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Number of bars
12/16 TS8 12/16 IB ratio 12/19 TS8 12/19 IB ratio
ES 500t 144 42 0.29 83 43 0.52
ER2 300t 136 49 0.36 131 55 0.42
EMD 100t 120 51 0.43 105 55 0.52
1) We IB data people now have "less error" ; )
2) High volume contracts are affected more, which makes sense. The
trades that get aggregated is one big lot hitting many smaller lots.
That obviously happens more in ES. In something like EMD, it's more of
small fry's small lot maching another small fry's small lot on the other
side, so the drop in data volume would be less.
Now, we are dealing with too many moving targets; rounding errors; no
idea how IB's volume is affected. So the observation #2 above is kinda
iffy. But observation #1 is good ; )
Abhijit
PS :
someone want to redo this with eSig data?
thanks to SVE for the TS8 data
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