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Bob,
So the problem evaporates. How about the refresh? Must be minimal
change after a refresh.
Jimmy
Monday, November 29, 2004, 7:08:53 PM, you wrote:
BF> At 02:58 PM 11/29/2004, Doug Tucker wrote:
>>Does anyone understand why the s&p e-mini data is so different on
>>tradestation 8 as compared to DTN or most other feeds. There are about twice
>>as many ticks with TS8. I compared DTN with TS8 for about a month and
>>counted the daily ticks using each. TS8 has between 1.9 and 2.1 times as
>>many ticks.
BF> At 05:19 PM 11/29/2004, Jimmy wrote:
>>How could they work around it when you refresh or have to refresh a
>>chart and the ticks get cut in half. All new bars. Your 100 tick
>>chart becomes a 50 tick chart. Not good.
BF> This is not true. Please get your fact straight before jumping to conclusion.
BF> This has come up before.
BF> The conclusion was that CME does not report all the ticks and TradeStation
BF> and ESignal do.
BF> BobR and I ran tests on this in July.
BF> Collecting the data real time I received 64,464 ticks of ES from 9:30AM
BF> through 4:15PM Eastern time.
BF> Refreshing the data, I then had 64,497 ticks, a difference of +33 ticks.
BF> So I got 33 more ticks vs. real time when I refreshed the data after the
BF> close of the day, not half the ticks as you said. This is very good
BF> consistency, in my opinion.
BF> Details below.
BF> Bob Fulks
BF> -------------------
BF> I ran a test for Friday, 7/2/04.
BF> Collecting the data real time I received 64,464 ticks of ES from 9:30AM
BF> through 4:15PM Eastern time.
BF> Refreshing the data, I then had 64,497 ticks, a difference of 33 ticks.
BF> So refreshing the data did not eliminate any ticks but got 33 more.
BF> So it appears that few ticks were lost in transmission. This is with a Cable
BF> ISP. Certainly very good by any standard.
BF> BobR checked CME and ESignal for the same day:
BF> BobR wrote:
BF> With esignal on 7/2 I received 62167. The eod download
BF> produced 64342. Not a quality situation for realtime data. My DSL is on
BF> two wire and at the limits of the DSL range. There are 13 hops between me
BF> and the esignal server with a 39ms roundtrip time. I have the procedures
BF> for getting a CME count and will try that this weekend.
BF> BobR regrding CME count:
BF> The last line shows the row count of 33651. Strangely, both esignal and
BF> TS7(8) both give readings twice that of the CME. This has been true ever
BF> since I switched from dtn sat to esignal dsl in Dec 2003. No one has
BF> offered an explanation of the 2X reading. What I don't know is if esignal
BF> and TS are correct and the CME count is wrong......? We assume their reading
BF> is gospel, but who knows, maybe they are wrong, seems impossible.
BF> Bob Fulks:
BF> I got a call from someone at TradeStation. The person told me that the CME
BF> leaves out some ticks for some reason so the CME reported values are much
BF> less than the actual number of ticks reported by TradeStation and other
BF> vendors.
BF> He was expecting a message from CME explaining this and said he would send
BF> it to me when he received it.
BF> BobR Replied:
BF> Sounds right. I know another trader that made a tick by tick comparison and
BF> figured out exactly what the CME is doing with their data. He did it in
BF> excel and sent me a picture. I was busy at the time and didn't try to
BF> understand what he was saying. That was a few weeks ago. I'll retrieve the
BF> email and try to understand it. I emailed both the cme and esignal and was
BF> surprised neither answered correctly. What bothers me is dtn has pretty
BF> much the same number of ticks that cme has and with esignal having twice,
BF> this has to have charting/trading implications when using tick charts. It
BF> is more complicated than just posting both sides of the trade. I would
BF> still like to hear the correct answer from the cme and esignal. Their rep
BF> on the omegalist hasn't offered a single explanation and my email to their
BF> company resulted in an faq referral with no information. Truth is I haven't
BF> pursued either of them enough times to dig out the answer.
--
Best regards,
Jimmy mailto:jhsnowden@xxxxxxxxxxxxx
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