CME DMA與路透報價的比對

張貼日期：Mar 08, 2012 3:52:58 PM

DMA行情是正確的

1.DMA行情速度總是比路透快,明細比路透更完整, 如有差異發生時,DMA與CME網站一致,路透有誤

比對CME網站路透的總量明顯過大

Tick Log ( 左路透,右DMA, 欄位依序 GMT,買,賣,成交,單量,總量 )

左為路透(i-gfort02) 右為DMA(i-gfort91) , 路透有漏價合併與異常爆量之情形(爆量的部分路透解釋為人工盤)

2. 路透將模擬買賣價與委託最佳行情混在一起

路透不僅將模擬買賣價混進委託簿中揭示,也把隱含買賣價也混進去重組,以交易需求而言會造成干擾!

反觀PATS(ADM/MAN)雖然Tick數較少,至少委託簿訊息是依據交易所資訊揭示比較正確並另提供欄位揭示隱含買賣價

但部分券商在處理PATS時也向路透看齊重組委託簿,這樣的作法如須交易不如直接買PATS莫透過券商系統較安全!

3.以策略王超光速比對冷門月份商品的買賣tick,路透買賣價檔數有缺,DMA較齊全並正確,路透漏資料甚嚴重

( 資訊源1是DMA 資訊源2是路透 )

以紐約熱燃油1205(2012-03-20)的部份資料比對 (GMT,買價,賣價,成交價,單量,總量),

顯示路透的成交價排除Spread Trade, 但買賣價卻採用隱含買賣價和模擬買賣價的計算結果

RMDS(Reuters) GMDS04(DMA-Channel B) GMDS03(DMA-Channel A) Exclude Spread(DMA-Channel B)

051206,32601,32612,32620,1,306 051203,32587,32620,32620,1,306 051200,32587,32620,32620,1,306 051202,32587,32620,32620,1,306

051206,32601,32612,32620,1,307 051203,32587,32620,32620,1,307 051200,32587,32620,32620,1,307 051202,32587,32620,32620,1,307

051206,32601,32612,32620,1,308 051203,32587,32620,32600,1,308 051200,32587,32620,32600,1,308 051202,32587,32620,32620,1,308

051207,32598,32625,32620,1,309 051204,32587,32620,32610,1,309 051201,32587,32620,32610,1,309 051203,32587,32620,32620,1,309

051207,32598,32625,32620,1,310 051204,32587,32620,32610,1,310 051201,32587,32620,32610,1,310 051203,32587,32620,32620,1,310

051207,32599,32625,32620,1,311 051204,32587,32620,32610,1,311 051201,32587,32620,32610,1,311 051203,32587,32620,32620,1,311

051207,32599,32625,32620,2,313 051204,32587,32620,32610,2,313 051201,32587,32620,32610,2,313 051203,32587,32620,32620,2,313

051207,32598,32613,32620,1,314 051204,32587,32628,32610,1,314 051201,32587,32628,32610,1,314 051204,32587,32628,32620,1,314

054835,32596,32600,32620,1,315 054831,32579,32600,32600,1,315 054829,32579,32600,32600,1,315 054831,32579,32600,32620,1,315

054840,32596,32600,32620,1,316 054837,32579,32600,32600,1,316 054834,32579,32600,32600,1,316 054836,32579,32600,32620,1,316

054848,32596,32600,32598,1,317 054845,32579,32600,32598,1,317 054842,32579,32600,32598,1,317 054844,32579,32600,32598,1,317

054848,32595,32606,32598,1,318 054845,32579,32612,32598,1,318 054842,32579,32612,32598,1,318 054844,32579,32612,32598,1,318

055445,32595,32600,32598,1,319 055442,32579,32614,32598,1,319 055439,32579,32614,32598,1,319 055441,32579,32614,32598,1,319

055446,32595,32601,32598,1,320 055443,32579,32614,32598,1,320 055440,32579,32614,32598,1,320 055442,32579,32614,32598,1,320

