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CME DataMine T&S vs IQFeed's millisecond Time Stamps


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CME DataMine T&S vs IQFeed's millisecond Time Stamps

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  #1 (permalink)
Miami FL USA
 
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There are over 47,000 members on this forum and I'm searching for one of them that has access to the latest CME DataMine Time and Sales Report to come forward and participate in proving (or not) the CME sequence numbers directly correlate with the IQFeed millisecond time stamps.

I personally don't have the means (I'm not a DataMine subscriber) to compare the CME DataMine Time and Sales sequence numbers to the millisecond time stamps now provided by IQFeed 5.0 nor have I seen it compared anywhere on the web, I'm asking for your help.

It is my understanding these two Time and Sales reports should align perfectly (at least on a small sample). I'm asking the members who can prove this theory to step up and prove it to me, the members and all the visitors of Big Mike's Trading Forum.

In my opinion it's one thing to think your analysis is correct, and another to know it's correct.














The images above state the DataMine data records are time stamped to the second and the trades within that second are given a sequence number. As I wrote in the text box, I question the accuracy of these statements mainly due to the dates on the sample data and the dates on the documentation. Does the CME DataMine still record data time stamped to the second, or has that changed during the last year (months), I would like to see someone verify this by posting a view of current data.

If the, "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," and the following statement is proven to be correct then the sequence numbers and the millisecond time stamps along with the volume numbers should align perfectly. I simply want help to verify this absolutely.





I snipped this comment from this thread:



So from all this poppycock I ascertain that the CME actually has millisecond time stamp data but they don't publish it, instead they use sequence numbers to identify the order of trades traded within the second. IQFeed gets the millisecond time stamps from the CME (that the CME doesn't publish) but does not get the sequence numbers, or don't publish them. All this sounds like normal trading stuff, a lot of gray area and NOT much black and white. I hope those who can help will come forth and offer to participate in this Myth Busting.

Please, Post or PM.

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  #3 (permalink)
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The Sierra Chart engineers recently said they don't think IQ Feed is actually receiving millisecond time stamping from CME.

https://www.sierrachart.com/SupportBoard.php?ThreadID=3528

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  #4 (permalink)
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Well,,,,,,, this thread didn't create much interest but I just couldn't let it go. I know these snips are kind-of crude but I believe they lay to rest the notion I had about the alignment/correlation of IQFeed's millisecond timestamped data and the CME's DataMine sequence numbers. FWIW, my charting program doesn't timestamp T&S Data sub-second, but it is IQFeed data and when running side by side with the (crude and simple) IQFeed T&S program that does show the millisecond stamps, of course they print exactly the same, tick for tick.

What I did here was take the Largest Tick traded (according to the CME DataMine T&S data) of the last three trading days and Dissected all the trades during that one second period. When I first looked into this data I was surprised and thought the findings were interesting, I thought others might as well.






January 15, 2014





January 16, 2014





January 17, 2014


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  #5 (permalink)
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I wouldn't put much belief in those results.

You need to instead just access the IQFeed API directly where you can see the TickID as sent by the exchange, along with the actual Exchange timestamp in milliseconds.

I am doing this and have not noticed any problems.

Mike

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  #6 (permalink)
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Big Mike View Post
I wouldn't put much belief in those results.

You need to instead just access the IQFeed API directly where you can see the TickID as sent by the exchange, along with the actual Exchange timestamp in milliseconds.

I am doing this and have not noticed any problems.

Mike


That's a hell of a thing to say! Why would you say that @Big Mike and not even give a hint as to what or why you're questioning? Do you see a "problem"?


I assume you dis-"believe" something, what is it, the CME DataMine data or the or the or the IQ Data?

And BTW,,,,,,,, I don't NEED to do anything.




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  #7 (permalink)
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There might be a misunderstanding.

I was simply suggesting it is difficult to analyze millisecond data and TickID on a platform that doesn't support it (NinjaTrader) and draw any conclusions.

Better to instead use the IQFeed API directly if you are determining the capabilities of IQFeed, and not NinjaTrader.

Mike

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Cashish View Post
IQFeed gets the millisecond time stamps from the CME (that the CME doesn't publish) but does not get the sequence numbers, or don't publish them. All this sounds like normal trading stuff, a lot of gray area and NOT much black and white. I hope those who can help will come forth and offer to participate in this Myth Busting.

Please, Post or PM.

I just saw this in your post. IQFeed does publish the CME sequence number, it is available in the feed. I am using it in my app. I can't speak to NinjaTrader.

Mike

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When I started using NinjaTrader, the program didn't have charts! I've still never really figured out how to open one.

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Hi @Cashish,

The CME sell sheet you posted showing second time stamps is not current. There is no date on it, but this one from CME Group showing millisecond time stamps is copyrighted 2012, well before we began providing millisecond time stamps in IQFeed:

http://www.cmegroup.com/market-data/datamine-information-sheet.html



Thanks.

Robert

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