIFFER.
Miles Dunbar presented a detailed analysis at a Futures symposium that
compared intraday data from different sources. It turns out that even the
same vendor across cable, satellite, and network varied on bars, including
highs and lows!!! The differences across vendors is even greater. Larry
Williams likes to point out the same thing, and I've certainly witnessed
real-time differences first-hand.
This has an VERY important impact on intraday back testing. You will not
get the same signals on CME data as eSignal. The CME data is valuable to
get a general idea of system performance, but backtest on eSignal data to
get something closer how it would really trade for you.
What I've done is strip off and save Realtick data for the markets I trade,
then backtest on that data. I do use CME data exactly as I suggested.
Cheers,
Kevin
> From: 9m9@xxxxxxx
> To: omega-list@xxxxxxxxxx
> Subject: GLOBEX T&S vs eSignal ticks
> Message-ID: <8425904718.20031115202702@xxxxxxx>
> Content-type: text/plain; charset=us-ascii
> Content-transfer-encoding: 7bit
> Hello omega-list,
> I try to figure out how data that i use (eSignal) correspond with
> GLOBEX data.
>
> I parse GLOBEX Time and Sales datafile
(ftp://ftp.cme.com/pub/gtime/gx031114.zip)
> and got 54653 T&S records. Then i sum up volume from all records and
> got total 630640 contracts (i compare just day session 9:30-16:15 ET).
> I opened 1 tick chart in TS and inserted Volume indicator and export
> data to file. I parse file and got 109185 records then sum up all
> volume from all records and got 622679 contracts (day session).
> Now question is why the difference in number of records between GLOBEX
> T&S file and tick file from TS (with eSignal) so big (54653 vs 109185)?
> Volume about the same 630640 and 622679.
>
> Or maybe i use a wrong method to compare data?
>
> TIA
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