CME DataMine T&S Vs IQFeed's Millisecond Time Stamps

CME DataMine T&S vs IQFeed's millisecond Time Stamps - Brokers and Data Feeds | Big Mike...
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CME DataMine T&S vs IQFeed's millisecond Time Stamps

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October 20th, 2013 (02:29 AM) by Cashish
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January 21st, 2014 (05:46 AM)
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#1 (permalink)
October 20th, 2013, 02:29 AM
Cashish
Elite Member
Miami 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 Time
and Sales Report to come forward and participate in proving (or not) the CME sequence numbers directly correlate with the IQFeed
millisecond time stamps.
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Platform: Ensign 10, NT7 DOM

Broker/Data: IB, IQ
Favorite Instrument: Currency Futures
I personally don't have the means (I'm not a DataMine subscriber) to compare the CME DataMine Time and Sales sequence numbers to
the millisecond time stamps now provided by IQFeed 5.0 nor have I seen it compared anywhere on the web, I'm asking for your
help.
It is my understanding these two Time and Sales reports should align perfectly (at least on a small sample). I'm asking the members
who 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.
Posts: 788 since May 2011

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The images above state the DataMine data records are time stamped to the second and the trades within that second are given a
sequence number. As I wrote in the text box, I question the accuracy of these statements mainly due to the dates on the sample data
and the dates on the documentation. Does the CME DataMine still record data time stamped to the second, or has that changed during
the 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 that
they were sent out over the market data feed," and the following statement is proven to be correct then the sequence numbers and the
millisecond 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 they
use 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 trading
stuff, 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 Myth
Busting.
Please, Post or PM.
Last edited by Cashish; October 20th, 2013 at 04:14 PM.

Thread Starter
#2 (permalink)
October 20th, 2013, 02:29 AM
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#3 (permalink)
October 20th, 2013, 11:59 PM
CurrentCatcher
Elite Member
Columbia MO/US
The Sierra Chart engineers recently said they don't think IQ Feed is actually
receiving millisecond time stamping from CME.
http://www.sierrachart.com/SupportBoard.php?ThreadID=3528
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Trading Experience: Intermediate

Platform: Sierra Chart
Favorite Instrument: Futures
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Cashish
#4 (permalink)
January 19th, 2014, 06:39 PM
Cashish
Elite Member
Miami FL USA
Broker/Data: IB, IQ

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 lay
to rest the notion I had about the alignment/correlation of IQFeed's millisecond timestamped data and the CME's DataMine sequence
numbers. FWIW, my charting program doesn't timestamp T&S Data sub-second, but it is IQFeed data and when running side by side
with the (crude and simple) IQFeed T&S program that does show the millisecond stamps, of course they print exactly the same, tick for
tick.
What I did here was take the Largest Tick traded (according to the CME DataMine T&S data) of the last three trading days and
Dissected all the trades during that one second period. When I first looked into this data I was surprised and thought the findings
were interesting, I thought others might as well.
January 15, 2014
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#5 (permalink)
January 19th, 2014, 07:26 PM
Big Mike
Administrator: 'da Big Dawg
Manta, Ecuador
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 actual
Exchange timestamp in milliseconds.
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Platform: My own custom solution

Favorite Instrument: SP500, Stocks
I am doing this and have not noticed any problems.

Mike
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#6 (permalink)
January 20th, 2014, 12:18 AM
Cashish
Elite Member
Miami FL USA
Broker/Data: IB, IQ
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 the
actual 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? Do
you 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
#7 (permalink)
January 20th, 2014, 12:22 AM
Big Mike
Manta, Ecuador
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 draw
any conclusions.
Better to instead use the IQFeed API directly if you are determining the capabilities of IQFeed, and not NinjaTrader.
Mike
Need help?

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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
#8 (permalink)
January 20th, 2014, 12:33 AM
Big Mike
Manta, Ecuador
Cashish
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 trading stuff, 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 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
11/19/2014 13:15
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speak to NinjaTrader.
Mike

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The following user says Thank You to Big Mike for this post:
Cashish
#9 (permalink)
January 20th, 2014, 12:41 AM
Cashish
When I started using NinjaTrader, the program didn't have charts! I've still never really figured out how to open one.
Elite Member
Miami FL USA
Broker/Data: IB, IQ

Thread Starter
January 20th, 2014, 12:12 PM
#10 (permalink)
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Robert Carrillo
Vendor: www.iqfeed.net
Omaha NE
Trading Experience: Intermediate
Platform: IQFeed compatible
Favorite Instrument: ES
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:
http://www.cmegroup.com/market-data/datamine-information-sheet.html
Posts: 271 since Jun 2012

Thanks: 234 given, 360 received
Thanks.
Robert
Last edited by Robert Carrillo; January 20th, 2014 at 01:38 PM. Reason: clarity
11/19/2014 13:15
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CME DataMine T&S vs IQFeed's millisecond Time Stamps

October 20th, 2013 (02:29 AM) by Cashish

January 21st, 2014 (05:46 AM)

Search this Thread

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

October 20th, 2013, 02:29 AM

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

Platform: Ensign 10, NT7 DOM

Posts: 788 since May 2011

I snipped this comment from this thread:

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

October 20th, 2013, 02:29 AM

Quick Summary Post

October 20th, 2013, 11:59 PM

Trading Experience: Intermediate

January 19th, 2014, 06:39 PM

Posts: 788 since May 2011

January 15, 2014

January 16, 2014

January 17, 2014

January 19th, 2014, 07:26 PM

I wouldn't put much belief in those results.

Trading Experience: Advanced

Platform: My own custom solution

I am doing this and have not noticed any problems.

Posts: 35,221 since Jun 2009

January 20th, 2014, 12:18 AM

Posts: 788 since May 2011

January 20th, 2014, 12:22 AM

There might be a misunderstanding.

Posts: 35,221 since Jun 2009

January 20th, 2014, 12:33 AM

Posts: 35,221 since Jun 2009

January 20th, 2014, 12:41 AM

Posts: 788 since May 2011

January 20th, 2014, 12:12 PM

Posts: 271 since Jun 2012

Currently Active Users Viewing This Thread: 1 (1 members and 0 guests)

Order Flow Analytics & IQfeed - my experience

Vendors and Product Reviews

September 11th, 2013 06:04 PM

Current Time CME

May 15th, 2013 04:26 PM

IQFeed now offers millisecond precision (At least to developers)

The Elite Circle

January 20th, 2013 01:19 PM

NT7, IQfeed, Qcollector & backfill CL..I`m so lost

The Elite Circle

cme latency over time published

November 2nd, 2012 06:41 AM

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