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EOT Automated System

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Market Wizard
Columbus, OH
Trading Experience: None
Platform: NT 8, TOS
Favorite Futures: ES
Silvester17's Avatar
Posts: 3,461 since Aug 2009
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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.

it's my understanding that cme DOES NOT bundle trades anymore since october. that's why we have more ticks. and that's why tick traderes needed to increase their tick period.

roonius you're right some providers "store" tick data. but I pretty certain zen-fire does not.

Last edited by Silvester17; December 4th, 2009 at 04:53 PM.
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