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I have not seen cme time and sales in a while, but it used to include
bid/ask changes as well as trades. Look for a code to denote which is trade,
bid, ask etc.
Good luck,
Chris
----- Original Message -----
From: <9m9@xxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Saturday, November 15, 2003 8:27 PM
Subject: GLOBEX T&S vs eSignal ticks
> 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
> v
>
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