> I just dusted this off and ran it, and did some quick alignment > between the two files. Results in excel format were uploaded in file > "FASTFIX Output 1.xls". The graphs show the data from CME and > recorded with JBT overlaid on top of eachother. There is also some > "difference" calculations in there, but the graphs say more, in my > opinion. >
It's looking good. The differences are probably due to the fact that IB samples the incoming market depth stream at approximately 4 times per second frequency, while CME sampling rate is much higher. Despite of this, it looks like both IB and CME data sources are in sync, more or less. Now that you have both CME data and JBT-recorded data for the same day, you can run some sample strategies using both datasets and compare the results. -- You received this message because you are subscribed to the Google Groups "JBookTrader" group. To post to this group, send email to [email protected]. To unsubscribe from this group, send email to [email protected]. For more options, visit this group at http://groups.google.com/group/jbooktrader?hl=en.
