Individual Bid / Ask Trades for YM

[carltonp 10]

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

[Tams 20]

  carltonp said:

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

 

you can get historical trade prices,

but don't know anybody provides historical bid/ask.

 

you can try the exchange, they sell data.

[carltonp 10]

  Tams said:

you can get historical trade prices,

but don't know anybody provides historical bid/ask.

 

you can try the exchange, they sell data.

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

[carltonp 10]

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

[wrbtrader 10]

  carltonp said:

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

 

Hi Carlton,

 

Whom is your current data vendor ?

 

You going to plug times & sales info excel or a charting program ?

 

Also, have you started doing live recordings of the bid/ask and time & sales info ?

 

By the way, whom ever you're currently using, make sure you start downloading/accumulating your own times & sales data on several trade instruments besides just mini-sized Dow YM futures just in case you decide at a later data you're interested in a different trading instrument.

[carltonp 10]

  wrbtrader said:

Hi Carlton,

 

Whom is your current data vendor ?

 

You going to plug times & sales info excel or a charting program ?

 

Also, have you started doing live recordings of the bid/ask and time & sales info ?

 

By the way, whom ever you're currently using, make sure you start downloading/accumulating your own times & sales data on several trade instruments besides just mini-sized Dow YM futures just in case you decide at a later data you're interested in a different trading instrument.

 

 

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

[carltonp 10]

Gents/Ladies,

 

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

[Tams 20]

  carltonp said:

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

 

There is no way to tell.

 

In options, you will see the trade price hoovering in between the bid and the ask.

 

In futures, you will most likely see

the trade price hugging either the bid or the ask.

 

e.g.

 

Bid..... Ask.....Last
10964	10966	 10966
10965	10966	 10965
10964	10965	 10965
10964	10966	 10966
10965	10967	 10967

[Tams 20]

..........deleted..........

[carltonp 10]

  Tams said:

There is no way to tell.

[/code]

 

Thanks for responding Tams, however, I think you might be wrong. Going to investigate further.

 

Cheers

[Tams 20]

  carltonp said:

Thanks for responding Tams, however, I think you might be wrong. Going to investigate further.

 

Cheers

 

you might be able to guess if you know the quote before and the quote after.

 

 

I don't know when did you get that quote,

but YM spreads are much tighter, usually at 2 ticks wide, and occasionally oscillate between a 1~5 ticks window.

(see my example above)

[carltonp 10]

  Tams said:

you might be able to guess if you know the quote before and the quote after.

 

 

I don't know when did you get that quote,

but YM spreads are much tighter, usually at 2 ticks wide, and occasionally oscillate between a 1~5 ticks window.

(see my example above)

 

Ok, looking at you example, would you say that the last trade price of 10966 was executed at ask?

[Tams 20]

  carltonp said:

Ok, looking at you example, would you say that the last trade price of 10966 was executed at ask?

 

... probably... maybe?

[Tams 20]

here's the bid ask trade of the YM Mar 11 contract for 20110214 8:45:00 to 8:45:59

 

enjoy

ym mar 11 trade 20110214 0845 (1 min).txtFetching info...

[carltonp 10]

  Tams said:

here's the bid ask trade of the YM Mar 11 contract for 20110214 8:45:00 to 8:45:59

 

enjoy

 

Wow! Where did you get that from?

[Tams 20]

  carltonp said:

Wow! Where did you get that from?

 

from my database.

 

I collected the data in real time.

 

This is only one minute's worth of data, just enough for you to get a feel for the bid ask interaction.

[carltonp 10]

  Tams said:

from my database.

 

I collected the data in real time.

 

This is only one minute's worth of data, just enough for you to get a feel for the bid ask interaction.

 

Tams, who are your providers? How do you collect the data realtime?

 

Cheers

[Tams 20]

  carltonp said:

Tams, who are your providers? How do you collect the data realtime?

 

Cheers

 

I use IB with MultiCharts.

 

The charting program captures the data from IB automatically and saves them in a database in my computer.

 

 

I hope you have observed a few things with this data:

 

1. the time scale is in 1 second increments.

 

ie. The data is aggregated.

 

a) IB sends out their data in approx 250~300 second increments.

(Other data provider might do better, read the fine print on their service agreement.)

 

b) The market moves faster than 1 trade per second, but the retrieved data from the computer's own database is at 1 second increment. That means the charting software is further aggregating the data.

 

 

2. there is no bid ask size.

 

Because of the auction nature of the market, the changes in bid and ask is actually more frequent than the consumated trade price. ie. you should have MORE data points seesawing back and forth on both size, even if the bid ask price do not move, the size would.

 

 

Currently there are few retail software that can reliably capture all the data. ie. even if the data provider is sending you true ticks, your software might not be able to save all the quotes into your computer's database. MultiCharts has started using tick ID, which can time stamp and sequence the data into more traceable format. But I have not utilized it yet.

