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For about the last 5 yrs I have displayed the bid and ask using the file BidAskAnalysis.efs posted here http://forum.esignal.com/showthread.php?threadid=10777 on 11/02/04 by Jason K. Volume has been assigned as either bid or ask normally both when the Russell was traded on the CME and since trading on ICE until last Monday 26 July. Since that Monday something has changed to cause volume to be assigned "inside", neither at the bid or the ask. I also use the same .efs file to display bid/ask volume on the Dow YM #F, however it is unaffected, still assigning volume to the bid and ask correctly.
I have attached 3 snapshots. The snapshot of 30 second Russell Friday July 23 shows the bid ask volume correctly as has been the case over the last 5 or so yrs. I have tabled the volume amounts for the bid, ask and "inside" for each 30sec bar. You will see that the "inside" volume displayed in black and tabled in the first column after the time stamp is minimal and represents less than 1% of total volume which is what would be expected.
The snapshot of 30 second Russell Tuesday August 3rd shows the abnormal amount of "inside" volume at about 30% of total volume which has been the case for each trading session since Monday July 26.
The snapshot of the 30 second Dow Tuesday August 3rd shows the volume assigned normally to the bid and ask with "inside" volume well below 1% as it should be. So it seems that this is just an issue with the Russell data.
I still use Version 8.0 Build 779. I have tried each newer version as they come out with the same result, while "inside" volume is less than 1%, the bulk of all volume is assigned to the ask on every trading session regardless of market direction.
My goal is to have bids and asks correct again. I'm not sure whether a change in the feed to version 8.0 is the cause or not. The best result would be correct bids and asks in the latest version. I guess that understanding the differences in the way the bids and asks were being fed to version 8.0 prior to 07/26/10 and the current feed may be a start.
07/23/10 Russell (TF) inside, bid, ask - feed prior to 07/26/10
09:30:00 0 508 432
09:30:30 0 239 215
09:31:00 0 171 87
09:31:30 0 281 190
09:32:00 0 206 202
09:32:30 0 306 218
09:33:00 0 218 187
09:33:30 0 161 176
09:34:00 1 113 205
09:34:30 2 140 143
09:35:00 2 240 215
09:35:30 0 122 163
09:36:00 0 106 100
09:36:30 1 249 161
09:37:00 0 125 153
09:37:30 0 58 105
09:38:00 1 97 210
09:38:30 1 134 172
09:39:00 0 251 315
09:39:30 0 60 104
09:40:00 0 153 96
09:40:30 0 92 100
09:41:00 2 161 250
09:41:30 0 222 282
09:42:00 0 102 164
09:42:30 1 194 194
09:43:01 1 178 248
09:43:30 1 170 196
09:44:00 2 378 337
09:44:31 0 156 139
09:45:00 2 166 105
09:45:30 0 158 75
09:46:00 0 159 126
09:46:30 0 143 81
09:47:00 0 201 88
09:47:30 0 86 65
09:48:00 0 117 87
09:48:30 0 579 281
09:49:01 0 277 492
09:49:30 0 209 112
09:50:00 3 262 110
09:50:30 2 243 128
09:51:00 1 263 132
09:51:30 0 100 80
09:52:00 1 104 151
09:52:30 5 151 122
09:53:00 0 61 87
09:53:30 0 99 57
09:54:01 0 77 85
09:54:30 0 156 87
09:55:00 0 109 192
09:55:30 0 83 80
09:56:00 0 53 37
09:56:30 0 48 62
09:57:05 2 103 59
09:57:30 0 131 67
09:58:00 1 136 95
09:58:30 0 232 159
09:59:00 0 112 104
09:59:31 0 150 114
08/03/10 Russell (TF) inside, bid, ask - feed after 07/26/10
09:30:00 373 334 459
09:30:30 63 306 153
09:31:00 91 550 97
09:31:30 116 339 158
09:32:00 52 83 114
09:32:30 37 101 68
09:33:00 33 39 71
09:33:30 37 21 86
09:34:00 140 232 186
09:34:31 14 17 42
