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Bundled data verses raw data


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FuturesBen's Avatar
 FuturesBen 
Edmonton ,Alberta, Canada
 
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I'm sure this has been asked before. I couldn't come up with anything on a search. For trading ES futures, what is the difference between bundled data or the raw data? What do you prefer


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 matthew28 
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It depends what you do with your data. For time based charts for instance it makes no difference at all. For placing orders it makes no difference either as it is volume that has already been transacted that is bundled together.
But if you are watching the order flow on a DOM say then the flow will be more 'chunky' as it will be consolidated as larger blocks. Footprint charts will build slightly differently too. Volume based charts might have bars starting and ending slightly differently as the volume count is a little off compared to unfiltered data.
So whether it matters or not depends on the user.


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FuturesBen's Avatar
 FuturesBen 
Edmonton ,Alberta, Canada
 
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After placing a ES scalp order , I do watch the price ladder to try to determine what is going on. There is always something to learn in DOM


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Last Updated on November 28, 2020


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