I wouldn't go as far as calling it at will, the algorithm is deterministic and published. However, the OP has every right to be concerned about IQFeed performing any further aggregation - one would think in order to cope with transaction increases. I'd like to hear IQFeed's response on this.
What you are seeing is aggregation at the exchange. The exchange has 3 different feeds currently, and depending upon which feed the vendor/broker is on you may see different levels of aggregation. We are currently on the ITC feed from the exchange. We are in the process of moving to their Fix/Fast feed which we are told has little or no aggregation at the exchange. I can assure you DTN sends every trade we get from the exchange.
Nice work KR. I have attached the comparable time period for a DTNIQFeed/QuoteTracker combo and you will see that it is identical to what you have for the DTNIQFeed/Sierra combo. So again this is a vendor-generated phenomenon in the sense that DTNIQFeed gets the so-called ITC feed from CME. The software programs don't appear to be problematic. If you go to the CME site and do a search ("Search function is in small print at the bottom of any page in the site) you will find two pages that give you info on their feeds: http://www.cme.com/trading/dta/dist/na/cmedatafeed.html http://www.cme.com/trading/get/dev/mdp/mdformat.html There seem to be three: ITC, RLC and Fix/Fast. It would be interesting to find out which feed Transact and Zenfire are getting. Also in your data there is a time stamp difference of one minute and six seconds between the DTNIQFeed data and the other two (neglecting the time zone thingy) and your IQFeed stamp matches mine. Do you know why your time stamps are different? Some months ago I did a comparison of e-Signal and IQFeed data streams but it was for an equity (GOOG). Nonetheless, the "raw data" were the same however I don't know that one can extrapolate from this observation since the exchange for GOOG (NASDAQ) is not CME. Also "Equalizer" do you have a link or something for the protocol CME uses to compress their data? TIA all, lj
Do you know when will IQFeed be making that switch? --- ljyoung: thanks for the info and the comparison shot.
This discussion is exactly the reason how traders create, "analysis paralysis". Tick charts are a variable environment to begin with and that variability can not be fixed but people will spends hours, if not days or longer, trying to adjust or manipulate that which they have no control over, regardless of how they are presented to them. Even when that information can be verified through, in this case, the exchange (GLOBEX) itself, they still try to . . . "make sure" through other sources. People always look to hear what they want to hear from someone, even if it isn't correct or doesn't matter.
I stand corrected. Iqfeed does supply all of the data they are given. I was thinking about another DTN product. Please understand how I feel about tick charts or minute charts, I dislike them regardless of where they are generated from.
While I share many of your thoughts with respect to "fixing things", there is the problem of finding out what it is that you have control over and what it is that you don't. Central to this problem is knowing whether or not you are getting what you think you are getting. Prior to this discussion I had no knowledge of the fact that CME had three different data feeds, one of which uses exchange-originated compressed tick data. If you knew this already - more power to you. What this new knowledge permits me to do is to decide whether, for example, I wish to change my data feed. I'm quite satisfied for the moment with my charting software, but that too might change if I learn of something that would make me question what I'm using now. It has nothing to do with hearing what I want to hear but rather to determine what's worth hearing based on an unbiased assessment (as much as that is possible) of what lays before me. BTW, FWIW, I did not perceive that you were particularly speaking to what I had said, but if you were then that's also cool. lj