CME DataMine T&S vs IQFeed's Millisecond Time Stamps - Brokers and Data Feeds _ Big Mike Trading

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

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

Started: October 20th, 2013 (02:29 AM) by Cashish Views / Replies: 1,194 / 12

Last Reply: January 21st, 2014 (05:46 AM) Attachments: 11

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October 20th, 2013, 02:29 AM #1 (permalink)

Cashish Elite MemberMiami FL USA Trading Experience: Advanced


There are over 47,000 members on this forum and I'm searching for one of them that has access to the latest CME DataMine Timeand Sales Report to come forward and participate in proving (or not) the CME sequence numbers directly correlate with the IQFeedmillisecond time stamps.

CME DataMine T&S vs IQFeed's millisecond Time Stamps - Brokers and Data Feeds | Big Mike...https://www.bigmiketrading.com/brokers-data-feeds/29088-cme-datamine-t-s-vs-iqfeed-s-milli...

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Platform: Ensign 10, NT7 DOMBroker/Data: IB, IQFavorite Instrument: Currency Futures

Posts: 788 since May 2011Thanks: 769 given, 1,970 received

I personally don't have the means (I'm not a DataMine subscriber) to compare the CME DataMine Time and Sales sequence numbers tothe millisecond time stamps now provided by IQFeed 5.0 nor have I seen it compared anywhere on the web, I'm asking for yourhelp.

It is my understanding these two Time and Sales reports should align perfectly (at least on a small sample). I'm asking the memberswho can prove this theory to step up and prove it to me, the members and all the visitors of Big Mike's Trading Forum.

In my opinion it's one thing to think your analysis is correct, and another to know it's correct.


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Thread Starter

The images above state the DataMine data records are time stamped to the second and the trades within that second are given asequence number. As I wrote in the text box, I question the accuracy of these statements mainly due to the dates on the sample dataand the dates on the documentation. Does the CME DataMine still record data time stamped to the second, or has that changed duringthe last year (months), I would like to see someone verify this by posting a view of current data.

If the, "Trades that happen in the same second are each given a specific sequence number and are ordered in the same sequence thatthey were sent out over the market data feed," and the following statement is proven to be correct then the sequence numbers and themillisecond time stamps along with the volume numbers should align perfectly. I simply want help to verify this absolutely.

I snipped this comment from this thread:

https://www.bigmiketrading.com/brokers-data-feeds/25853-dtn-iqfeed-s-robert-carr...thing-16.html#post362960

So from all this poppycock I ascertain that the CME actually has millisecond time stamp data but they don't publish it, instead theyuse sequence numbers to identify the order of trades traded within the second. IQFeed gets the millisecond time stamps from the CME(that the CME doesn't publish) but does not get the sequence numbers, or don't publish them. All this sounds like normal tradingstuff, a lot of gray area and NOT much black and white. I hope those who can help will come forth and offer to participate in this MythBusting.

Please, Post or PM.

Last edited by Cashish; October 20th, 2013 at 04:14 PM.

October 20th, 2013, 02:29 AM #2 (permalink)

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October 20th, 2013, 11:59 PM #3 (permalink)

CurrentCatcher Elite MemberColumbia MO/US

The Sierra Chart engineers recently said they don't think IQ Feed is actuallyreceiving millisecond time stamping from CME.

http://www.sierrachart.com/SupportBoard.php?ThreadID=3528


5 of 16 11/19/2014 13:15

Trading Experience: IntermediatePlatform: Sierra ChartFavorite Instrument: Futures Posts: 2 since May 2012Thanks: 48 given, 2 received

The following user says Thank You to CurrentCatcher for this post:

Cashish

January 19th, 2014, 06:39 PM #4 (permalink)

Cashish Elite MemberMiami FL USA Trading Experience: AdvancedPlatform: Ensign 10, NT7 DOMBroker/Data: IB, IQFavorite Instrument: Currency Futures


Well,,,,,,, this thread didn't create much interest but I just couldn't let it go. I know these snips are kind-of crude but I believe they layto rest the notion I had about the alignment/correlation of IQFeed's millisecond timestamped data and the CME's DataMine sequencenumbers. FWIW, my charting program doesn't timestamp T&S Data sub-second, but it is IQFeed data and when running side by sidewith the (crude and simple) IQFeed T&S program that does show the millisecond stamps, of course they print exactly the same, tick fortick.