055447,32592,32600,32598,1,321 055444,32592,32614,32593,1,321 055441,32592,32614,32593,1,321 055443,32592,32614,32598,1,321

055447,32592,32600,32598,2,323 055444,32592,32614,32597,2,323 055441,32592,32614,32597,2,323 055443,32592,32614,32598,2,323

055447,32592,32601,32598,1,324 055444,32592,32614,32597,1,324 055441,32592,32614,32597,1,324 055443,32592,32614,32598,1,324

055451,32592,32601,32598,1,325 055448,32592,32614,32597,1,325 055445,32592,32614,32597,1,325 055447,32592,32614,32598,1,325

060311,32595,32612,32595,1,326 060307,32595,32622,32595,1,326 060305,32595,32622,32595,1,326 060307,32595,32622,32595,1,326

060311,32595,32612,32595,1,327 060307,32595,32622,32595,1,327 060305,32595,32622,32595,1,327 060307,32595,32622,32595,1,327

060311,32595,32612,32595,2,329 060307,32595,32622,32595,2,329 060305,32595,32622,32595,2,329 060307,32595,32622,32595,2,329

060311,32593,32612,32595,1,330 060307,32595,32622,32595,1,330 060305,32595,32622,32595,1,330 060307,32595,32622,32595,1,330

060311,32593,32612,32595,1,331 060307,32580,32622,32595,1,331 060305,32580,32622,32595,1,331 060307,32580,32622,32595,1,331

060311,32593,32612,32595,1,332 060307,32580,32622,32595,1,332 060305,32580,32622,32595,1,332 060307,32580,32622,32595,1,332

061904,32603,32616,32603,1,333 061901,32603,32638,32603,1,333 061858,32603,32638,32603,1,333 061900,32603,32638,32603,1,333

061904,32603,32616,32603,1,334 061901,32603,32638,32603,1,334 061858,32603,32638,32603,1,334 061900,32603,32638,32603,1,334

061904,32603,32616,32603,1,335 061901,32603,32638,32595,1,335 061858,32603,32638,32595,1,335 061900,32603,32638,32603,1,335

061904,32603,32616,32603,1,336 061901,32603,32638,32594,1,336 061858,32603,32638,32594,1,336 061900,32603,32638,32603,1,336

061904,32603,32616,32590,1,337 061901,32603,32638,32590,1,337 061858,32603,32638,32590,1,337 061900,32603,32638,32590,1,337

061904,32603,32616,32590,1,338 061901,32603,32638,32590,1,338 061858,32603,32638,32590,1,338 061900,32603,32638,32590,1,338

061904,32590,32617,32590,1,339 061901,32590,32638,32590,1,339 061858,32590,32638,32590,1,339 061901,32590,32638,32590,1,339

061904,32590,32617,32590,1,340 061901,32590,32638,32590,1,340 061858,32590,32638,32590,1,340 061901,32590,32638,32590,1,340

061904,32595,32603,32603,1,341 061901,32595,32634,32603,1,341 061858,32595,32634,32603,1,341 061901,32595,32634,32603,1,341

062632,32603,32617,32603,1,342 062628,32603,32636,32603,1,342 062626,32603,32636,32603,1,342 062628,32603,32636,32603,1,342

062632,32603,32617,32603,1,343 062628,32603,32636,32603,1,343 062626,32603,32636,32603,1,343 062628,32603,32636,32603,1,343

062649,32603,32617,32603,2,345 062646,32603,32636,32604,2,345 062643,32603,32636,32604,2,345 062645,32603,32636,32603,2,345

063242,32611,32617,32603,1,346 063239,32611,32636,32617,1,346 063236,32611,32636,32617,1,346 063238,32611,32636,32603,1,346

063321,32611,32625,32603,1,347 063318,32611,32636,32617,1,347 063315,32611,32636,32617,1,347 063317,32611,32636,32603,1,347

063356,32611,32625,32603,1,348 063353,32611,32636,32617,1,348 063350,32611,32636,32617,1,348 063352,32611,32636,32603,1,348

