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'Indeterminate' and 'OTC' trades on time and sales?


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'Indeterminate' and 'OTC' trades on time and sales?

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  #1 (permalink)
London UK
 
Experience: Intermediate
Platform: SierraChart/TT/Numbersbar
Broker: LCT/Iq Feed
Trading: SandP futures
 
Posts: 398 since Jul 2013
Thanks: 47 given, 206 received

Hi there,
Setting up time and sales on TT next to the DOM and have set up colours to show OTC and Indeterminate trades.
My question is that sometimes the reading s for these two come up as pretty big. Does anyone know what use, if any, this information is? The problem being that you don't know which side it is happening on (bid/ask). Is the Indeterminate and OTC way of trading (especially OTC) actually a clever way of hiding intentions, or should I not worry about it too much?

Also, do these OTC/Indeterminate trades show up on the simple volume histogram and volume profile?
Any advice would be greatly appreciated.
Regards,
Bootsy

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  #2 (permalink)
Chicago, IL
 
Experience: Master
Platform: X_TRADER, TT
Trading: ES, NQ, ZN, CL, 6E
 
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OTC trades are matched away from the matching engine and negotiated. Consider a broker with a large buy order from a customer and the contract is a thing traded option. He won't want to place that at the exchange as it would spook the market. What he can do is call his other hedge fund / commercial / institutional customers and ask them to take the the side. If they agree, he pairs them off and reports the OTC transaction to the exchange. The "pairing" may have been a few minutes ago the price is now out of the current range. For this reason they'll show in T&S but are filtered out of live price streams. You shouldn't worry about them.


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  #3 (permalink)
London UK
 
Experience: Intermediate
Platform: SierraChart/TT/Numbersbar
Broker: LCT/Iq Feed
Trading: SandP futures
 
Posts: 398 since Jul 2013
Thanks: 47 given, 206 received



TradingTech View Post
OTC trades are matched away from the matching engine and negotiated. Consider a broker with a large buy order from a customer and the contract is a thing traded option. He won't want to place that at the exchange as it would spook the market. What he can do is call his other hedge fund / commercial / institutional customers and ask them to take the the side. If they agree, he pairs them off and reports the OTC transaction to the exchange. The "pairing" may have been a few minutes ago the price is now out of the current range. For this reason they'll show in T&S but are filtered out of live price streams. You shouldn't worry about them.


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Hi there,
Ok I can understand all that, I'm now starting to wonder if there is any point in having a live futures feed for the bund. Here is an example of the move higher today-big spurt in volume at 15.15pm (UK time).

I then look at the time and sales, and see huge levels of volume (the two 5k prints) posted at 15.29 and 15.30pm.

From what you have said:
1) Are you saying that in this specific instance, this 10k volume did not go through at this time and price, and if so....
2) Your time and sales are just reporting it as and when you've been informed of it by the OTC participants?
3) These 10k trades will not be reflected anywhere within either the volume profile or the more traditional volume bars at the bottom of the chart?
4) Is there any way of knowing when, and at what price, these 10k trades went into the market?
5) If I read what you're saying correctly (maybe not on my part!), are you saying that I shouldn't worry about this volume at all? At the moment I can't see how this could be the case as it's such large amounts.

Thanks very much for your time on this. Am concerned as I use futures to see order flow with centralised exchanges reporting volume/supply and demand.
I'm now seeing an example where huge market moving orders are not being reported by the exchanges and this is kind of making me wonder about futures exchanges in general!

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  #4 (permalink)
Chicago, IL
 
Experience: Master
Platform: X_TRADER, TT
Trading: ES, NQ, ZN, CL, 6E
 
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Posts: 167 since Feb 2016
Thanks: 72 given, 122 received

Hello @bootsyjam. We have a column in the X_TRADER Time & Sales window labeled "Type". This column reflects the type of OTC trade that is associated with OTC volume. OTC volume, as it is not real time, is not displayed anywhere else in X_TRADER during the session in which it occurs.

https://www.tradingtechnologies.com/xtrader-help/x-trader/time-and-sales/time-and-sales-column-descriptions/

Type

Order type (i.e., Vol, Block,
Basis). A unique identifier for OTC trade types is displayed to help
differentiate between the different OTC order types.

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  #5 (permalink)
London UK
 
Experience: Intermediate
Platform: SierraChart/TT/Numbersbar
Broker: LCT/Iq Feed
Trading: SandP futures
 
Posts: 398 since Jul 2013
Thanks: 47 given, 206 received

Hi there,
Thanks for the quick response.
My TandS is attached to my price ladder. I do not have these various column options on this form of TandS.

If I go to the market window of FGBL, select Floating-Time and Sales then nothing comes up so I can only view the TandS when attached to the ladder.

I am still at a loss to understand why 10k of volume that is not communicated to traders at a crucial time is somehow not relevant?

Using the specific example I gave, did that 10 k of volume not go into the markets at the time and price specified on the TandS?

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September 26, 2016


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