Tick level data feeds

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syswizard
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Tick level data feeds

Postby syswizard » 16 Jan 2021

This thread prompted my thoughts about having a enumerated list of all of the tick-level data feeds that MC-14 now supports.
viewtopic.php?f=1&t=52763&p=135842&hili ... 42#p135842
More importantly is the characteristics of each tick level data feed:
1) sampled data vs. non-sampled.
This of course would be in the case of interactive brokers data feed. I am not sure of which other data vendors also samples the data.
2) bundled data vs. non-bundled.
From what I understand, the CME data servers provide two options....one where 5 consecutive trades of 1 contract trade volume each at price X becomes 1 trade with a volume of 5 contracts..so effectively these "side-ticks" are collapsed.
So if one were compiling statistics on UpTicks, DownTicks, and SideTicks for a given interval of time or volume...one would get entirely different results....depending on the request to the CME data servers.
This situation has shown cases where signals in realtime are different from those generated after the data is effectively refreshed by changing the lookback period of the incoming data for the chart.
I believe this is summarized as follows:
https://www.cmegroup.com/confluence/dis ... de+Summary
However I don't believe each and every data vendor provides an indication of which calculation is being performed.
TIA.....Any and all responses greatly appreciated.

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