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Strategies & Market Trends : Trading the SPOOs with Patrick Slevin!
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To: SE who wrote (2253)12/29/1999 6:20:00 AM
From: Patrick Slevin  Read Replies (1) of 7434
 
Yes, I looked at this part of your data and matched it up to mine


12/28/99        10:34:55        1476.5  1       Trade
     12/28/99        10:34:55        1476.25 1       Trade
     12/28/99        10:34:55        1476.25 1       Trade
     12/28/99        10:34:55        1476.25 1       Trade
     12/28/99        10:34:55        1476.25 1       Trade
     12/28/99        10:34:56        1476.25 1       Trade
     12/28/99        10:34:56        1476.25 1       Trade
     12/28/99        10:34:56        1476.25 1       Trade
     12/28/99        10:34:56        1476.25 1       Trade
     12/28/99        10:34:57        1476.25 1       Trade
     12/28/99        10:34:58        1476    1       Trade
     12/28/99        10:34:58        1476    1       Trade
     12/28/99        10:34:59        1476    1       Trade
     12/28/99        10:34:59        1476    1       Trade


It does line up, except for the time is off perhaps less than a second. I don't know why that would be, unless somehow the time gets adjusted dependant on "who" is sending the time stamp. Also I wonder if there is more than one server sending the fills. Even two servers might have two separate times, particularly if we are getting "sub-second" splits in the reporting time.

Well, it's been an interesting experiment but the more I think about it the data isn't viable anyway. I don't know what I would use it for, except to argue T&S and I cannot recall ever having a problem along those lines. T&S might be more difficult with pit trades than with Globex.
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