Difference in ES tick volume

[originalskunk]

There does not appear to be a universal definition of "tick". Some vendors seem to include both sides of the trade as separate ticks. What would YOU expect if a resting 10 lot order in the book got taken out by 10 successive 1 lot orders?

a) 10 individual ticks each with size == 1
b) 1 tick with size == 10 or
c) 11 ticks 10x1 and 1x10.

You will find that different data and software vendors treat this case differently. This is why it is so difficult to duplicate somebody else's tick interval chart without also using the same data feed and even trading application. Not to mention the fact that the exchanges themselves change the rules as they go along.

 

[murray t turtle]

Quote from Equalizer:thunderdog,on IB charts

Sure, it is explained rather well in this thread:
http://www.elitetrader.com/vb/showt...age=6&highlight=ib and snapshots&pagenumber=1

the salient phrase being:
"Every 300ms or so TWS gets the aggregate changes for the items you monitor. Then it passes the data on to your app. This means that you sometimes lose a high/low price since if the price jumps up and then back down you only get the final value."

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Seems to affect volume more so than price;
on liquid stocks/eminis

And 5 different data providers give 5 diffreent prices for 50dma

 

[squeeze]

To shed a little light on the CME data.

The CME has two different feeds.

ITC feed for level1 data
RLC feed for level2 data.

The RLC feed has greater transactional resolution than the ITC feed. Different vendors may use different feeds. For example, eSignal use the RLC feed and get top of book from this.

Other vendors use the ITC feed and will transmit fewer ticks.

If you are reliant on the number of ticks then makes sure you understand exactly how the data gets to you.

 

[nononsense]

Quote from Equalizer:

As to what the CME has done, read this:
http://www.cme.com/files/M6Aggregation.pdf

Also do a search for "tick aggregation" on these forums, as these issues have been discussed before.

Basically they clump a bunch of trades (ticks) together and send them to you as one unit to make life easier for themselves.

The CME already does this at their end. Some of the data vendors add their flavour of aggregation on top of this as well. Nice.

IB is a broker, not a data vendor, so they send snapshots - but I gather everyone knows this already right? In their case the data is highly aggregated.

So was eSig Vendor1 or 2 in your test? Just curious...

Equalizer,

When CME aggregates ticks, how do they show up on their nightly T&S?

 

[Agyar]

I did a side by side on a system I have that is very sensitive to volume, and Esignal was consistently missing about 10-15% of the volume that I was getting from IQFeed. Yet another thing I hate about Esignal... but I can't quite ween myself off of them yet because there are some features that I haven't completed on my custom software yet.