I am a student lookint at time and sales data for S&P500 and Nasdaq-100 e-mini and regular contracts. The E-minis appear to lead the regulars by about 15 seconds. But I know that the ticks in the time and sales of the regular contracts are entered manually by a floor clerk and there is probably some time delay between the moment when the price changes and when it is recorded. So it's not clear if the E-minis' lead is real or it is simply a result of this reporting time delay. Anybody has an idea of what this time delay might be? I would guess it should not usually exceed 5 seconds but I don't have any evidence to support this guess.
akurov - depends. You get 100% accurate T&S for pit-traded contracts. The exchange only captures prices, not volume. They do a pretty decent job, but there's no way they can be 100% accurate and get absolutely every trade and every bid/ask change. There are a lot of trades (especially when they occur at the same price) that just don't get keyed and thus don't hit the ticker. Any pits where they exclusively use handhelds (to record trade tickets, not just as order decks) might give good data, but I'm not sure they've rolled it out for exclusive use in any pit yet. Been a few years since I did work for the CME.
Thanks for your replies. ArchAngel: I understand that some price changes don't get entered and therefore do not appear in the time and sales. But for those price changes that are entered, what would be your guess of the time delay due to manual data entry?