carltonp

Gents/Ladies, Just saw that the bid ask table didn't come out very well. So, same question but easier to view illustration:

Thanks for responding. Answer to you questions: Esignal (Data Vendor) IB (Broker) I'm already plugging T & S data into Excel. I'm now seeking strategies to trade T&S. Once I'm happy with a few strategies I will attempt to write a formula in Excel to alert me as to when an individual strategy appears. For example, in the last thread, I asked if the 11020 constitutes the last price traded at bid or ask? Once I get answer to that question I will go about writing a formula to alert me to certain conditions containing last price traded at bid / ask (or something like that) I've just started doing live recordings of T & S, bid / ask. I will be looking at ES very soon. Cheers

Tams/Traders, I have a newbie question. Lets say we have the following for Mini-Dow(YM) Bid Ask Bid Size Ask Size Last Last Size 10964 11075 1 2 11020 1 Was the last trade of 11020 executed at bid or offer? Cheers Carlton

Thanks Tams, I guess I'm left with just historical trade prices. Would I need to go to the exchange to get it? Cheers Carlton

Hello Traders, Can someone please tell me where I can get the list of trades for mini-dow? For example, a list of trades at bid or trades at below bid, etc.. ? Cheers Carlton

That's is correct mate

I'm working on that mate....

My grammar was terrible in last post... Sorry about that.

Gosu, that I would agree is a problem. One way to overcome that problem is write an excel formula to alert me to the frequency of bids/asks. I understand that when large institutions start to accumulate they do so in small lots. So, I will write a program that will watch for that kind of action. Other than that I have don't know how to deal with that issue. I should add if you have any suggestions as to what I should watch out for I would love to hear them. At the moment I'm just studying the Tape with a simple setup. Once I see a pattern I will write a program for it. I'm just looking for patterns right now. I'm hoping that someone like dVL will provide some strategies. All I need is a strategy and then I can go away and program it in Excel.

dVL, It keeps me going when I hear comments like that. The beauty about programming T&S for contracts HELD at the bid or offer. Buying and selling spikes is literally the tip of the iceberg as to what can be achieved once you get the correct data. Just imagine all that real data pouring into a reliable T & S and not having to look at it to trade from it. In my opinion, its impossible to trade solely from it with the naked eye - but then again I've only been observing for 3 weeks. However, by programming it you can use all that it has to offer without bursting your eyes out of their sockets :-) The only downside, you need ABSOLUTE, reliable data. A formula or a program will never have a 'feel' for the market. So, if there there is a single missing bid / ask then that will to lead wrong decisions. Which is simply why I can't use IB. Even they told me they don't post all their bids/asks. Thanks again.

Hi Gosu, Sorry, I should have explained that because I'm feeding the bids/aks into a formula I need each and every bid/ask to be correct and posted. The formula will take the numbers and alert me to when certain conditions occur without me having to watch T&S. Watching T&S would drive anyone nuts...

Gosu, thanks for responding. I'm going to retract some of what I said about IB as I have had another conversation with them and its been made clear to me. Let me explain. IB told me they don't publish duplicate quotes to save bandwidth. For example, if two bids come in at say 20 the first bid will be posted while the second bid will not. Another example, lets say there is a bid/ask of 10/20, if there is a duplicate bid then only the ask, 20, will be posted. The only way to know that there was duplicate bid of 10 would be look at T&S. Now, if you say IB's T&S is reliable, well ............ So wouldn't you like to know that a duplicate bid/ask of say 100 came in without looking at their unreliable T & S? Cheers

