Globex Time & Sales from CME

Have any of you guys taken a look at the "trade number" field in this data? Looks like some sort of serial number for each trade. At times it increments by 1, other times it skips by random amounts. Do these skipped numbers refer to dropped/filtered trades?

TIA
 
Today's CME file gx031113.iom does not contain NQ data. On the odd occasion when this has happened in the past, notifying the CME did not help. To be fair, their tick data is the cleanest you'll find anywhere and you get what you pay for.
 
The CME has amended yesterday's gx031113 file to include NQ data. They didn't see fit to do this for the file of October 8 which also had NQ data missing, despite an email from me. (Sniff, sniff, I smell Eurex.)
 
Quote from Mr Subliminal:

The CME has amended yesterday's gx031113 file to include NQ data. They didn't see fit to do this for the file of October 8 which also had NQ data missing, despite an email from me. (Sniff, sniff, I smell Eurex.)
More...

Hey Subliminal,

Did you ever bother to check on Eurex's website for T&S. Nope.
Trying to get something out of them was quite an adventure. I posted some time ago about this. In short, they sold me a CD with corrupted T&S data. Upon complaining they thanked me for pointing this out to them but they refused to send me a corrected CD.

Altogether not a very good example for the US exchanges.
In fact it would be high time that the regulatory agencies would oblige the exchanges to keep at least 30 days worth of T&S data on line. Isn't the public entitled to know about this? CME used to have this till about a year or so.

CBOT is "subminimal", i.e. they have it for one day only. Hit and run!

nononsense
 
I wanted to order Eurex T&S data
as well. Can you specify in what
way the data was corrupt ?
If I order now, do you see a chance
of getting correct data ?

If I remember correctly the price
for that service was very low, about
EUR 10 per CD or so, right ?
 
Quote from saschabr:

I wanted to order Eurex T&S data
as well. Can you specify in what
way the data was corrupt ?
If I order now, do you see a chance
of getting correct data ?

If I remember correctly the price
for that service was very low, about
EUR 10 per CD or so, right ?
More...

Hi saschabr,

The files had data points mixed in that had nothing to do with the actual trading. I never understood exactly where they came from but it had something to do with outside transactions. This data was wrongly timestamped and this caused spikes in an absolute random way. As I wanted the data badly I wrote a program to filter these spikes out.

I don't have any idea as to whether they fixed this or not. The whole thing seemed unbelievable. I get clean Eurex data from other sources since.

Insofar as I recall the price of $10 is about what I paid per contract per month. You can call 00 49 69 2101 1800 to find out more.

Be good,

nononsense
 
Thanks NN for you input.
The only reason why I would want
this data is because it seems that
it is TRUE tick data, exact to every tick &
millisecond.

Data sampled from Eurex data vendors
(FutureSource, Realtick, IB etc) is always
only "snapshot", ticks are missing.

As long as Eurex does not get a reasonable market data system, I wish
they have ZERO SUCCESS with EurexUS,
so that US bonds can trade on a better technical platform (LIFFEconn)
 
Quote from bidmasterx:

I have been downloading the globex t/s since April 02, 2003. If anybody has data prior to that and would be willing to share the files I would truly appreciate that. If anybody needs the data that I have I can share with them also.
More...

I have:

2001.10.24 - 2002.07.12
2002.08.01 - 2002.08.16
2003.08.22 - present

Would like to fill in my gaps, and maybe get some older data too. Willing to share what I have as well of course. I can set up an FTP server for the files if necessary.
 
Since we are complaining about exchanges, I wish the exchanges and the data vendors which retransmit their data would provide a technical statement describing just what their data represents:

Is the data bucketed (stored and then transmitted in groups according to a system heatbeat (like every two seconds for example))?
How many updates per second are transmitted?
Is the data delayed or time equalized by geographical region?
Are trades skipped?
Are trades and the same price and same time combined? If so how?
Are there different levels of data feeds? If so which one is being used by my data vendor?
What are the policies concerning correcting, filtering ticks?
Just what does the volume data mean? (YM used to have this crazy cumulative volume thing)
 
You must log in or register to reply here.
Back
Top