NexusFi: Find Your Edge


Home Menu

 





CME DataMine T&S vs IQFeed's millisecond Time Stamps


Discussion in Brokers

Updated
      Top Posters
    1. looks_one Cashish with 5 posts (4 thanks)
    2. looks_two Big Mike with 4 posts (6 thanks)
    3. looks_3 artemiso with 2 posts (0 thanks)
    4. looks_4 Jigsaw Trading with 1 posts (4 thanks)
      Best Posters
    1. looks_one Jigsaw Trading with 4 thanks per post
    2. looks_two Robert Carrillo with 2 thanks per post
    3. looks_3 Big Mike with 1.5 thanks per post
    4. looks_4 Cashish with 0.8 thanks per post
    1. trending_up 6,299 views
    2. thumb_up 17 thanks given
    3. group 4 followers
    1. forum 12 posts
    2. attach_file 8 attachments




 
Search this Thread

CME DataMine T&S vs IQFeed's millisecond Time Stamps

  #11 (permalink)
 
Cashish's Avatar
 Cashish 
Miami FL USA
 
Experience: Advanced
Platform: Ensign 10, NT7 DOM
Broker: IB, IQ
Trading: Currency Futures
Posts: 802 since May 2011
Thanks Given: 811
Thanks Received: 2,102


Robert Carrillo View Post
Hi @Cashish,

The CME sell sheet you posted showing second time stamps is not current. There is no date on it, but this one from CME Group showing millisecond time stamps is copyrighted 2012, well before we began providing millisecond time stamps in IQFeed:



Not sure what your point is with this post. I have no doubt that the CME has the capability of time stamping their data to the millisecond. The fact is, they do not time stamp the DataMine Time and Sales data to the millisecond, they use sequence numbers within a 1 second period.

DataMine,,,"Trades that happen in the same second are each given a specific sequence number and are ordered in the same sequence that they were sent out over the market data feed."

I thought I had made the purpose and intention of this thread and my efforts clear, I wanted to compare the sequence numbers of CME DataMine Time and Sales data which is considered the un-disputable final word of trades traded and the sequence that they were sent out over the market data feed... To, the millisecond time stamped Time and Sales data from IQFeed.


It appears to me at the end of the day there is no alignment between the two, at the sub-second level.

Visit my NexusFi Trade Journal Started this thread Reply With Quote
Thanked by:

Can you help answer these questions
from other members on NexusFi?
Futures True Range Report
The Elite Circle
ZombieSqueeze
Platforms and Indicators
My NT8 Volume Profile Split by Asian/Euro/Open
NinjaTrader
The space time continuum and the dynamics of a financial …
Emini and Emicro Index
New Micros: Ultra 10-Year & Ultra T-Bond -- Live Now
Treasury Notes and Bonds
 
Best Threads (Most Thanked)
in the last 7 days on NexusFi
Get funded firms 2023/2024 - Any recommendations or word …
61 thanks
Funded Trader platforms
39 thanks
NexusFi site changelog and issues/problem reporting
26 thanks
The Program
18 thanks
GFIs1 1 DAX trade per day journal
18 thanks
  #12 (permalink)
 
Big Mike's Avatar
 Big Mike 
Manta, Ecuador
Site Administrator
Developer
Swing Trader
 
Experience: Advanced
Platform: Custom solution
Broker: IBKR
Trading: Stocks & Futures
Frequency: Every few days
Duration: Weeks
Posts: 50,396 since Jun 2009
Thanks Given: 33,172
Thanks Received: 101,536


Cashish View Post
I thought I had made the purpose and intention of this thread and my efforts clear, I wanted to compare the sequence numbers of CME DataMine Time and Sales data which is considered the un-disputable final word of trades traded and the sequence that they were sent out over the market data feed... To, the millisecond time stamped Time and Sales data from IQFeed.


It appears to me at the end of the day there is no alignment between the two, at the sub-second level.

I didn't see the DataMine portion of the thread title. I thought you just meant T&S in general. I have no clue about DataMine.

There has been discussion about correctly bundling ticks together in this thread I believe:


I also have heard @DionysusToast say he has called the CME before and was given advice on how to bundle them, IIRC.

Mike

We're here to help: just ask the community or contact our Help Desk

Quick Links: Change your Username or Register as a Vendor
Searching for trading reviews? Review this list
Lifetime Elite Membership: Sign-up for only $149 USD
Exclusive money saving offers from our Site Sponsors: Browse Offers
Report problems with the site: Using the NexusFi changelog thread
Follow me on Twitter Visit my NexusFi Trade Journal Reply With Quote
Thanked by:
  #13 (permalink)
 
Jigsaw Trading's Avatar
 Jigsaw Trading  Jigsaw Trading is an official Site Sponsor
 
Posts: 2,988 since Nov 2010
Thanks Given: 831
Thanks Received: 10,393


Absolutely @Big Mike

The CME are extremely helpful and not only that they are really responsive. I sent 2 emails to them yesterday both in the middle of the Bangkok day time. I was amazed to get replies to both queries in 20 minutes, in both cases giving me exactly the information I needed.

In the first instance I would email [email protected]- they appear to have that manned 24 hours. As long as you state your question clearly, the people that answer that email will understand, figure out what you need and give you the information or tell you it's not available.

These people are very well trained and will not come back with vague answers to get rid of you. I also found similar level of service with Eurex too.

Also - you don't have to be a big guy to grab their attention. First time I contacted them Jigsaw was still a pipe dream and I was just creating software for my own use. Still they took the time to answer and then field any additional questions.

Do not be afraid to conact them thinking you aren't worthy of a response.

If you have any questions about the products or services provided, please send me a Private Message or use the futures.io " Ask Me Anything" thread
Visit my NexusFi Trade Journal Reply With Quote




Last Updated on January 21, 2014


© 2024 NexusFi™, s.a., All Rights Reserved.
Av Ricardo J. Alfaro, Century Tower, Panama City, Panama, Ph: +507 833-9432 (Panama and Intl), +1 888-312-3001 (USA and Canada)
All information is for educational use only and is not investment advice. There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
About Us - Contact Us - Site Rules, Acceptable Use, and Terms and Conditions - Privacy Policy - Downloads - Top
no new posts