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Huge Volume Spikes on the DAX, WTF ??
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Huge Volume Spikes on the DAX, WTF ??

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Huge Volume Spikes on the DAX, WTF ??

I observe regularly some huge volume spikes on the DAX (7K contracts on 1 tick in this chart)
Question is : how come the market doesn't move ? Where does all this huge volume come from ?
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Last edited by Big Mike; January 6th, 2011 at 12:43 PM. Reason: moved to index futures
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  #3 (permalink)
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Another interesting point on the DAX : on rollover periods you see rollover volume from one contract to the other.
Of course if you are using only one contract to calculate the delta, you are getting a false idea of what is happening because you're not aware of the opposite volume happening on the other contract.

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gomi View Post
I observe regularly some huge volume spikes on the DAX (7K contracts on 1 tick in this chart)
Question is : how come the market doesn't move ? Where does all this huge volume come from ?
Attachment 27896

I'm not sure about the DAX but some exchanges allow 'adjustments' to be made.
All trades must be logged and accounted for during a trading day and must actually trade.
So those could be the brokers/clearing house balancing trades.
Since they are representing both buys and sells from the same basket, the price is not likely to move because the orders never show in the market. They just hit the bid/ask with the same bulk order on both sides. Most traders never even notice the trades.

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Not seeing that same volume spike on zen-fire feed. Not that zen-fire is necessarily reliable. Maybe the spike is another esignal data anomaly?

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Huge Volume Spikes on the DAX, WTF ??-fdax-03-11-150-tick-1_6_2011.jpg  
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Thanks for the feedback.
Guess it's an esignal thing. I ran Qcollector and the 7002 volume trade is there as well....

 
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06/01/2011 09:39:24;;;6977;6978
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06/01/2011 09:39:25;6978;7002;;
06/01/2011 09:39:25;;;6977;6978
06/01/2011 09:39:25;6978;1;;

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There is an extra book on Eurex for Block Trading for larger traders (OTC Block Trade EntryWindow). For the DAX the traded contracts must be greater than 250. These trades dont affect the order book as the counterparty is always there.

http://www.eurexchange.com/resources/flash/otc/index.htm

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All banks trade mostly with OTC.

The reason there is no mention on the order book is not because they already have a buyer, but it's because they are dealed off-the public market.

There are proposals to put these orders on the public market. Since they might move the market but it's not known to the other investors, such as retail trades as we are.

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