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geosing

TW Member
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Posts: 356
Reply with quote  #1 

Traders used to look at me pityingly for using IB for tick data, as IB aggregates ticks to save bandwidth and response time, as opposed to true tick data from eSignal and Globex etc...

 

Well, now - CME GLOBEX, the source for everyone else, is going to do the same thing. I don't think there is anyone here who watches ticks that closely for trading. But if anyone depends on the nuances of true tick bars for their strategy, there is going to be less bars and less data. It will feel much different.  I wonder if IB will pass this through or if they will aggregate the aggregated ticks...

 

Geo

 

 

> Notification of Upcoming CME GLOBEX Data Feed Changes
>
> Recently, the message traffic for market data has been
> rapidly increasing.  In an effort to reduce the amount
> of message traffic, the CME plans to make an
> industry-wide change, affecting all data vendors, to
> aggregate the ticks sent by its datafeed for GLOBEX
> markets.  This means that you will receive fewer trade
> ticks overall.  This change is scheduled to take place
> on 12/18/2005.
>
> Currently, for example, a five lot order matched with
> five one lot orders will result in five trade ticks
> being disseminated, each tick having a volume of one
> contract.  Starting on 12/18/2005, a five lot order
> matched with five one lot orders will result in two
> trade ticks being disseminated, the first of these
> ticks with a volume of one contract and the second of
> these ticks with a volume of four contracts.  This is
> known as tick aggregation.
>
>
> Please be aware that if you are using tick bars, this
> will result in a reduction of the number of bars that
> you will receive for CME GLOBEX markets starting on
> 12/18/2005.  If you are using any time-based bars such
> as intraday or daily, weekly, or monthly bars, the
> number of bars that you receive should not change.

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hpm123

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Posts: 24
Reply with quote  #2 
I hate to hear that. I watch tick for divergences, I watch tick for confirmation of opening gaps that run price up on price.. Interesting development. Thanks for posting -
0
geosing

TW Member
Registered:
Posts: 356
Reply with quote  #3 

I hope you are not confusing this one with the TICK indicator which is the net up/down ticks of the NYSE (in the case of NYSE:TICK).

 

Geo

0
xDCox

TW Member
Registered:
Posts: 184
Reply with quote  #4 

This means we will see more trades below the bid and above the ask price on the ticker tape.

In a sense, raw data is becoming smoothed like a moving average

 

 


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geosing

TW Member
Registered:
Posts: 356
Reply with quote  #5 

I don't see how this can happen. A trade at a  different price causing an M0 or even an order change should immediately trigger a new M6 message - no different from what is happening now. The smoothing is only in the data rate and not actual data, as long as quote vendors use the M0 to report the last trade price - which is what they are supposed to do and not use M6 as the proxy.

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hpm123

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Posts: 24
Reply with quote  #6 
Quote:
Originally Posted by geosing

I hope you are not confusing this one with the TICK indicator which is the net up/down ticks of the NYSE (in the case of NYSE:TICK).

 

Geo

 

I am confusing that with the NYSE tick data.. Thanks for pointing that out -

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