You are using an out of date browser. It may not display this or other websites correctly.
You should upgrade or use an alternative browser.
You should upgrade or use an alternative browser.
Pit Traded "realtime" charts?
- Thread starter Quah
- Start date
yes. CME employees for price reporting
try to catch every transaction.
They have fancy keypads similar
to what you see at your local supermarket.
I did not work there, but I estimate
the lag is 2 - 4 seconds.
Anyway, exept for NYMEX and some grains, pits are dead.
You should only listen to the ES
try to catch every transaction.
They have fancy keypads similar
to what you see at your local supermarket.
I did not work there, but I estimate
the lag is 2 - 4 seconds.
Anyway, exept for NYMEX and some grains, pits are dead.
You should only listen to the ES
When they capture prices, they're not really capturing trades per se - that's why they call it "price capture", not "trade capture" at the exchange.
They're capturing the latest price a transaction went out on but they're not going to catch each one. They'll miss loads of them and they often won't even bother posting multiples if the price hasn't changed (i.e., you're likely to see only 1040.50 cross when in reality 5 pairs of traders in the pit each transacted at that price at that moment). They also do NOT capture trade volume.
So bar data will generally be accurate, but raw tick data will miss a lot and there'll be no reliable intraday volume at all. So it's probably not wise to try to use tickbars or any fancy analytics that rely on a reliable tick stream.
They're capturing the latest price a transaction went out on but they're not going to catch each one. They'll miss loads of them and they often won't even bother posting multiples if the price hasn't changed (i.e., you're likely to see only 1040.50 cross when in reality 5 pairs of traders in the pit each transacted at that price at that moment). They also do NOT capture trade volume.
So bar data will generally be accurate, but raw tick data will miss a lot and there'll be no reliable intraday volume at all. So it's probably not wise to try to use tickbars or any fancy analytics that rely on a reliable tick stream.
$PREM is just the difference between the current cash index and the current price in the pit (although there is also a version of premium based on the ES). Not having each and every trade nor the volumes doesn't critically affect the the "current" pit price used for $PREM.Quote from Quah:
Interesting - based on that, since SP price is needed to calculate $PREM, $PREM will also suffer from the same issues.
But note that the cash index is NOT typically instantaneously calculated and transmitted. It's usually updated on a time interval - so there's an inherent lag in the $PREM because there's an inherent lag in the $SPX value.