Comparison of Ticks by various data feeds

June 9 , 2004

16:38 @ Ensign: Hi, some have expressed interest in a comparison of data feeds.
16:39 @ Ensign: I did a quick examination using ticks for ES M4 from the DTN satellite feed, the IB feed, and the eSignal feed.
16:39 @ Ensign: I found a couple marker ticks to use a measurement boundaries on the tick charts collected in real time for all three.
16:40 @ Ensign: The time period of examination was today around 15:00 to 15:03 Central time.
16:41 @ Ensign: The IB feed had 224 tick, versus 463 ticks on the DTN satellite feed, versus 877 ticks on the eSignal feed.
16:42 @ Ensign: All highs and lows were represented in the ticks during this period of examination, but then the period of watching was not that extensive.
16:42 @ Ensign: I then did a more micro comparison of ticks at a transition in price location, and the IB feed had 3 ticks with volumes of 12,100,1
16:43 @ Ensign: The DTN feed had 4 ticks with volumes of 4,1,100,1
16:43 @ Ensign: The eSignal feed had 10 ticks with volumes of 3,4,4,1,1,1,12,32,12,42,1
16:44 @ Ensign: If we chunk the 3,4,4,1 on the esignal feed that matches the volume on the first IB tick,
16:44 @ Ensign: and then the 1,1,12,32,12,42 sum to match the volume on the 2nd IB tick and the 3rd DTN tick.
16:45 @ Ensign: Then all three are in sync on the tick of volume 1 which happened to be to a new price level as well.
16:46 @ Ensign: So, my conclusion is that though the IB feed appears to be chunking the ticks, you get the volume.
16:46 @ Ensign: And, it would appear the DTN feed is chunking as well.
16:46 @ Ensign: When we consulted with IQFeed engineering a couple months ago on this same issue where in we were seeing the
16:48 @ Ensign: same chunking on the IQFeed tick counts and volume totals, their answer was the data was coming from the exchange that way, and there was some other kind of feed service they would have to arrange with the exchanges to get the feed broken down into greater details.
16:48 @ Ensign: Sorry I am a bit vague on this issue, but apparently the eSignal source is this greater detail feed, and it results in
16:49 @ Ensign: more ticks at equal price split out into smaller volumes as illustrated 1,1,12,32,12,42 whereas the other feed
16:49 @ Ensign: sources are getting a singular tick with volume 100.
16:50 @ Ensign: I have presented the particulars of my period of examination on 3 feeds. You can decide whether it impacts your trading style.
16:50 @ Ensign: The number of ticks would affect constant tick type of charts that count ticks.
16:50 @Buffy2: thanks Howard this is good information for those that ask
16:50 bill: Yup
16:50 @ Ensign: It should not affect intra-day bar charts, constant range, or constant volume charts.
16:51 @ Ensign: I cannot tell if this tick chunking would ever cause a tick at a particular price that sets a swing high or swing low to be missed.
16:51 @ Ensign: That point, I just do not know the answer to.
16:51 LW43: I imagine there could be some rounding errors that would affect the constant volume bars as well. Probably not that serious thoug.
16:51 @ Ensign: So far I have not seen an example of such a tick not being on the feeds.
16:52 @ Ensign: LW, when we build constant volume bars, say we are building 1000 volume bars and the sum is at 980 when a hundred tick is received,
16:53 @ Ensign: The current bar will be finished off with 20 and the balance of 80 volume at this tick price will start the new bar and give it a volume of 80.
16:54 @ Ensign: so there is not a rounding issue, so much as a distribution issue. On any of the feeds, the current bar will sum to 1000 vol before starting a new bar, and the excess is carried forward.
16:54 @ Ensign: anyway, I am done with my discussion.
16:55 LW43: so ew can split the volume within a tick. great.
16:55 Randy1: seems important in market conditions where open interest at the market price is low.. ie the currency's in thin market period..