063550,32611,32627,32603,1,349 063546,32611,32636,32615,1,349 063544,32611,32636,32615,1,349 063546,32611,32636,32603,1,349

063938,32611,32628,32603,1,350 063935,32611,32636,32610,1,350 063932,32611,32636,32610,1,350 063934,32611,32636,32603,1,350

063954,32611,32627,32603,1,351 063951,32611,32636,32609,1,351 063948,32611,32636,32609,1,351 063950,32611,32636,32603,1,351

063954,32611,32627,32603,1,352 063951,32611,32636,32609,1,352 063948,32611,32636,32609,1,352 063950,32611,32636,32603,1,352

064652,32603,32615,32603,1,353 064649,32603,32632,32603,1,353 064646,32603,32632,32603,1,353 064648,32603,32632,32603,1,353

064957,32603,32614,32603,1,354 064954,32603,32632,32603,1,354 064951,32603,32632,32603,1,354 064954,32603,32632,32603,1,354

065703,32603,32613,32603,1,355 065700,32603,32645,32600,1,355 065657,32603,32645,32600,1,355 065659,32603,32645,32603,1,355

065717,32603,32612,32603,1,356 065714,32603,32645,32599,1,356 065711,32603,32645,32599,1,356 065713,32603,32645,32603,1,356

065958,32603,32612,32612,1,357 065955,32603,32645,32612,1,357 065952,32603,32645,32612,1,357 065955,32603,32645,32612,1,357

070711,32610,32614,32610,1,358 070708,32610,32615,32610,1,358 070705,32610,32615,32610,1,358 070708,32610,32615,32610,1,358

070716,32607,32611,32610,1,359 070713,32607,32611,32607,1,359 070710,32607,32611,32607,1,359 070713,32607,32611,32610,1,359

071656,32598,32612,32598,1,360 071650,32598,32612,32598,1,360 071653,32598,32612,32598,1,360 071652,32598,32612,32598,1,360

071740,32595,32598,32598,1,361 071734,32595,32598,32598,1,361 071737,32595,32598,32598,1,361 071736,32595,32598,32598,1,361

071740,32595,32600,32598,1,362 071734,32595,32598,32598,1,362 071737,32595,32598,32598,1,362 071736,32595,32598,32598,1,362

071755,32594,32599,32594,1,363 071749,32594,32599,32594,1,363 071752,32594,32599,32594,1,363 071751,32594,32599,32594,1,363

071755,32594,32599,32594,1,364 071749,32594,32599,32594,1,364 071752,32594,32599,32594,1,364 071751,32594,32599,32594,1,364

071755,32593,32599,32594,1,365 071749,32594,32599,32596,1,365 071752,32594,32599,32596,1,365 071751,32594,32599,32594,1,365

071755,32591,32597,32594,1,366 071749,32591,32597,32594,1,366 071752,32591,32597,32594,1,366 071751,32591,32597,32594,1,366

071755,32591,32597,32597,1,367 071749,32591,32597,32597,1,367 071752,32591,32597,32597,1,367 071751,32591,32597,32597,1,367

071755,32591,32600,32597,1,368 071749,32580,32597,32597,1,368 071752,32580,32597,32597,1,368 071751,32580,32597,32597,1,368

071755,32591,32600,32597,1,369 071749,32591,32600,32597,1,369 071752,32591,32600,32597,1,369 071751,32591,32600,32597,1,369

071755,32592,32601,32597,1,370 071749,32592,32612,32597,1,370 071752,32592,32612,32597,1,370 071751,32592,32612,32597,1,370

071755,32592,32602,32597,1,371 071749,32592,32612,32597,1,371 071752,32592,32612,32597,1,371 071751,32592,32612,32597,1,371

071759,32593,32604,32604,1,372 071753,32593,32604,32604,1,372 071756,32593,32604,32604,1,372 071755,32593,32604,32604,1,372