09:35:00 78 149 138
09:35:30 94 156 115
09:36:00 86 102 81
09:36:31 15 91 50
09:37:00 46 81 42
09:37:30 39 257 54
09:38:00 93 88 245
09:38:32 52 47 119
09:39:00 63 78 109
09:39:30 31 82 73
09:40:00 321 132 176
09:40:30 52 149 87
09:41:00 4 32 39
09:41:30 16 46 40
09:42:01 18 56 30
09:42:32 29 83 65
09:43:01 14 113 67
09:43:30 21 81 31
09:44:00 15 40 61
09:44:32 53 46 70
09:45:00 40 172 41
09:45:30 127 317 159
09:46:01 21 57 58
09:46:31 28 74 35
09:47:00 219 352 182
09:47:30 92 147 74
09:48:00 22 35 144
09:48:30 30 75 82
09:49:01 8 20 60
09:49:30 46 229 70
09:50:01 252 428 230
09:50:30 20 49 73
09:51:00 19 86 37
09:51:30 126 88 67
09:52:00 12 32 60
09:52:31 180 177 68
09:53:00 39 111 102
09:53:31 29 61 65
09:54:01 37 41 46
09:54:30 142 308 106
09:55:01 125 377 142
09:55:30 115 211 168
09:56:00 58 186 108
09:56:30 19 65 74
09:57:00 122 188 94
09:57:30 176 138 306
09:58:00 24 58 62
09:58:30 35 38 59
09:59:00 16 15 59
09:59:32 74 24 53
08/03/10 Dow (YM) inside, bid, ask - feed after 07/26/10
09:30:00 0 423 357
09:30:30 0 169 78
09:31:00 0 226 81
09:31:30 0 215 115
09:32:00 0 88 69
09:32:30 0 66 66
09:33:00 0 138 151
09:33:30 0 54 158
09:34:01 0 238 168
09:34:30 0 95 77
09:35:00 0 144 177
09:35:30 0 204 79
09:36:00 0 118 163
09:36:33 0 27 27
09:37:00 0 35 23
09:37:30 0 27 29
09:38:00 0 214 330
09:38:31 0 52 150
09:39:00 0 53 90
09:39:30 0 105 125
09:40:00 0 100 141
09:40:30 0 200 64
09:41:00 0 73 58
09:41:30 0 51 18
09:42:00 0 44 39
09:42:31 0 58 34
09:43:02 0 162 69
09:43:30 0 114 119
09:44:00 0 31 80
09:44:33 0 42 149
09:45:00 0 294 118
09:45:30 0 293 193
09:46:00 0 43 88
09:46:32 0 53 20
09:47:00 0 52 82
09:47:31 0 77 84
09:48:01 0 17 108
09:48:32 0 60 43
09:49:01 0 19 21
09:49:30 0 105 76
09:50:00 0 100 83
09:50:31 0 57 69
09:51:03 0 33 45
09:51:30 0 94 114
09:52:00 0 35 41
09:52:33 0 262 184
09:53:00 0 79 113
09:53:32 1 59 60
09:54:00 0 61 72
09:54:30 0 412 204
09:55:01 0 171 131
09:55:30 0 184 260
09:56:00 0 101 130
09:56:30 0 58 65
09:57:00 0 75 165
09:57:31 0 129 146
09:58:01 0 41 44
09:58:31 0 34 76
09:59:00 0 16 37
09:59:31 0 97 52
I have attached 3 snapshots. The snapshot of 30 second Russell Friday July 23 shows the bid ask volume correctly as has been the case over the last 5 or so yrs. I have tabled the volume amounts for the bid, ask and "inside" for each 30sec bar. You will see that the "inside" volume displayed in black and tabled in the first column after the time stamp is minimal and represents less than 1% of total volume which is what would be expected.
The snapshot of 30 second Russell Tuesday August 3rd shows the abnormal amount of "inside" volume at about 30% of total volume which has been the case for each trading session since Monday July 26.
The snapshot of the 30 second Dow Tuesday August 3rd shows the volume assigned normally to the bid and ask with "inside" volume well below 1% as it should be. So it seems that this is just an issue with the Russell data.
I still use Version 8.0 Build 779. I have tried each newer version as they come out with the same result, while "inside" volume is less than 1%, the bulk of all volume is assigned to the ask on every trading session regardless of market direction.
My goal is to have bids and asks correct again. I'm not sure whether a change in the feed to version 8.0 is the cause or not. The best result would be correct bids and asks in the latest version. I guess that understanding the differences in the way the bids and asks were being fed to version 8.0 prior to 07/26/10 and the current feed may be a start.
