for those of you who use time and sales/tick charts on index futures- big change

[TAjammy]

a solid heads up on the stock indexes

 

[N Rothschild]

seems pretty pointless modification!

 

[TAjammy]

yeh i think it'll make reading T&S even harder lol, but i really don't know why they made this change???
have to X2.5 your tick charts

 

[gedward3]

yeh i think it'll make reading T&S even harder lol, but i really don't know why they made this change???
have to X2.5 your tick charts

Just like in stocks where they can iceberg the orders. Theres the ability to break
up the orders so the retail traders cant see their true intention and piggy back
the trades. The distance with computers has closed the gap between the retail and pro traders in the last few years. Wouldnt surprise me if the seat holders in the exchange had a word with the heads of the exchange about splitting the trades up. As far as i can see the exchange now has more data to take care of which can only create headaches
for them.

 

[dcraig1]

What's wrong with you lot? This can only be an improvement. If you have lass aggregation of ticks, you will get more accurate picture of what is going on in market micro structure.

The are not splitting up large ticks.

The change results in more accurate data for analysis with products like Market Delta.

 

[gedward3]

What's wrong with you lot? This can only be an improvement. If you have lass aggregation of ticks, you will get more accurate picture of what is going on in market micro structure.

The are not splitting up large ticks.

The change results in more accurate data for analysis with products like Market Delta.

How do make that out. If each order is being broken down your gonna have more ticks on your tick chart. So as TA Jammy says you have 2.5 times more data going through.
Your gonna have to change your 233 Tick chart to a 583 Tick chart to see the same data. If you look for 100 lot Smart Money trades on Time and Sales going through so you can piggy back the flow, you cant follow 100 lot orders now and have to divide that by 2.5 which is 40 lot trades. These trades are now what the large retail traders are doing so you cannot see where the smart money is trading.

I dont know about Market Delta but just using maths like i have done above makes me think they have done it for some reason and not to give the retail trader a better deal.

I happy to bow down if im wrong.

Ged

 

[dcraig1]

Who says they are breaking up individual transactions? Globex have been aggregating tick data. Perhaps they are now aggregating into finer slices or not at all.

Maybe some of those 100 lot so called "smart money" ticks shown previously are just aggregates of more than one transaction.

 

[gedward3]

Who says they are breaking up individual transactions? Globex have been aggregating tick data. Perhaps they are now aggregating into finer slices or not at all.

Maybe some of those 100 lot so called "smart money" ticks shown previously are just aggregates of more than one transaction.

Maybe they do but im not here to argue. Just putting my view across
to the OP.

 

[TAjammy]

Who says they are breaking up individual transactions? Globex have been aggregating tick data. Perhaps they are now aggregating into finer slices or not at all.

Maybe some of those 100 lot so called "smart money" ticks shown previously are just aggregates of more than one transaction.

well you never really know whether it's one big guy or 100 1 lotters so you've got a point. My point was that if you're tryin to read tape there's 2.5 times more trades to process than before.