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PocketChange

Registered: Jul 2008
Posts: 2036

10-25-12 02:18 PM

I think most data providers are delivering records based on last trade data. ie. IQFeed. This is fundamentally wrong and furthermore No data should be filtered as your trading system must deal with this.

All market data should be based on ask/bid changes and report the volume and prices traded during. Trade data can be reported up to 3 minutes after the fact and this would allow you to programatically compare reported price against the actual market quotes.

This is especially crucial when analyzing pairs and folios where you take action based on market price conditions.

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2rosy

Registered: May 2012
Posts: 335

10-25-12 02:41 PM

Quote from PocketChange:

I think most data providers are delivering records based on last trade data.

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PocketChange

Registered: Jul 2008
Posts: 2036

10-25-12 03:04 PM

Enlighten me on 3rd party providers of Historic Options Data.
Need All Strikes, Contracts and All Quotes.
Future and Equity Options

Even the tape files we've analyzed are spotty: If the contract doesn't trade in a session you just receive the extrapolated opening and closing prices and carry over of last reported trade.

Quote from 2rosy:

no

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2rosy

Registered: May 2012
Posts: 335

10-26-12 01:59 PM

Quote from PocketChange:

Enlighten me on 3rd party providers of Historic Options Data.
Need All Strikes, Contracts and All Quotes.
Future and Equity Options

Even the tape files we've analyzed are spotty: If the contract doesn't trade in a session you just receive the extrapolated opening and closing prices and carry over of last reported trade.

the OG post was for Fdax and CL. You're prior post was a blanket statement saying tick data was only for last trade (which its not). I dont now any tickdata provider that only gives last trade; the definition of tick is each message.

In this post you are now talking about options data. You're all over the place

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Random.Capital

Registered: Jan 2005
Posts: 3848

10-26-12 02:52 PM

Quote from andread:

It's a data stream coming from an exchange isn't it? Just raw data, and timestamped. How can you possibly get it wrong?

Are you connected directly to the exchange's feed? If not, the answer to your question is: "In many many ways".

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andread

Registered: Feb 2006
Posts: 618

10-27-12 04:23 PM

Quote from Random.Capital:

Are you connected directly to the exchange's feed? If not, the answer to your question is: "In many many ways".

I am eager to know some of them.

I looked at the T&S format on the CME site. The record is specified here:

http://www.cmegroup.com/market-data...outguideCSV.pdf

So it's basically a sequence of CSV values. You want to tell me that some people make mistakes while passing it on to their customers? Or saving it somewhere? Making a lot of money in the process?
I might have found a new job for me.

The only thing that I can imagine is the hardware failure, which should be so rare to be easily considered statistically irrelevant.

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