Frequency of Index and market internals updates

[tsentosa]

I am trying to figure out the frequency of updates for some of the major indices and market internals.

I thought they are updated every ticks. But when I checked the esignal website, they listed the following:
SPX: 15 secs (Source: CBOE)
INDU (dow jones): 2 secs (Source: CBOT)
NYSE ADv/Dec issues: 6 secs (Source: ESignal)
TRIN: 6 secs (Esignal)
TICK: 6 secs (Esignal)

The SPX and INDU are being updated only after a few seconds.
Is this common to other quote platforms or is it because the exchange only update those info at that time interval?

If this were true, then we really have to anticipate quotes delay in fast moving markets.

Thanks for any feedbacksI

[tsentosa]

Additional Qs

I also would like to find out the quote for Put/CAll ratio and the frequency of updates. I heard that Esignal plan to incorporate this. Is it available yet?

[ScottJ]

Hi,

Indices like $ADV, $DECL, $TRIN, $TICK etc are snapshot type statistics and a specific update interval needs to be established. Those update intervals might vary a bit from vendor to vendor but I doubt by very much. If the source indicates eSignal than we calculate that indice from the raw data. Otherwise, the indice is created by the exchange and sent directly.

CBOE Put/Call is definitely on the wish list but no ETA as of yet.

I'm not exactly sure what you were looking for here but I hope this info has helped.

Thanks.

[ScottJ]

Just remembered another tip to pass along. If you want to check the frequency of an index, just bring that index up in time and sales. Below is $TICK from today. You'll see it updates very regularly at 6 second intervals. There's one exception and that is if the value is the same as the last update, we don't send one. That's the reason there could be gaps of 12 or 18 seconds.

[tsentosa]

HOw about sector indices?
SOX (PHLX) updates every 15 sec, IUS (CBOE) updates every 15 secs. Is this also set by Esignal?

I am trading EMinis and need the live updates on internals such as $TICK, $TIKI and someimes I also trade basket from sector.

Thanks for the info

[ScottJ]

If the source is designated CBOE, NYSE, etc. then the exchange is calculating and sending that particular index. If the source is eSignal, we are calculating it. If we are calculating it, it's still possible that the exchange could dictate the min interval update.

On $TICK, I just checked a few other competitors and didn't find any sending this symbol in real-time. The range was 5 to 10 seconds on the 3 checked. Since this is a snapshot type stat, I'm not sure it would be possible, or even meaningful, to stream it tick by tick. $TICK is the majority of NYSE stocks, after all.

Thanks.