CME FTP Time and Sales Data - EMINI

Discussion in 'Data Sets and Feeds' started by Cyphon_X, Apr 19, 2003.

  1. Cyphon_X


    I recently downloaded the time and sales for the S&P E-Mini from the CME FTP site.

    The explanation of the data format is here:

    It is my understanding that every trade should have an A or B next to it to indicate whether it occurred at the Bid or Ask.

    Only a small amount of trades are labeled with "A" or "B" in the data that I have. Does anyone know the reason for this? Is there something this newbie is missing?


  2. The CME presents the ES tick data without bid or ask and, in the vast majority of cases, it is a simple exercise to determine whether the trade occurred at the bid or ask. In the few cases where there is room for ambiguity, an A or B is inserted.