I use DTN IQ as my data feed for Market Delta. from their website: "quotes come directly from the exchanges...completely unfiltered, allowing you to see every trade and every quote that occurs in real time."
Not sure if this is the answer to your issue: As of Sunday night 10/4/2009 the CME changed the way it reports trades. I don't know the particulars but they are sending "more information faster". Pull up a tick chart of the ES from last Friday and compare it to Monday and Tuesday - you are now getting almost twice the number of bars in the same amount of time.
I noticed their was less kvetching today about bad fills! BTW: Sukkot started sundown Friday, October 2 and lasts 7 days, only the first two days are observed as "non working holidays", so your theory is off base Moishe.
Without "error detection" like the OP did, and forums, how are we going to know when things like that change? Oy vey..
So as of 10/4 CME has implemented a "Equity futures enhancement". http://www.cmegroup.com/globex/files/EquityFuturesEnhancements.pdf From their paper is this: "CBOT Equity futures will now send milliseconds in iLink timestamps, as options and FX futures do today. FIX/FAST timestamps will always default to â000â milliseconds and should not be relied upon by customers." (Thanks to Jeff Quinto at ElectronicFuturesTrader.com for pointing me to the info) So does that mean that in effect the large block trades are broken up into smaller trades divided in milliseconds?
Wow so many people who think they know about my religion better then me, truly a delight. And actually, all days are observed as non working days. The in between days some people observe some do not. But if you look at the actual "law", a person is not supposed to work any of the days except in certain circumstances. But thank you for trying.
Everybody observes the holiday their own way, there is no "right" or "wrong" way. Religion comes from within, not from some Moishe from ET. According to your Calander, Sukkot ends Friday 9, October! If you are Orthodox, why are you on the computer Moishe? Did you have a cheesburger & milkshake in The Sukkot, someone is a hypocrite here?