JLeon, thanks man. I am totally feeling you. And if I be totally honest with if I couldn't program the Tape to provide only the information I need I wouldn't touch it with a barge pole - it would drive me mad. However, due to my programming skills I don't have to watch the tape to use the tape. Let me explain that last statement. I have been watching the Tape now for a couple of weeks, alongside my set up. I have recorded the tape for three weeks with my charts. I have looked at every single bid/ask, bid size/ask size for YM for the past three weeks. I know it will take much longer than three weeks to fully appreciate the tape. The reason why I have poured over the tape for that long isn't simply because I want to trade the tape but because I want to understand how I can use my programming skills to take from the tape only the information I need WITHOUT WATCHING THE TAPE. Its beautiful. Its taken a while to get to this stage. Now, I will spend the next year learning how to trade the tape. Thanks for your encouraging words mate. Is there any chance you could PM me with your website and book? Cheers

Thanks for responding. However, I beg to differ. I'm not joking when I say I've looked at their data over the past week and its poor, I mean POOR. I called them and I was totally convinced by their responses to my questions that IB's market data is not to be relied upon.

So true. I really want learn to read the tape. I must say although I agree the information has been scant, however there have been a number of good comments from some good people on this thread. Believe me, I'm taking all the comments and suggestions on board - already I have decided not to use Interactive Brokers for T & S and have signed up with Esignal, following the comments here. So, please keep the comments flowing.... Cheers

Traders, I don't get it. Here we have IB posting a number of Bid with their corresponding Bid Sizes, which are overwhelming the the buyers at the ask but the price still skyrockets up.... (If though this statement appears unrelated to my original question, it all the same makes me think that IB's T&S is crap)

Hello Traders, I think its common knowledge that IB's Times and Sales date is very unreliable and inaccurate due to IB aggregating its data. However, having said that isn't there some value in the length of time that a price pauses and the number of bids / asks that takes place during the pause? Let me give you an example. Yesterday at 3:21:39 to 3:21:59 EST the price for YM stagnated at 10793 for 20 seconds. Now, some of you might say there could have been a problem with my connection or IB just screwed up. However, I recorded the Time and Sales at that time and recorded that at least 10 transactions took place between Bid/Ask (I will submit a snapshot if you're interested). My question to the forum is this. Even though IB's T&S may be inadequate isn't there some value in observing that for 20 seconds the price paused while there were a number of bid/ask occurring? After the pause the price did the following... 10790, 10791, 10792, 10796, 10795, paused again at 10793, this time for 8 seconds (3:22:13 to 3:22:21) and then did the following 10796 and never stopped going up way beyond 10809. OK, I'm going to be totally straight with you ..... I don't want to pay a realtime data-provider close to £150 just for time and sales data! I thought I would get that out there as I'm sure some of you will say why don't I sign up to Esignal or IQFeed. I made a few calls here in the UK and they can't/won't provide just the datafeed for YM without all the bells and whistles which bumps up the price. IB, provides T&S but its not accurate, but I'm trying to gauge if there are ways that it can be utilised. You're comments will be well recieved. Cheers Carlton

Hi, will this overcome the issue with inaccurate tick by tick information? Cheers

I believe still aggregated .... which is the bummer

Hello mate. Are you sure about that. This is the email I received from IB IB does not provide tick-by-tick data we do not provide Time & Sales at all through the API. The realtime market data IB provides are snapshot requests, taken every 250 milliseconds. My understanding of this statement seems to concur with 'joshdance's' statement. Would you agree?

It helps very much ....

Hello Traders, This may be a silly question but do you guys/gals know if its possible to get tick by tick data from a provider for a single symbol - YM? I don't need all the bells and whistles that can with signing up with a provider. Cheers Carlton

Thanks for your comments bob. Unfortunately, I don't have enough experience to argue the point with you. However, I think Tape Reading has value as a precision instrument. I too look forward to hearing the views of active Tape Readers :-)

That explains a lot. I've been watching IB's ticks intensely, and it was so off I called them to find out why. The person I spoke at IB was honest with me and stated exactly what you mentioned. I might take a look at Esignal as I think they may be cheaper... Cheers

Taken be til 2am, but I think I now have Time and Sales in Excel, streamed from IB. Will test it tomorrow when market opens. If it works the possibilities are endless, in terms of what events I could program the spreadsheet for. Will keep you posted....