Hi guys, I'm trying to build up my own market profiles using excel - i've got something working now which, to me seems pretty good, and uses a massive array like a matrix. Anyway, my question is about the actual tick data from which I'm building my profiles. I get my data from reuters but my profiles didn't match those produced by CQG - I'm looking at eurex, specifically the Bobl. Now I've tracked this down to the tick data from reuters which seems a bit odd and just wondered if anyone here knows how CQG goes about building their profiles. On 29/12/2003 from 2:30-3 london time the market drives down to form a double distribution day. However when the market moves from the top distribution to start forming a new one below there are gaps in the prices from reuters. So it goes like 78,77,68,71,64,68,69,63,62,63,57, etc. but my problem is that 76 never trades according to reuters - is that really possible? I guess so in a fast market, but CQG has this as a print for that period and I've tripled checked the reuters and it's not there. So in CQG do they not allow gaps? I ask since this mucks up the TPO count and will then muck up the calculation for the value area. Has anyone here actually built a market profile from scratch and have they had any problems like this and how did theirs compare to those commerically available? Many thanks, Neil.
Yes, Eurex Bullshit. The CEF datafeed. It does not disseminate real-time trading data like normal exchanges. Instead, Snapshots, which may vary from vendor to vendor. Current Interval for Eurex: 1.7sec. Planned Interval for EurexUS: 1 sec. Really the greates BS since electronic trading was invented.
okay, so does this mean that CQG gets their data from somewhere else? Do they fill in gaps in price? Is there something wrong with the retuers feeds - would intrday data from bloomberg be any better? I'm just trying to understand how to fix this. The problem I have is that my TPO counts for certain prices are different from CQG resulting in different value areas - obviously if I've got a "duff" value area that the entire purpose is lost. Any help with this is greatly apreciated. Neil.
No, I strongly assume both vendors are directly connected to the Eurex Data Vendor Feed CEF. It is a Eurex problem. You cannot fix it.
CQG gets their data where all data vendors get their data from: from the quote vendor feed of the Eurex. IB e.g. distributes the member feed to their customers. CQG applies its own filtering to this feed. I suggest you do a search in ET for "Tick data", "IB data feed" or simillar terms and you might learn some things. I do not know where Reuters get their data from. Regards Bernd Kuerbs
BKuerbs - thanks for your post but surely my question is this - did it trade or did it not? If it did not trade then it should not be included in which case if a charting package IS including a price which didn't trade because of "filtering" then this is surely wrong. aPismoClam - well once I'm happy that my spreadsheet it perfect I'd consider it. It's really not that difficult to do - just do it in VBA. I just work off the last trade price using a reuters feed in excel. I've created a function which, every time the last traded price TIME changes, grabs the price and then checks to see if that price has traded before in that period. If it hasn't then it adds that letter to that price. I have two arrays. One has for each price two arguements - last column and if it's traded in this period. At the start of each new period it loops through and resets the "has it traded" for each price to 0 and then starts again. The other array is like a matrix and builds up the matrix of the market profile which is returned as the function. I'll phone both CQG and Eurex tomorrow to find out about this further though. Neil.
If the BOBL moves, it is pretty sure that there are no intraday gaps. Liquidity is so high, It is safe to assume that the "holes" are only in your data, not the real T&S.
saschabr - I completely agree. You would have thought reuters data would be good though. I'll find out exactly what the problem is tomorrow.