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CME DataMine Data - trade in between Bid/Ask
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CME DataMine Data - trade in between Bid/Ask

  #1 (permalink)
Elite Member
Prague, Czech republic
 
Futures Experience: Beginner
Platform: NinjaTrader/ZF
Favorite Futures: ES, TF
 
Posts: 79 since Jul 2010
Thanks: 41 given, 34 received

CME DataMine Data - trade in between Bid/Ask

Hello,

I have a history of best-bid-offer data from CME for the 6E contract (for a research project). I pick a date, investigate the first lines of data and the result is that Bid is set, Ask is set and then a trade happens in between these prices.

Is it a misbelief of mine that such a situation should never happen? The data should be absolutely accurate including the sequencing of incoming orders (who else than the exchange should have the data right, right?) so I have no clue what the cause is. CME DataMine support is staying calm and quite even after a couple of urgencies.

Thanks in advance.

Best regards,
Daniel

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  #3 (permalink)
Elite Member
Prague, Czech republic
 
Futures Experience: Beginner
Platform: NinjaTrader/ZF
Favorite Futures: ES, TF
 
Posts: 79 since Jul 2010
Thanks: 41 given, 34 received


After a painful search I found the answer ... trades implied by inter contract spreads.

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