eSignal stipping volume from CBOT a/c/e markets (e.g. YM) since mid-Oct

Discussion in 'Index Futures' started by mtzianos, Nov 9, 2003.

  1. eSignal has been stripping volume data (ie tradesize=0 on all trade quotes, while it reports size on bid/ask quotes) from all CBOT a/c/e traded instruments (e.g. Dow emini YM, bonds etc) since mid-October.

    This change invalidates all volume studies, makes tick-volume charts useless etc.

    eSignal reported it's doing so, because CBOT a/c/e is transmitting "wrong" volume data (background: in the a/c/e/ system trade-volume size reported per trade quote does not correspond to an individual trade, due to a/c/e "netting" system). Well, the CBOT a/c/e engine has been working the same way since its first day. eSignal announced it'll wait for the CBOT's "new" system (based on LIFFE's engine, no dates yet) that will report every trade (like Globex does), before it resumes transmitting volume. That will take months...

    While I have publicly appraised eSignal for its improvement in many aspects over the last 1.5year, I think this particular decision to remove volume is absolutely wrong and very alarming about their decision making process on such crucial issues. Professional traders have enough problems to deal with nowadays, without this kind of quote vendors' "help".

    eSignal should asap start reporting the volume data exactly as it is transmitted by the CBOT exchange, as esignal was doing until mid-Oct. And let the trader decide if its "wrong" and whether to use it or not!

    If you're an eSignal subscriber and trade any of those markets (Dow YM, bonds etc) let them know. And if you trade Eurex markets beware, because your volume is "wrong" (using the same definition) too and might disappear tomorrow!


  2. MT,

    Could you please explain what you mean in more detail. Volume shows up just fine in my intraday charts (just looked at the dow emini). Daily interval charts have wrong volume, which most of us are aware of.

  3. The easiest way to verify my statement is to just check Time&Sales of any a/c/e traded instrument (e.g. Dow emini YM or bonds/notes). This is going on since 13-Oct-2003.

    The intraday volume you see in your esignal intraday charts since that time is not trade volume.

    I use other feeds too, so I didn't notice it in time and they didn't make any announcement.

  4. Replacement for a/c/e effective Nov 24, 2003:

    Datafeed will be completely different, I guess.
  5. RAY



    I have been saying this for a while. I never get a good response from esignal.

    I too would like to see a change.
  6. At this point two questions arise:

    1) if not accurate correct info on volume, then what is being reported?

    2) how in the world does esignal expect us to trust ANYTHING they say or do, this is not an insignificant issue

    Anyone from esignal care to comment?
  7. Chuck_T

    Chuck_T eSignal


    Be glad to look into this. First I have heard of it. The feed is changing on the 24th and the CBT is in a hurry to be sure vendors are ready to switch since there is no going back.

  8. How exactly is the Eurex's US venture is going to take over the universe since it uses the a/c/e platform with its well known 2 second data bucketing? LIFFE and Globex update much more frequently and trasmit prints with volume that correspond to real trades.
  9. Eddy


    good question, depends on the charting package you use :)

    On my Investor/RT using Esignal as datafeed, I do get zero as volume for every bar if I open an YM chart. When looking at the YM tick data, you saw indeed since Oct 13 (after session close)some bid/ask prices, but zero being reported as trade size for every trade, as mentioned earlier....
    I thought initially the problem origin was on the Linnsoft side as I could still see some volume on Esignal charts, ie volume variation on intraday bar charts "looked within normal parameters", and the total volume reported on a daily YM Z3 bar too.
    In fact, I just understand today the full issue thanks to mtzianos post. I just had a look to an YM Esignal chart again and it looks like every trade has been associated by default to a 1 lot contract size... (to be confirmed by E-signal)

    Anyhow, I think this modification could have been more widely advertized (I just found the information in the esignalcentral forum / a bit late) ...
    But, in first place, I still wonder why stopping the transmission of such volume data (even if this data was known to be not fully exact) 6 weeks before CBOT implements its new system, especially if there has been no change in the way CBOT currently transmit volume data, like mtzianos suggest (til, at least, the new system kicks in)

  10. How exactly is Eurex with the a/c/e platform going to deprive Chicago of the floor? I mean if you don't know what the prints are and you dont know the size of the trades or the trade rate, or if you dont know if the floor is going sellers or buyers, then all you can do is trade based on price and time, bucketed in two second intervals. Why the two seconds? What are they using, telegraph?

    How is that real trading? It doesnt come close to Globex or LIFFE which updates more quickly and shows what the prints are. When people write articles telling how great the Eurex platform is, I wonder. Maybe I'm missing something, but it doesnt seem all that great and puts you at a disadvantage compared to the floor or compared to other platforms.
    #10     Nov 9, 2003