GLOBEX T&S vs eSignal ticks

Discussion in 'Trading Software' started by egorko, Nov 15, 2003.

  1. egorko


    I try to figure out how data that i use (eSignal) correspond with
    GLOBEX data. (data for ES DEC03 from GLOBEX T&S and ES #F=2 from eSignal)

    I parse GLOBEX Time and Sales datafile (
    and got 54653 T&S records. Then i sum up volume from all records and
    got total 630640 contracts (i compare just day session 9:30-16:15 ET).

    I opened 1 tick chart in TS and inserted Volume indicator and export
    data to file. I parse file and got 109185 records then sum up all
    volume from all records and got 622679 contracts (day session).

    Now question is why the difference in number of records between GLOBEX
    T&S file and tick file from TS (with eSignal) so big (54653 vs 109185)? :confused:

    Volume about the same 630640 and 622679.

    Or maybe i use a wrong method to compare data?

  2. I have not played around with the datafiles enough to know, but could column 31 (cancel or correction) be the problem?

    Does anyone know how this works? If they issue a cancel or correction, how do you know which data element is being "corrected"?
  3. I have long suspected that esignal tick counts are way off. A 65 tick iqfeed chart looks almost identical to a 135 tick esignal chart.
  4. JayF_eSignal

    JayF_eSignal eSignal


    Regarding the export from eSignal, what interval did you use in the Advanced Chart for the export? 1T or T? If the latter, then it is likely including bids and asks.

    My suggestion for exporting tick data is using the Tick Downloader. To use this, just click on Tools --> Tick Replay --> Tick Downloader. Be sure to check off "Save Trades Only."
  5. egorko



    In my first post I mentioned that I exported data from TS (Omega TS2k) not from Winsig.
    Today I again compare two files:
    -GLOBEX T&S from CME
    -ticks exported from Advanced Chart (1 tick chart)

    they have different amounts of records
    65096 and 126546

    I compared day session only.

    It seems that eSignal 1tick chart have two ticks for every record in GLOBEX T&S.

    If the definition of a TICK is a change in price of at least the minimum movement of the contract along with at least 1 unit of volume then why does eSignal send two?

    Could you please clarify that.

  6. eSignal Support

    eSignal Support eSignal

    We enhanced our CME feed in late October to prepare for the support of CME Market Depth ( in conjunction with the release of eSignal 7.5 ). The end-result of the change is that we are now sending more individual transactions. This announcement on our site explains the differences.

    I don't know if this explains what you're seeing but perhaps you can review the data more closely and spot where we might be showing multiple sizes at the same price where the other file is combining those trades. It seems worth looking into. If that's not the case, we'll likely need to compare the files ourselves and see what we can detect.

  7. egorko



    Yes, you are showing multiple sizes at the same price where the GLOBEX T&S file is combining some of those trades.
    I just want to understand why and how it works.

    As you can see below in GLOBEX T&S records with same price not combined in one record but they show 5 records when you show 14.

    (eSignal ticks)
    09:30:18 104625 2
    09:30:18 104625 2
    09:30:18 104625 1
    09:30:19 104650 11
    09:30:19 104650 30
    09:30:19 104650 20
    09:30:19 104650 1
    09:30:19 104650 4
    09:30:19 104650 5
    09:30:19 104650 1
    09:30:19 104650 25
    09:30:19 104650 5
    09:30:19 104650 40
    09:30:19 104650 1
    09:30:19 104650 5
    09:30:19 104650 50
    09:30:19 104650 2
    09:30:20 104625 6
    09:30:20 104650 3
    09:30:20 104625 7

    (GLOBEX T&S)
    083018 104625 2
    083019 104625 2
    083019 104625 1
    083019 104650 142
    083019 104650 1
    083019 104650 5
    083020 104650 50
    083020 104650 2
    083020 104625 6
    083020 104650 3
    083020 104625 7

  8. JayF_eSignal

    JayF_eSignal eSignal

    It appears to me that the Globex T&S File uses the normal feed from Globex, which combines some of the trades together that are at the same price and time. The new CME Market Depth feed we are receiving not only carries the Market Depth data on it, but also has an added feature of showing every single seperate trade and does not combine them together.

    Essentially this change is the result of an upgrade to our systems, and as such, our Time & Sales is much more accurate.

    My apologies for the earlier confusion.
  9. egorko


    Thanks All who answered

    I addressed my questions about this issue to CME.
    Waiting for an real persons answer.

    So far got some kind of answer from robot:

    "The only thing I can think of is that file is combining both the Pit and GLOBEX sessions. You'll want to contact eSignal if you have additional questions. RSwa4rtz"

  10. egorko


    After about a week of relations with CME support I got information that they don't store data in GLOBEX T&S file as data flows but somehow prepare history files after the market close. So that's why some records are combined.
    Sorry but I couldn't find person who can explain exactly how those records are combining.

    So if you want to find your trade in T&S it can't be done in CME GLOBEX T&S history files.

    good luck.
    #10     Nov 24, 2003