What I did here was take the Largest Tick traded (according to the CME DataMine T&S data) of the last three trading days andDissected all the trades during that one second period. When I first looked into this data I was surprised and thought the findingswere interesting, I thought others might as well.

January 15, 2014


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January 16, 2014


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January 17, 2014


8 of 16 11/19/2014 13:15

Thread Starter

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Big Mike Administrator: 'da Big DawgManta, Ecuador Trading Experience: Advanced

I wouldn't put much belief in those results.

You need to instead just access the IQFeed API directly where you can see the TickID as sent by the exchange, along with the actualExchange timestamp in milliseconds.


9 of 16 11/19/2014 13:15

Platform: My own custom solutionFavorite Instrument: SP500, Stocks

Posts: 35,221 since Jun 2009Thanks: 23,308 given, 45,993received

I am doing this and have not noticed any problems.

Mike

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January 20th, 2014, 12:18 AM #6 (permalink)



Big Mike

I wouldn't put much belief in those results.

You need to instead just access the IQFeed API directly where you can see the TickID as sent by the exchange, along with theactual Exchange timestamp in milliseconds.

I am doing this and have not noticed any problems.

Mike

That's a hell of a thing to say! Why would you say that @Big Mike and not even give a hint as to what or why you're questioning? Doyou see a "problem"?

I assume you dis-"believe" something, what is it, the CME DataMine data or the or the or the IQ Data?

And BTW,,,,,,,, I don't NEED to do anything.


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Thread Starter


Big Mike Administrator: 'da Big DawgManta, Ecuador Trading Experience: AdvancedPlatform: My own custom solutionFavorite Instrument: SP500, Stocks


There might be a misunderstanding.

I was simply suggesting it is difficult to analyze millisecond data and TickID on a platform that doesn't support it (NinjaTrader) and drawany conclusions.

Better to instead use the IQFeed API directly if you are determining the capabilities of IQFeed, and not NinjaTrader.

Mike




Last edited by Big Mike; January 20th, 2014 at 12:33 AM. Reason: type-o, changed tick data to TickID

The following user says Thank You to Big Mike for this post:

Cashish


Big Mike Administrator: 'da Big DawgManta, Ecuador Trading Experience: AdvancedPlatform: My own custom solutionFavorite Instrument: SP500, Stocks

Cashish

IQFeed gets the millisecond time stamps from the CME (that the CME doesn't publish) but does not get the sequencenumbers, or don't publish them. All this sounds like normal trading stuff, a lot of gray area and NOT much black and white. Ihope those who can help will come forth and offer to participate in this Myth Busting.

Please, Post or PM.

I just saw this in your post. IQFeed does publish the CME sequence number, it is available in the feed. I am using it in my app. I can't


12 of 16 11/19/2014 13:15

Thread Starter


speak to NinjaTrader.

Mike




The following user says Thank You to Big Mike for this post:

Cashish




When I started using NinjaTrader, the program didn't have charts! I've still never really figured out how to open one.



13 of 16 11/19/2014 13:15

Robert Carrillo Vendor: www.iqfeed.net Omaha NE Trading Experience: IntermediatePlatform: IQFeed compatibleFavorite Instrument: ES

Posts: 271 since Jun 2012Thanks: 234 given, 360 received

Hi @Cashish,

The CME sell sheet you posted showing second time stamps is not current. There isno date on it, but this one from CME Group showing millisecond time stamps iscopyrighted 2012, well before we began providing millisecond time stamps inIQFeed:

http://www.cmegroup.com/market-data/datamine-information-sheet.html

Thanks.

Robert

Last edited by Robert Carrillo; January 20th, 2014 at 01:38 PM. Reason: clarity


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