Time and Sales for ES

[Rainer Bilek]

Hello, my question is
where come T&S Data for ES from.
Why do I asking this?
I have an eSignal T&S Window that is showing only trades.
I have an additional T&S Window that is showing only trades wich are reported from IB.
These both Data are completely different.
By my opinion ( Please correct if I am wrong) I expect to see:
- ALL trades made for ES when watching eSignal window
If I see a trade in the IB data window, I expect to see it in eSignal too.
But this is NOT.
If I see a trade in the eSignal window, I would accept that I can not see it from IB Data because they may have a different routing and network.
The fact is that I cannot see the trades (shown from IB Data) in eSignal T&S Window.
In addition - I see much more trades in the IB data window than I can see in the eSignal T&S.
This can not be. If eSignal delivers ALL trades for ES, I should see more trades in eSignal T&S as I can see from one Broker.
But this is not.
Please excuse the complicated description. I hope I could make it understandable.
Thanks
Rainer

[ScottJ]

You're assumptions are pretty right on. IB "pulses" data and may be combining trades at the same price so where we might show 3 trades, they may have just one with the volumes added. This can make comparisons difficult but we do send every transaction.

Please post a screenshot or some specific examples of where you feel the data does not match and we can investigate further.

Thanks.

[Rainer Bilek]

Scott, thank you for quick response.
I have attached an example that shows the transactions from 2008-04-17 at the time showing.
It was during Globex hours. Left is the eSignal and right is the IB window.
Bottom line is - IB shows more transactions than eSignal.
I will send an additional exsample today with data during RTH.

[ScottJ]

What time zone are these recorded in?

Thanks.

[Rainer Bilek]

Time Zone is MEZ

[ScottJ]

On a quick look, are you sure you don't have a min volume filter set on the eSignal side. You generally see many trades with sizes of 1 and 2 but not in your screenshot.

Thx

[Rainer Bilek]

Scott

Both windows have a filter to show only trades => 20 contracts.

[System Status Update]

Please remove all filters and compare again.

Thank you,
Mike Ramos
eSignal Support

[Rainer Bilek]

Mike,

I did - it makes no difference.
Only that comparison is much more difficult - due to the lot of small sized trades.

[System Status Update]

Please post another screenshot of the two time and sales windows and we'll take a closer look.

Thank you,
Mike Ramos
eSignal Support

[Rainer Bilek]

Mike,
I have a lot inbetween.
Will view it tomorrow morning (MEZ) and look for a clear picture.
I guess I can not post all.

[ScottJ]

IB does not currently provide a true tick by tick feed, whereas we do. On feeds like IB's, trades at like prices are often aggregated so you can't compare if you use a volume filter. Another customer asked a similar question back in Feb and we confirmed the above. Here's a snapshot from that research. As you can see towards the bottom, we sent 6 separate transactions where only 3 appear on the other tape.



So to test for yourself, remove all volume filters and match a short time period side by side (1-2 seconds) and you should see the same. One thing you should notice is more ticks on the eSignal T&S window than in an IB T&S window.

Thanks.

[Rainer Bilek]

Thank you for the information.
I will test it as you adviced tomorrow and report the result.

[Rainer Bilek]

Scott and Mike,

YOU ARE RIGHT!
I have recorded 4 hours of T&S Trades without any filter.
The comparisons result is that really all trades are shown (I have not counted each single contract) by eSignal.

So the misleading picture I had is a result of the Aggregation of Trades by IB in connection with using the filter.

As a result - the way I have used T&S is not very useful. I intended to so see who is leading at the moment Buyers or Sellers (but without seeing each single contract traded).
Maybe there is an EFS that shows this (if you know one, please let me know) - or maybe I will write my own.

Thank you for your help and information.
Regards,

[ScottJ]

Hi Ranier,

Thanks so much for the follow-up! We often get compared to IB from a data standpoint but since we deliver every tick and they do not, it's not really a fair comparison. Same holds true for several other vendors who aggregate like trades as well.

Take care.