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Viewing User Profile for: wmnelson
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Joined: Aug 22, 2007 07:11 PM
Last Post: Jul 13, 2009 03:17 AM
Last Visit: Jul 13, 2009 12:13 PM
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wmnelson has contributed to 4 posts out of 20641 total posts (0.02%) in 5,425 days (0.00 posts per day).

20 Most recent posts:
Data and Content Support » Lots of missing historical tick data... Jul 13, 2009 03:17 AM (Total replies: 4)

Thanks for the info. Can you tell me, how do you know this? It is not obvious to me why the exchange would handle or count spread trades any differently than buying/selling a specific contract.

It's not that I mistrust what you say, but I want to delve deeper and understand these mechanics much better. Is this in some CME/CBOT/Globex Rulebook or manual somewhere? I'm not a member of CME/CBOT. I don't know if being a member allows greater access to some of these details or if they're already publicly available.



Data and Content Support » Tick Data Times, Bid/Ask Sizes, TickIDs... Jul 5, 2009 06:08 PM (Total replies: 1)


I am trying to understand exactly what is served up with historical tick data. I have three questions.

(1) What is the accuracy of the tick data time stamps? Is there any possibility that these timestamps are sometimes significantly wrong due to machine latencies, e.g., the DTN machines fall behind in receiving data from the exchanges and therefore stamp the ticks with erroneously late timestamps? I see the timestamps are reported in whole seconds (too coarse) and appear to be rather bursty, so that dozens or hundreds of transactions occur in one second, then none for a few seconds, then hundreds more, etc. Is this burstiness real or an artifact of data collection?

(2) Bid/Ask sizes seem always to be reported as 0. Any way I can get this data?

(3) What is the reported tickID? Is there any significance to this? I notice lots of tickIDs are skipped so the sequence has lots of holes in it. Is there anything useful to be understood from these holes?

Thanks again,

Data and Content Support » Lots of missing historical tick data... Jul 5, 2009 05:55 PM (Total replies: 4)

Greetings all,

I am trying to reconcile historical daily volumes with historical tick data. For example, take the contract @W# on July 2. The reported volume with an HDX command is 11741. This value matches the data given on the CME website. But when I download the available tick history with an HTX command from DTN, I see only 213 ticks with a total volume of 276. Are we somehow missing an enormous amount of tick history here?

I did a similar computation for @ES# on July 2. The daily volume reported by DTN and CME is both 1850449. But the total volume represented by the DTN tick history is 1849360 on 175059 ticks. The DTN tick history seems to be missing 1089 contracts. It's a small fraction of the total volume, but it would be nice to know where these contracts may have went. To compute July 2 volume, I summed the tick volumes from July 1 16:20 EST through July 2 16:20 EST. This is the most natural definition. Other definitions are conceivable, but I haven't been able to find any that comes closer than this.

Obviously, the problem with @W# is much more severe.


Data and Content Support » Transactions outside bid-ask spread... Aug 22, 2007 07:17 PM (Total replies: 7)

I am wondering how it is that transactions can take place outside the bid-ask window. In particular, looking at the Time & Sales data for @ES# today (Aug. 22), there are numerous examples of transaction prices greater than the ask price around 19:08, when the price spiked. Is it possible the quoted bid-ask prices are perhaps a bit stale in very fast moving markets? Or perhaps the data is wrong?
If anyone knows the mechanics well enough to suggest how this can happen, please let me know. Thanks,


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