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Dear eSignal
I’ve been receiving Johannesburg Stock Exchange (JSE) data for over a year now. I’m also subscribed to the eSignal API and I collect Times and Sales data for the JSE on a daily basis. It appears to me as if the format for the JSE times and sales data changed yesterday. I would like to understand why it came about and also query the validity of the new data format.
To summarize the problem:
In the past Times and Sales data coming from the API looked something like this for a normal trade on the JSE:
Date: 2006/05/16. Time:09:00:16. Price:61000. Volume:230. eSignal Flag Indicating a Trade:4
Date: 2006/05/16. Time:09:00:16. Price:61000. Volume:230. eSignal Flag Indicating a Trade:4
Now it looks like this:
Date: 2006/05/17. Time:09:00:34. Price:63800. Volume:7. eSignal Flag Indicating a Trade:4
Like you can see it changed from a double entry to a single line entry. In principle this change is still manageable but the biggest problem comes with handling special JSE transactions.
The JSE allows for dual ended transactions eg a buy and sell transaction between two parties – like a normal trade and one that we are interested in, and then single ended transactions – eg when options are exercised. We are not really interested in that. The problem with the single ended transactions are that they are not part of normal market trading, they can happen at any time – but the worst is at whatever price. So if somebody exercise an option the system will show it but the price might be where the market was trading 6 months ago or whatever. This creates total havoc with graphs and any type of system analysis.
In the past it was possible to distinguish between normal dual ended transactions because of the double Times and Sales entry, and single special transactions because of the single line entry. We would then filter out the single line transactions and use only the double line transactions.
Now with the new Times and Sales format there is no way to distinguish between normal transactions and special transactions and this will lead to the total corruption of any future data that we collect.
Here is an example of transactions that should not be included for official transactions of the day. Like you can see there are lots of them and now there is no way to distinguish them:
Date: 2006/05/17. Time:17:10:06. Price:60105. Volume:1044. eSignal Flag Indicating a Trade:4
Date: 2006/05/17. Time:17:10:36. Price:61000. Volume:150. eSignal Flag Indicating a Trade:4
Date: 2006/05/17. Time:17:30:35. Price:62457.551. Volume:3100. eSignal Flag Indicating a Trade:4
Date: 2006/05/17. Time:17:31:42. Price:60384.77. Volume:5300. eSignal Flag Indicating a Trade:4
Date: 2006/05/17. Time:17:41:34. Price:63154.969. Volume:1750. eSignal Flag Indicating a Trade:4
(All data from AMS-JSE)
This is a serious issue to me and I will appreciate any feedback on it.
Thanks in advance. MRV1
I’ve been receiving Johannesburg Stock Exchange (JSE) data for over a year now. I’m also subscribed to the eSignal API and I collect Times and Sales data for the JSE on a daily basis. It appears to me as if the format for the JSE times and sales data changed yesterday. I would like to understand why it came about and also query the validity of the new data format.
To summarize the problem:
In the past Times and Sales data coming from the API looked something like this for a normal trade on the JSE:
Date: 2006/05/16. Time:09:00:16. Price:61000. Volume:230. eSignal Flag Indicating a Trade:4
Date: 2006/05/16. Time:09:00:16. Price:61000. Volume:230. eSignal Flag Indicating a Trade:4
Now it looks like this:
Date: 2006/05/17. Time:09:00:34. Price:63800. Volume:7. eSignal Flag Indicating a Trade:4
Like you can see it changed from a double entry to a single line entry. In principle this change is still manageable but the biggest problem comes with handling special JSE transactions.
The JSE allows for dual ended transactions eg a buy and sell transaction between two parties – like a normal trade and one that we are interested in, and then single ended transactions – eg when options are exercised. We are not really interested in that. The problem with the single ended transactions are that they are not part of normal market trading, they can happen at any time – but the worst is at whatever price. So if somebody exercise an option the system will show it but the price might be where the market was trading 6 months ago or whatever. This creates total havoc with graphs and any type of system analysis.
In the past it was possible to distinguish between normal dual ended transactions because of the double Times and Sales entry, and single special transactions because of the single line entry. We would then filter out the single line transactions and use only the double line transactions.
Now with the new Times and Sales format there is no way to distinguish between normal transactions and special transactions and this will lead to the total corruption of any future data that we collect.
Here is an example of transactions that should not be included for official transactions of the day. Like you can see there are lots of them and now there is no way to distinguish them:
Date: 2006/05/17. Time:17:10:06. Price:60105. Volume:1044. eSignal Flag Indicating a Trade:4
Date: 2006/05/17. Time:17:10:36. Price:61000. Volume:150. eSignal Flag Indicating a Trade:4
Date: 2006/05/17. Time:17:30:35. Price:62457.551. Volume:3100. eSignal Flag Indicating a Trade:4
Date: 2006/05/17. Time:17:31:42. Price:60384.77. Volume:5300. eSignal Flag Indicating a Trade:4
Date: 2006/05/17. Time:17:41:34. Price:63154.969. Volume:1750. eSignal Flag Indicating a Trade:4
(All data from AMS-JSE)
This is a serious issue to me and I will appreciate any feedback on it.
Thanks in advance. MRV1
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