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it's my understanding that cme DOES NOT bundle trades anymore since october. that's why we have more ticks. and that's why tick traderes needed to increase their tick period.
roonius you're right some providers "store" tick data. but I pretty certain zen-fire does not.
Pull up a chart of the average trade size. You'll see it got cut in half. One week it was 11 shares/trade and the next week it was 5.
Technically what happened is that they unbundled large trades and have broken them up. Roughly cut them in half. How this unbundling happens exactly we don't know. but what we do know is that the data we see is not the original data. If we see 50 shares on an order, it could have been 100, 500, or anything else.
This will wreck havoc with order splitters. Pretty much render them useless, as if they were of any use anyway.
In my trading, I increased the tick size for ES by a factor of 2 and I still didn't like it so I increased it a little more.
Well I'm trying now to use the EOTPro indicators with the bettervolume2 indicator to see how it goes, You can try it out, it's good to filter the arrows out.
I am not going to argue on that since I don't know which do and which don't.
I want to believe that Zen-Fire does not, but... do we know that for sure?
I don't think we're talking about the same thing. example. 10 orders to buy 50 shs at $ 10. before october it would show up as 500 shs at $ 10. and that's simply not correct. but now it is. that's why it makes more sense to use vol spitters.