071759,32593,32604,32605,1,373 071753,32593,32604,32605,1,373 071756,32593,32604,32605,1,373 071755,32593,32604,32605,1,373

071759,32593,32604,32608,1,374 071753,32593,32604,32608,1,374 071756,32593,32604,32608,1,374 071755,32593,32604,32608,1,374

071809,32596,32597,32597,1,375 071803,32596,32597,32597,1,375 071806,32596,32597,32597,1,375 071805,32596,32597,32597,1,375

071809,32596,32597,32597,1,376 071803,32596,32597,32597,1,376 071806,32596,32597,32597,1,376 071805,32596,32597,32597,1,376

071809,32590,32604,32597,1,377 071803,32576,32604,32597,1,377 071806,32576,32604,32597,1,377 071805,32576,32604,32597,1,377

071813,32595,32600,32600,1,378 071807,32595,32600,32600,1,378 071810,32595,32600,32600,1,378 071809,32595,32600,32600,1,378

071852,32596,32618,32618,1,379 071846,32596,32618,32618,1,379 071849,32596,32618,32618,1,379 071848,32596,32618,32618,1,379

071852,32596,32618,32618,1,380 071846,32596,32618,32618,1,380 071849,32596,32618,32618,1,380 071848,32596,32618,32618,1,380

071852,32596,32618,32618,1,381 071846,32596,32618,32618,1,381 071849,32596,32618,32618,1,381 071848,32596,32618,32618,1,381

071914,32608,32625,32618,1,382 071908,32608,32626,32618,1,382 071911,32608,32626,32618,1,382 071911,32608,32626,32618,1,382

最後與CME網站作比對,發現官網提供的Log更少,下面藍紫色只是標記同時間CME官網有提供Log之資料點

RMDS(Reuters) DMA(Channel A/B) Exclude Spread(DMA Channel A/B) CME

051206,32601,32612,32620,1,306 051200,32587,32620,32620,1,306 051202,32587,32620,32620,1,306 3/20/2012 00:12:08 32620.0 1

051206,32601,32612,32620,1,307 051200,32587,32620,32620,1,307 051202,32587,32620,32620,1,307

051206,32601,32612,32620,1,308 051200,32587,32620,32600,1,308 051202,32587,32620,32620,1,308

051207,32598,32625,32620,1,309 051201,32587,32620,32610,1,309 051203,32587,32620,32620,1,309

051207,32598,32625,32620,1,310 051201,32587,32620,32610,1,310 051203,32587,32620,32620,1,310

051207,32599,32625,32620,1,311 051201,32587,32620,32610,1,311 051203,32587,32620,32620,1,311

051207,32599,32625,32620,2,313 051201,32587,32620,32610,2,313 051203,32587,32620,32620,2,313

051207,32598,32613,32620,1,314 051201,32587,32628,32610,1,314 051204,32587,32628,32620,1,314

054835,32596,32600,32620,1,315 054829,32579,32600,32600,1,315 054831,32579,32600,32620,1,315

054840,32596,32600,32620,1,316 054834,32579,32600,32600,1,316 054836,32579,32600,32620,1,316

054848,32596,32600,32598,1,317 054842,32579,32600,32598,1,317 054844,32579,32600,32598,1,317 3/20/2012 00:48:50 32598.0 1

054848,32595,32606,32598,1,318 054842,32579,32612,32598,1,318 054844,32579,32612,32598,1,318

055445,32595,32600,32598,1,319 055439,32579,32614,32598,1,319 055441,32579,32614,32598,1,319

055446,32595,32601,32598,1,320 055440,32579,32614,32598,1,320 055442,32579,32614,32598,1,320

055447,32592,32600,32598,1,321 055441,32592,32614,32593,1,321 055443,32592,32614,32598,1,321

055447,32592,32600,32598,2,323 055441,32592,32614,32597,2,323 055443,32592,32614,32598,2,323

055447,32592,32601,32598,1,324 055441,32592,32614,32597,1,324 055443,32592,32614,32598,1,324

