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||Apr 29, 2008 05:19 PM
||Apr 29, 2008 05:19 PM
nonprophet has contributed to 10 posts out of 20591 total posts
(0.05%) in 5,715 days (0.00 posts per day).
20 Most recent posts:
Thanks very much for your efforts in clearing up this issue.
In my April 4 email I mentioned early exercise as possible explanation for the unexplained *DE-creases* in open interest. My accompanying list mentioned a total of 586,267 contracts divided among 969 different series that *DIS*appeared without volume. A more detailed analysis here could filter out those contracts that are reasonable early exercise candidates (For example any out of the moneys are not).
I did not go into that much detail because more troublesome indeed are the contracts that *APPEAR* without volume. As you mention, there is no explanation for these.
I attach the list here for anyone interested. This is not a monthly cumulation, these are only April 3 - April 4 overnight ghost contracts: 222,724 contracts among 300 series!
To explain away >200k contracts as reporting or processing errors seems unacceptable. Unless a more plausible explanation is given, in my opinion, we should at least consider the possibility of irregularities.
Is this conspiracy theory? I don't think so, perhaps others can weigh in, but I know this: let me pick just ten contracts daily to enter into after market close and I will retire in a few years. I think this should be investigated.
So far your response has been great, question is if you agree with my conclusions and/or are willing to pursue this further.
Thanks. I’m not too familiar with the forum but it seems confusing not to have the DTN folks marked clearly. Just my opinion. But let’s focus on the issue at hand, that’s much more important.
That’s wonderful. I’m just wondering lorenf, with your user status similar to mine (“Interested User”) are you speaking in name of DTN? (no offense please)
Edited by nonprophet on Apr 25, 2008 at 11:37 AM
Is this issue still under investigation? Or is there still doubt about the validity of the complaint?
I am quite sure OCC/OPRA/Exchanges are the culprits, and DTN and other providers simply pass along the same data errors.
Sarah, if DTN is willing to take this issue to the data source then I could compile a list of more recent (like Apr 14-Apr 15) discrepancies.
I hope we can find DTN on our side to clear this up. Just let me know.
Sarah, on April 6 I emailed you a list with over 1,200 Volume/OpenInterest discrepancies but have had no response so far. Did you receive that list?
This data issue where Open Interest drops out of thin air is an ongoing problem. Possibly contracts are traded (illegally) after market close. Could you please insist the exchange clear up this particular instance? Or alternatively, let them inform us where to participate in the after-market party. Thank you.
Edited by nonprophet on Mar 6, 2008 at 09:42 PM
OK Tim, I’ll sign up for the trial and figure it out.
Just one more Q if I may:
When the website says that the service contains:
8 calendar days of tick (every trade) and 120 calendar days interval (1 minute or larger intervals) history retrieval for charting and time & sales data
then do these “8 calendar days of tick (every trade)” contain bid and ask at time of trade?? In other words: are bid and ask (at trade) STORED?
Or, in order to retrieve bid/ask I would have to be logged on RT and STORE these bid/ask data myself? (If so, that obviously would make no sense for me because I don’t know real-time in which symbols I’ll be interested.)
Again, I’ll give it a try but this can shortcut our efforts. Thanks.
Hi Tim, thanks for the quick reply.
In fact 2 days would be sufficient in my case. What’s important is that the downloaded data contains all trades PLUS bid and ask at time of trade. No bulk, only specific symbols on request.
Can I use the Quotetracker pack for that?
If so, how would I establish the download? Using:
-No additional software necessary?
Thanks for helping me out.
I am interested strictly in after-market download of some stock an option trade data (including bid and ask). I found the IQ feed/QCollector combo but am slightly discouraged by the $50 price tag.
I’d be paying the same as someone who’s logged into the live feed 5 days a week. The on-site calculator gives a $50 price with the QCollector software.
I played around with the calculator and so far only found the Quotetracker price at $20 to be a lower price.
I don’t know if the Quotetracker package perhaps also enables downloading data using QCollector? (just the 8 day time&sales would suffice for me).
Of course, at least in my opinion, access to the RT feed could be disabled in a package suited only for after market download with QCollector.
Do I have a point? Perhaps I’m missing something. Appreciate any comments.