07/23/10 Russell (TF) inside, bid, ask - feed prior to 07/26/10
09:30:00 0 508 432
09:30:30 0 239 215
09:31:00 0 171 87
09:31:30 0 281 190
09:32:00 0 206 202
09:32:30 0 306 218
09:33:00 0 218 187
09:33:30 0 161 176
09:34:00 1 113 205
09:34:30 2 140 143
09:35:00 2 240 215
09:35:30 0 122 163
09:36:00 0 106 100
09:36:30 1 249 161
09:37:00 0 125 153
09:37:30 0 58 105
09:38:00 1 97 210
09:38:30 1 134 172
09:39:00 0 251 315
09:39:30 0 60 104
09:40:00 0 153 96
09:40:30 0 92 100
09:41:00 2 161 250
09:41:30 0 222 282
09:42:00 0 102 164
09:42:30 1 194 194
09:43:01 1 178 248
09:43:30 1 170 196
09:44:00 2 378 337
09:44:31 0 156 139
09:45:00 2 166 105
09:45:30 0 158 75
09:46:00 0 159 126
09:46:30 0 143 81
09:47:00 0 201 88
09:47:30 0 86 65
09:48:00 0 117 87
09:48:30 0 579 281
09:49:01 0 277 492
09:49:30 0 209 112
09:50:00 3 262 110
09:50:30 2 243 128
09:51:00 1 263 132
09:51:30 0 100 80
09:52:00 1 104 151
09:52:30 5 151 122
09:53:00 0 61 87
09:53:30 0 99 57
09:54:01 0 77 85
09:54:30 0 156 87
09:55:00 0 109 192
09:55:30 0 83 80
09:56:00 0 53 37
09:56:30 0 48 62
09:57:05 2 103 59
09:57:30 0 131 67
09:58:00 1 136 95
09:58:30 0 232 159
09:59:00 0 112 104
09:59:31 0 150 114
08/03/10 Russell (TF) inside, bid, ask - feed after 07/26/10
09:30:00 373 334 459
09:30:30 63 306 153
09:31:00 91 550 97
09:31:30 116 339 158
09:32:00 52 83 114
09:32:30 37 101 68
09:33:00 33 39 71
09:33:30 37 21 86
09:34:00 140 232 186
09:34:31 14 17 42
09:35:00 78 149 138
09:35:30 94 156 115
09:36:00 86 102 81
09:36:31 15 91 50
09:37:00 46 81 42
09:37:30 39 257 54
09:38:00 93 88 245
09:38:32 52 47 119
09:39:00 63 78 109
09:39:30 31 82 73
09:40:00 321 132 176
09:40:30 52 149 87
09:41:00 4 32 39
09:41:30 16 46 40
09:42:01 18 56 30
09:42:32 29 83 65
09:43:01 14 113 67
09:43:30 21 81 31
09:44:00 15 40 61
09:44:32 53 46 70
09:45:00 40 172 41
09:45:30 127 317 159
09:46:01 21 57 58
09:46:31 28 74 35
09:47:00 219 352 182
09:47:30 92 147 74
09:48:00 22 35 144
09:48:30 30 75 82
09:49:01 8 20 60
09:49:30 46 229 70
09:50:01 252 428 230
09:50:30 20 49 73
09:51:00 19 86 37
09:51:30 126 88 67
09:52:00 12 32 60
09:52:31 180 177 68
09:53:00 39 111 102
09:53:31 29 61 65
09:54:01 37 41 46
09:54:30 142 308 106
09:55:01 125 377 142
09:55:30 115 211 168
09:56:00 58 186 108
09:56:30 19 65 74
09:57:00 122 188 94
09:57:30 176 138 306
09:58:00 24 58 62
09:58:30 35 38 59
09:59:00 16 15 59
09:59:32 74 24 53
08/03/10 Dow (YM) inside, bid, ask - feed after 07/26/10
09:30:00 0 423 357
09:30:30 0 169 78
09:31:00 0 226 81
09:31:30 0 215 115
09:32:00 0 88 69
09:32:30 0 66 66
09:33:00 0 138 151
09:33:30 0 54 158
09:34:01 0 238 168
09:34:30 0 95 77
09:35:00 0 144 177
09:35:30 0 204 79
09:36:00 0 118 163
09:36:33 0 27 27
09:37:00 0 35 23
09:37:30 0 27 29
09:38:00 0 214 330
09:38:31 0 52 150
09:39:00 0 53 90
09:39:30 0 105 125
09:40:00 0 100 141
09:40:30 0 200 64
09:41:00 0 73 58
09:41:30 0 51 18
09:42:00 0 44 39
09:42:31 0 58 34
09:43:02 0 162 69
09:43:30 0 114 119
09:44:00 0 31 80
09:44:33 0 42 149
09:45:00 0 294 118
09:45:30 0 293 193
09:46:00 0 43 88
09:46:32 0 53 20
09:47:00 0 52 82
09:47:31 0 77 84
09:48:01 0 17 108
09:48:32 0 60 43
09:49:01 0 19 21
09:49:30 0 105 76
09:50:00 0 100 83
09:50:31 0 57 69
09:51:03 0 33 45
09:51:30 0 94 114
09:52:00 0 35 41
09:52:33 0 262 184
09:53:00 0 79 113
09:53:32 1 59 60
09:54:00 0 61 72
09:54:30 0 412 204
09:55:01 0 171 131
09:55:30 0 184 260
09:56:00 0 101 130
09:56:30 0 58 65
09:57:00 0 75 165
09:57:31 0 129 146
09:58:01 0 41 44
09:58:31 0 34 76
09:59:00 0 16 37
09:59:31 0 97 52
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