055451,32592,32601,32598,1,325 055445,32592,32614,32597,1,325 055447,32592,32614,32598,1,325

060311,32595,32612,32595,1,326 060305,32595,32622,32595,1,326 060307,32595,32622,32595,1,326 3/20/2012 01:03:12 32595.0 1

060311,32595,32612,32595,1,327 060305,32595,32622,32595,1,327 060307,32595,32622,32595,1,327 3/20/2012 01:03:12 32595.0 1

060311,32595,32612,32595,2,329 060305,32595,32622,32595,2,329 060307,32595,32622,32595,2,329 3/20/2012 01:03:12 32595.0 2

060311,32593,32612,32595,1,330 060305,32595,32622,32595,1,330 060307,32595,32622,32595,1,330

060311,32593,32612,32595,1,331 060305,32580,32622,32595,1,331 060307,32580,32622,32595,1,331

060311,32593,32612,32595,1,332 060305,32580,32622,32595,1,332 060307,32580,32622,32595,1,332

061904,32603,32616,32603,1,333 061858,32603,32638,32603,1,333 061900,32603,32638,32603,1,333 3/20/2012 01:19:06 32603.0 1

061904,32603,32616,32603,1,334 061858,32603,32638,32603,1,334 061900,32603,32638,32603,1,334 3/20/2012 01:19:06 32590.0 1

061904,32603,32616,32603,1,335 061858,32603,32638,32595,1,335 061900,32603,32638,32603,1,335 3/20/2012 01:19:06 32603.0 1

061904,32603,32616,32603,1,336 061858,32603,32638,32594,1,336 061900,32603,32638,32603,1,336 3/20/2012 01:19:06 32603.0 1

061904,32603,32616,32590,1,337 061858,32603,32638,32590,1,337 061900,32603,32638,32590,1,337

061904,32603,32616,32590,1,338 061858,32603,32638,32590,1,338 061900,32603,32638,32590,1,338

061904,32590,32617,32590,1,339 061858,32590,32638,32590,1,339 061901,32590,32638,32590,1,339

061904,32590,32617,32590,1,340 061858,32590,32638,32590,1,340 061901,32590,32638,32590,1,340

061904,32595,32603,32603,1,341 061858,32595,32634,32603,1,341 061901,32595,32634,32603,1,341

062632,32603,32617,32603,1,342 062626,32603,32636,32603,1,342 062628,32603,32636,32603,1,342

062632,32603,32617,32603,1,343 062626,32603,32636,32603,1,343 062628,32603,32636,32603,1,343

062649,32603,32617,32603,2,345 062643,32603,32636,32604,2,345 062645,32603,32636,32603,2,345

063242,32611,32617,32603,1,346 063236,32611,32636,32617,1,346 063238,32611,32636,32603,1,346

063321,32611,32625,32603,1,347 063315,32611,32636,32617,1,347 063317,32611,32636,32603,1,347

063356,32611,32625,32603,1,348 063350,32611,32636,32617,1,348 063352,32611,32636,32603,1,348

063550,32611,32627,32603,1,349 063544,32611,32636,32615,1,349 063546,32611,32636,32603,1,349

063938,32611,32628,32603,1,350 063932,32611,32636,32610,1,350 063934,32611,32636,32603,1,350

063954,32611,32627,32603,1,351 063948,32611,32636,32609,1,351 063950,32611,32636,32603,1,351

063954,32611,32627,32603,1,352 063948,32611,32636,32609,1,352 063950,32611,32636,32603,1,352

064652,32603,32615,32603,1,353 064646,32603,32632,32603,1,353 064648,32603,32632,32603,1,353 3/20/2012 01:46:54 32603.0 1

064957,32603,32614,32603,1,354 064951,32603,32632,32603,1,354 064954,32603,32632,32603,1,354

065703,32603,32613,32603,1,355 065657,32603,32645,32600,1,355 065659,32603,32645,32603,1,355

065717,32603,32612,32603,1,356 065711,32603,32645,32599,1,356 065713,32603,32645,32603,1,356

