[davla]

one other thought

has anyone considered reviewing tick data relative to the bid/ask and their quantites at the partucular point in time ?

I notie there are other threads on tape reading and some new fancy tools tlaked about, such as CQG's products.

My own interstis to analyze their relationships in historical and then can easily set up a real time monitor forthese situations, so it is not so much trying to watch the tape, as it does move quite fast
any thoughts?

[AldPixto]

I save tick data from eSignal using QCollector. I have it configured to save separate ascii files for each futures contract I follow, e.g. YGZ8_0.csv , and when those files approach 2Gb I rename to YGZ8_yymmdd.csv (where yymmdd is the last day of full data) and then start collecting a new YGZ8_0.csv file. I configured the file content as:
yymmdd,hhmmss,<trade_pric e>,<trade_volume>,,,,
yymmdd,hhmmss,,,<bid>,<bi d_size>,<ask>,<ask_size>
the contents are CSV as either trades or quotes with best bid/ask
When a contract is a back month I compress it with gzip, so
for example ESH8_0.csv becomes ESH8_0.csv.gz .
Gzip seems to achieve about an 8:1 compression on these ascii files.
My applications recognize the .gz file extension and either decompress the files
when needed or else directly read the .gz files (e.g. java GZIPInputStream).

[SNYP40A1]

[media]http://www.oracle.com/database/docs/Berkeley-DB-v-Relational.pdf[/media]