 

If you capture all the market's data, the database size would be enormous. It was a cost prohibitive undertaking a few years ago, that's why most software aggregate their data. With today's harddisk cost, database size is no long an issue, you will see more software with true tick databases in the near future.

[carltonp 10]

  Tams said:

I use IB with MultiCharts.

 

The charting program captures the data from IB automatically and saves them in a database in my computer.

 

 

I hope you have observed a few things with this data:

 

1. the time scale is in 1 second increments.

 

ie. The data is aggregated.

 

a) IB sends out their data in approx 250~300 second increments.

(Other data provider might do better, read the fine print on their service agreement.)

 

b) The market moves faster than 1 trade per second, but the retrieved data from the computer's own database is at 1 second increment. That means the charting software is further aggregating the data.

 

 

2. there is no bid ask size.

 

Because of the auction nature of the market, the changes in bid and ask is actually more frequent than the consumated trade price. ie. you should have MORE data points seesawing back and forth on both size, even if the bid ask price do not move, the size would.

 

 

Currently there are few retail software that can reliably capture all the data. ie. even if the data provider is sending you true ticks, your software might not be able to save all the quotes into your computer's database. MultiCharts has started using tick ID, which can time stamp and sequence the data into more traceable format. But I have not utilized it yet.

 

If you capture all the market's data, the database size would be enormous. It was a cost prohibitive undertaking a few years ago, that's why most software aggregate their data. With today's harddisk cost, database size is no long an issue, you will see more software with true tick databases in the near future.

 

Thanks Tam.

 

Some of what you mentioned I was made aware by IB support staff on Friday i.e 250ms increments, and that their data is aggregated. However, it never dawned on me that there might be additional aggregation in the software itself.

 

I also didn't pay attention to the fact there isn't any bid / ask size.

 

I have decided to use Esignal as data provider and solely use IB as the broker. I know Esignal provide tick by tick data, however I'm going to ask Esignal if they provide trades at bid and trades at ask through the API(application programming interface) as I need to import that crucial piece of information into my spreadsheet.

 

Anyway, you've been extremely helpful with this (and other) issues.

 

Appreciate mate.

 

Cheers

[clmacdougall 11]

  carltonp said:

Thanks Tam.

 

Some of what you mentioned I was made aware by IB support staff on Friday i.e 250ms increments, and that their data is aggregated. However, it never dawned on me that there might be additional aggregation in the software itself.

 

I also didn't pay attention to the fact there isn't any bid / ask size.

 

I have decided to use Esignal as data provider and solely use IB as the broker. I know Esignal provide tick by tick data, however I'm going to ask Esignal if they provide trades at bid and trades at ask through the API(application programming interface) as I need to import that crucial piece of information into my spreadsheet.

 

Anyway, you've been extremely helpful with this (and other) issues.

 

Appreciate mate.

 

Cheers

 

 

I personally use Esignal and their bid and ask info is superb!! When it comes to exporting it onto a spreadsheet application like excel, they will tell you their software was not meant for a high frequency transfer rate.

 

You will have lots of gaps and incorrect info when using their DDE (Direct Data Export) program. Depending upon what rate of information flow you would require their program may not be what you are looking for.

[Tams 20]

Excel can handle approx 2 updates per second. Beyond that, you might run into timing issues.

If you are collecting all the streaming data, you will run out of cells at some point.

[Tams 20]

if you want to experiment... here's an excel worksheet for IB

 

http://www.traderslaboratory.com/forums/trading-indicators/5900-dom-excel-ib.html

 

176

[clmacdougall 11]

  Tams said:

Excel can handle approx 2 updates per second. Beyond that, you might run into timing issues.

If you are collecting all the streaming data, you will run out of cells at some point.

 

Hi Tams,

 

Is there a different spreadsheet program other than excel which can be updated more than twice per second?

Thanks

[Tams 20]

  clmacdougall said:

Hi Tams,

 

Is there a different spreadsheet program other than excel which can be updated more than twice per second?

Thanks

 

sorry, I am not familiar with other spreadsheets.

[FulcrumTrader 10]

I have tracked the Cumulative Delta (BID / ASK differential) in futures for over 8 years now. I mainly use Investor RT Pro connected to ONLY DTN.IQ feed for my main Cumulative Delta analysis. What my group has found the past years is DTN.IQ feed is the only BID/ASK data we trust (only feed that consistently matches Bloomberg feed in a wide range of futures instruments).

 

If you have additional questions about BID/ASK data let me know. We are not yet finding any of the broker supplied feeds (Rithmic/Zenfire, OEC, Transact, IB, TT Fix, etc) workable for reliable BID/ASK data analysis (in a wide range of futures instruments ---> ES, YM, TF, ZB, TY, CL, Gold, Silver, NG, DAX, etc,etc,etc).