065958,32603,32612,32612,1,357 065952,32603,32645,32612,1,357 065955,32603,32645,32612,1,357 3/20/2012 02:00:00 32612.0 1

070711,32610,32614,32610,1,358 070705,32610,32615,32610,1,358 070708,32610,32615,32610,1,358 3/20/2012 02:07:13 32610.0 1

070716,32607,32611,32610,1,359 070710,32607,32611,32607,1,359 070713,32607,32611,32610,1,359

071656,32598,32612,32598,1,360 071653,32598,32612,32598,1,360 071652,32598,32612,32598,1,360 3/20/2012 02:16:58 32598.0 1

071740,32595,32598,32598,1,361 071737,32595,32598,32598,1,361 071736,32595,32598,32598,1,361 3/20/2012 02:17:42 32598.0 1

071740,32595,32600,32598,1,362 071737,32595,32598,32598,1,362 071736,32595,32598,32598,1,362

071755,32594,32599,32594,1,363 071752,32594,32599,32594,1,363 071751,32594,32599,32594,1,363 3/20/2012 02:17:57 32597.0 1

071755,32594,32599,32594,1,364 071752,32594,32599,32594,1,364 071751,32594,32599,32594,1,364 3/20/2012 02:17:57 32594.0 1

071755,32593,32599,32594,1,365 071752,32594,32599,32596,1,365 071751,32594,32599,32594,1,365

071755,32591,32597,32594,1,366 071752,32591,32597,32594,1,366 071751,32591,32597,32594,1,366

071755,32591,32597,32597,1,367 071752,32591,32597,32597,1,367 071751,32591,32597,32597,1,367

071755,32591,32600,32597,1,368 071752,32580,32597,32597,1,368 071751,32580,32597,32597,1,368

071755,32591,32600,32597,1,369 071752,32591,32600,32597,1,369 071751,32591,32600,32597,1,369

071755,32592,32601,32597,1,370 071752,32592,32612,32597,1,370 071751,32592,32612,32597,1,370

071755,32592,32602,32597,1,371 071752,32592,32612,32597,1,371 071751,32592,32612,32597,1,371

071759,32593,32604,32604,1,372 071756,32593,32604,32604,1,372 071755,32593,32604,32604,1,372 3/20/2012 02:18:01 32604.0 1

071759,32593,32604,32605,1,373 071756,32593,32604,32605,1,373 071755,32593,32604,32605,1,373 3/20/2012 02:18:01 32605.0 1

071759,32593,32604,32608,1,374 071756,32593,32604,32608,1,374 071755,32593,32604,32608,1,374 3/20/2012 02:18:01 32608.0 1

071809,32596,32597,32597,1,375 071806,32596,32597,32597,1,375 071805,32596,32597,32597,1,375 3/20/2012 02:18:11 32597.0 1

071809,32596,32597,32597,1,376 071806,32596,32597,32597,1,376 071805,32596,32597,32597,1,376

071809,32590,32604,32597,1,377 071806,32576,32604,32597,1,377 071805,32576,32604,32597,1,377

071813,32595,32600,32600,1,378 071810,32595,32600,32600,1,378 071809,32595,32600,32600,1,378 3/20/2012 02:18:15 32600.0 1

071852,32596,32618,32618,1,379 071849,32596,32618,32618,1,379 071848,32596,32618,32618,1,379 3/20/2012 02:18:54 32618.0 1

071852,32596,32618,32618,1,380 071849,32596,32618,32618,1,380 071848,32596,32618,32618,1,380 3/20/2012 02:18:54 32618.0 1

071852,32596,32618,32618,1,381 071849,32596,32618,32618,1,381 071848,32596,32618,32618,1,381 3/20/2012 02:18:54 32618.0 1

071914,32608,32625,32618,1,382 071911,32608,32626,32618,1,382 071911,32608,32626,32618,1,382

附件 HO1205-20120320.rar 為分析的來源完整資料備份