Not sure what your point is with this post. I have no doubt that the CME has the capability of time stamping their data to the millisecond. The fact is, they do not time stamp the DataMine Time and Sales data to the millisecond, they use sequence numbers within a 1 second period.
DataMine,,,"Trades that happen in the same second are each given a specific sequence number and are ordered in the same sequence that they were sent out over the market data feed."
I thought I had made the purpose and intention of this thread and my efforts clear, I wanted to compare the sequence numbers of CME DataMine Time and Sales data which is considered the un-disputable final word of trades traded and the sequence that they were sent out over the market data feed... To, the millisecond time stamped Time and Sales data from IQFeed.
It appears to me at the end of the day there is no alignment between the two, at the sub-second level.
Last edited by Cashish; January 20th, 2014 at 03:21 PM.
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I also have heard @DionysusToast say he has called the CME before and was given advice on how to bundle them, IIRC.
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The CME are extremely helpful and not only that they are really responsive. I sent 2 emails to them yesterday both in the middle of the Bangkok day time. I was amazed to get replies to both queries in 20 minutes, in both cases giving me exactly the information I needed.
In the first instance I would email email@example.com- they appear to have that manned 24 hours. As long as you state your question clearly, the people that answer that email will understand, figure out what you need and give you the information or tell you it's not available.
These people are very well trained and will not come back with vague answers to get rid of you. I also found similar level of service with Eurex too.
Also - you don't have to be a big guy to grab their attention. First time I contacted them Jigsaw was still a pipe dream and I was just creating software for my own use. Still they took the time to answer and then field any additional questions.
Do not be afraid to conact them thinking you aren't worthy of a response.
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