where do you get your S&P data?
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sudden drop in average trade size on emini S&P 10/5?
- Thread starter dcriese
- Start date
where do you get your S&P data?
Not sure if this is the answer to your issue:
As of Sunday night 10/4/2009 the CME changed the way it reports trades. I don't know the particulars but they are sending "more information faster". Pull up a tick chart of the ES from last Friday and compare it to Monday and Tuesday - you are now getting almost twice the number of bars in the same amount of time.
As of Sunday night 10/4/2009 the CME changed the way it reports trades. I don't know the particulars but they are sending "more information faster". Pull up a tick chart of the ES from last Friday and compare it to Monday and Tuesday - you are now getting almost twice the number of bars in the same amount of time.
Quote from DWV:
Not sure if this is the answer to your issue:
As of Sunday night 10/4/2009 the CME changed the way it reports trades. I don't know the particulars but they are sending "more information faster". Pull up a tick chart of the ES from last Friday and compare it to Monday and Tuesday - you are now getting almost twice the number of bars in the same amount of time.
Without "error detection" like the OP did, and forums, how are we going to know when things like that change? Oy vey..
Quote from DWV:
Not sure if this is the answer to your issue:
As of Sunday night 10/4/2009 the CME changed the way it reports trades. I don't know the particulars but they are sending "more information faster". Pull up a tick chart of the ES from last Friday and compare it to Monday and Tuesday - you are now getting almost twice the number of bars in the same amount of time.
So as of 10/4 CME has implemented a "Equity futures enhancement". http://www.cmegroup.com/globex/files/EquityFuturesEnhancements.pdf
From their paper is this: "CBOT Equity futures will now send milliseconds in iLink timestamps, as options and FX futures do today. FIX/FAST timestamps will always default to â000â milliseconds and should not be relied upon by
customers."
(Thanks to Jeff Quinto at ElectronicFuturesTrader.com for pointing me to the info)
So does that mean that in effect the large block trades are broken up into smaller trades divided in milliseconds?
Wow so many people who think they know about my religion better then me, truly a delight. And actually, all days are observed as non working days. The in between days some people observe some do not. But if you look at the actual "law", a person is not supposed to work any of the days except in certain circumstances.
But thank you for trying.
But thank you for trying.
Quote from el pollo:
I noticed their was less kvetching today about bad fills!
BTW: Sukkot started sundown Friday, October 2 and lasts 7 days, only the first two days are observed as "non working holidays", so your theory is off base Moishe.
Quote from munnyhunny:
Wow so many people who think they know about my religion better then me, truly a delight. And actually, all days are observed as non working days. The in between days some people observe some do not. But if you look at the actual "law", a person is not supposed to work any of the days except in certain circumstances.
But thank you for trying.
Everybody observes the holiday their own way, there is no "right" or "wrong" way. Religion comes from within, not from some Moishe from ET.
According to your Calander, Sukkot ends Friday 9, October!
If you are Orthodox, why are you on the computer Moishe?
Did you have a cheesburger & milkshake in The Sukkot, someone is a hypocrite here?
has this thrown anybody else "off"?
weird week thus far....
weird week thus far....