Globex Tick Aggregation - WHY ?????

Discussion in 'Index Futures' started by local_crusher, Dec 19, 2005.

  1. I was definitely affected. Had to redesign several of my systems over the last several days to compensate which wound up being a modest task. It made no sense to me seeing how the net result is there servers firing off fewer event updates. It is only a matter of time until aggregation reaches the same performance load constraints that it is currently running into. Perhaps their misunderstanding is that there is not much useful information in individual transactions. I just believe that they still haven't figured out how to concieve the actual matter at hand. Then again, they're only interested in fees (ie. us trading frequently or large regardless of whether or not we are successful). Unfortunately, they have it backwards. Successful trading begats more frequent and larger transactions but that is a whole different discussion altogether as to why...
     
    #11     Dec 20, 2005
  2. K-Rock

    K-Rock

    These changes may be the death of tick charts, because more than likely the aggregation method will change again, and again... More importantly, back testing a trading method using tick bars (based on inconsistent data) just got more complicated.:(
     
    #12     Dec 20, 2005