My converter is currently hitting an error in the data for 30- May-2009 at 07:45:43 (New York). It appears that the datastream stopped for approximately 2 minutes before it resumed. The key clue is that the message block send time is 2 minutes later than the time of the book update. I think this means that the book has been incorrect for those past 2 minutes. (And there is definitely a gap in that time).
Can I get a copy of the JBT recordings for that day, or even just for that hour or two? I'd like to make a comparison before I start proposing some solutions. On Dec 4, 12:25 pm, nonlinear5 <[email protected]> wrote: > > 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.
