[bakrob99]

I received an email yesterday which alerted me to the fact that the CME has changed the way they report transactions. I am told that previoulsy, some transaction were lumped together when reported resulting in tick bar values which were inaccurate. They have now corrected this. The point of the email was:

If you use tick charts to trade e-mini S&Ps, you may have noticed an increase in the speed with which your charting software produces tick bars on Monday and today from the speed that it produced the same size tick bars on Friday.

As of Sunday, October 4th, the CME Group enhanced the reporting of trades to provide more information at greater speed. The effect of this upgrade is to produce more ticks over the same price action than were produced before.

You can get more information at http://www.cmegroup.com/globex/files...hancements.pdf

[bakrob99]

I set up a Chart with 10,000 tick bars and compared the last several weeks with the 2 days this week. There is no doubt that these changes are significant. You can see about twice the number of bars for the day, compared to the prior days.

[LS_Chad]

I created a Q&A on this if interested: Investor/RT - Answers* (LinnSoft.com)

[daedalus]

Is it only on the ES?

I'm not noticing the same stuff on the NQ...

*edit*... now i maybe am.... I just took a look at the 10000 tick bar on the nq and there is a noticeable wider day starting on the 5th...

[bakrob99]

I believe that it applies to all Stock Index futures but not commodities (Metals, Energy) I am not sure about Futures like Currency futures on the CME. I will have to do some more homework on these.

[insideday]

Originally Posted by bakrob99 »

I am not sure about Futures like Currency futures on the CME. I will have to do some more homework on these.

They changed the behavior for the Currency futures some weeks ago. I wondered some weeks ago why the T/S shows 1 lot trades on over 97 % compared to the days before.

[Tams]

see marketdelta analysis in October 7th, 2009 issue:
http://blog.marketdelta.com/

[daedalus]

As far as I can tell this 2.5 rule is bullshit.

I just did my own analysis, average bars per day on different tick charts prior to the 5th, and post 5th... and if you do a standard (your tick timeframe) X 2.5 = (your new tick timeframe) you won't be trading the same "timeframe" as before if you get my meaning.

By their standards, a 233T should be a 582T. (233X2.5).

What I found was that a 233T prior to the 5th is closest to a 400T afterwards. Which means the actual conversion is closer to 1.5X's to 1.75X's as much data, but certainly not 2.5x's as much.




I've attached a barcounter.eld for tradestation users to do their own conversions.

Cheers!