Pit Traded "realtime" charts?

Discussion in 'Trading Software' started by Quah, Oct 30, 2003.

  1. Quah


    If I'm looking at a chart (or feed) of a pit traded contract - such as SP - what am I seeing in realtime? Is someone keying in the trades from the pit? If so, what is the lag time?
  2. yes. CME employees for price reporting
    try to catch every transaction.
    They have fancy keypads similar
    to what you see at your local supermarket.

    I did not work there, but I estimate
    the lag is 2 - 4 seconds.

    Anyway, exept for NYMEX and some grains, pits are dead.

    You should only listen to the ES
  3. tmb


    I've never had realtime quotes for a pit-traded contract. It seems like there must be, but I am not sure: is there always a quoted bid and ask, even for the thinly-traded contracts?
  4. there are no bid & ask quotes.
    only LAST.

    If you want bid&ask, you need
    a squawk box.
  5. When they capture prices, they're not really capturing trades per se - that's why they call it "price capture", not "trade capture" at the exchange.

    They're capturing the latest price a transaction went out on but they're not going to catch each one. They'll miss loads of them and they often won't even bother posting multiples if the price hasn't changed (i.e., you're likely to see only 1040.50 cross when in reality 5 pairs of traders in the pit each transacted at that price at that moment). They also do NOT capture trade volume.

    So bar data will generally be accurate, but raw tick data will miss a lot and there'll be no reliable intraday volume at all. So it's probably not wise to try to use tickbars or any fancy analytics that rely on a reliable tick stream.
  6. Quah


    Interesting - based on that, since SP price is needed to calculate $PREM, $PREM will also suffer from the same issues.
  7. $PREM is just the difference between the current cash index and the current price in the pit (although there is also a version of premium based on the ES). Not having each and every trade nor the volumes doesn't critically affect the the "current" pit price used for $PREM.

    But note that the cash index is NOT typically instantaneously calculated and transmitted. It's usually updated on a time interval - so there's an inherent lag in the $PREM because there's an inherent lag in the $SPX value.
  8. Quah


    Right, $SPX every 6 seconds - thus $PREM is every 6 seconds too.
  9. ktm


    So if I want to place limit orders for SPs in the pits, could i use the comparable ES contracts (globex) to get an idea of where to price the order?

    I'm talking about options on futures.

  10. exactly. the contracts are the same
    except for multipliers.
    #10     Oct 31, 2003