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EOT Automated System

  #29 (permalink)

 Vendor: www.tradingstudies.com 
Denver, CO
 
Futures Experience: Intermediate
Platform: NinjaTrader
Broker/Data: Amp Futures/Zen-Fire
Favorite Futures: TF, ES, CL
 
roonius's Avatar
 
Posts: 132 since Jun 2009
Thanks: 20 given, 277 received


cunparis View Post
As of October 2, CME does bundle trades together. What roonius says is true. It is not possible to know if it was one trader or several. All we can know is x number of shares were traded at a specific price (bid or ask). That's it. But I think it's enough to be useful.

Nobody exactly knows, but I believe CME is more granular now.
here is a quote from eSignal officials:


Quoting 
As of Sunday 10/4, we are seeing a signifcant increase in the # of ticks being sent by the CME on contracts like ES. There was a change announced by the CME for last Sunday but the behavior change doesn't match the description in that announcement.

As an example, we compared a period of time from 9/29 vs 10/6 on ES #F. The overall volumes were within 10-20% of each other (indicating fairly similiar activity) but the amount of ticks on 10/6 was more than double what we saw on 9/29. We are in contact with the CME and will post further information this week.

This is mostly a heads-up for those that look closely at tick counts or use tick bars (200T for ex) and follow contracts like the e-mini. The aggregrate volumes match the CME's site so we don't believe there's any overall issue. It just appears that where they were combining trades in the past, they are now sending more granual precision.

More to come.

Thanks.


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