Tape/Time and Sales: why actual trades do not decrease bid/ask sizes? - Traders Hideout | futures io social day trading
futures io futures trading


Tape/Time and Sales: why actual trades do not decrease bid/ask sizes?
Updated: Views / Replies:12,459 / 33
Created: by Nicolas11 Attachments:1

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 100,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors Ė all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you donít need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 1  
 
Thread Tools Search this Thread
 

Tape/Time and Sales: why actual trades do not decrease bid/ask sizes?

  #31 (permalink)
 Vendor: www.jigsawtrading.com 
Bangkok
 
Trading Experience: Intermediate
Platform: MultiCharts.NET, S5, Ninj
Broker/Data: AMP, S5, IB
Favorite Futures: ES
 
DionysusToast's Avatar
 
Posts: 2,906 since Nov 2010
Thanks: 805 given, 10,049 received

OK - got it.

Different from what I am used to but no reason it shouldn't work....

Reply With Quote
 
  #32 (permalink)
Elite Member
near Paris, France
 
Trading Experience: Beginner
Platform: -
Favorite Futures: -
 
Nicolas11's Avatar
 
Posts: 1,071 since Aug 2011
Thanks: 2,232 given, 1,731 received

An update...

I have received an answer from DTN IQFeed about EUREX feed. As always with them, quick and very precise.

DTN IQFeed send to their clients exactly the data they receive from EUREX, with no filtering or altering.

DTN IQFeed have checked in the feed, and they have observed the same behaviour as the one I underlined above (with the colors).

For instance (this is my example, not theirs):
[108761] Update without trade: Ask = 458 @ 2484.00 - Bid = 270 @ 2483.00 | 2012-08-21 02:42:29
[108762] New trade at the BID: 10 @ 2483.00 - Ask = 458 @ 2484.00 - Bid = 270 @ 2483.00 | 2012-08-21 02:42:29
[108764] Update without trade: Ask = 487 @ 2484.00 - Bid = 216 @ 2483.00 | 2012-08-21 02:42:29
--> 270 - 10 is not equal to 216.

DTN IQFeed have even sent me a snapshot of the EUREX T&S data they see with a similar example, to confirm that they observe the same phenomenon.

So, at this stage, my preliminary conclusion is that this "issue" is not due to my coding or to DTN IQFeed, but to the way EUREX send their Level 1 T&S messages.

I have just written to EUREX. We'll see...

Nicolas


Last edited by Nicolas11; August 21st, 2012 at 01:41 PM.
Reply With Quote
The following 2 users say Thank You to Nicolas11 for this post:
 
  #33 (permalink)
 Vendor: www.jigsawtrading.com 
Bangkok
 
Trading Experience: Intermediate
Platform: MultiCharts.NET, S5, Ninj
Broker/Data: AMP, S5, IB
Favorite Futures: ES
 
DionysusToast's Avatar
 
Posts: 2,906 since Nov 2010
Thanks: 805 given, 10,049 received


Looking forward to the next installment!

Reply With Quote
 
  #34 (permalink)
Elite Member
near Paris, France
 
Trading Experience: Beginner
Platform: -
Favorite Futures: -
 
Nicolas11's Avatar
 
Posts: 1,071 since Aug 2011
Thanks: 2,232 given, 1,731 received

I have received an answer from EUREX.

Reminder... I expected that:
Bid size shown in next "quote update" message after a trade at the bid = bid size before the trade minus size of the trade
It is the case for CME.
It is not the case for EUREX.

Below please find their explanation.
In short, and as far as I understand, the "quote update" messages are not a continuous feed reflecting all updates of inside bid / inside ask. It is more a "snapshot" sent regularly.
So, between the trade and the next "quote update" message, inside bid/inside ask might have already undergone several actual updates.

Nicolas


Quoting 
the CEF core feed is netted in reference to the order book data. Therefore in case of a trade execution the trade is submitted immediately while the order book is submitted only at the end of the netting period. this could explain, why the order book doesn't reflect exactly the reduction of the executed trades. For the or the liquid products like FDAX, FESX and FGBL the order book could have changed during this netting period.
Additionally Eurex uses algorithms to add single legs from calendar spreads or other strategies to the order book of these futures. These single legs created by the system could update the best bid and ask volumes without any incoming order and will be created automatically.



Last edited by Nicolas11; September 5th, 2012 at 10:56 AM.
Reply With Quote
The following 3 users say Thank You to Nicolas11 for this post:

Reply



futures io > > > Tape/Time and Sales: why actual trades do not decrease bid/ask sizes?

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)
 

Journal Challenge $1600 in Prizes & Free Journalytix for all participants!

February
 

Trading Resolutions for 2019 - Avoiding Mistakes w/GFF Brokers

Feb 19
 

3 Excellent Entries, and How To Automate Them w/Kevin Davey

Feb 21
 

The Driving Force Behind the Market w/Earn2Trade

Mar 5
 

TBA w/Stage5 & iSystems

Mar 12
 

TBA w/John Grady @ No BS Day Trading

Mar 19
 

Day Trading Oil Futures: Reducing Risk & Increasing Profits w/DTN IQFeed

Mar 26
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
Tape is my shape (tape reading, time and sales) bloom Traders Hideout 1316 September 14th, 2018 10:57 AM
Tape Trading = Time and Sales bomberone1 The Elite Circle 7 June 19th, 2012 07:16 AM
Inflation Cools as Prices Level Off With Energy Decrease Quick Summary News and Current Events 0 December 16th, 2011 10:00 AM
Trades filled outside of Bid Ask spread? cw30000 Traders Hideout 2 December 11th, 2011 09:22 AM
The Worst Trades Of All Time kbit News and Current Events 0 June 26th, 2011 07:38 PM


Tags
6e, acsil, bid and ask, bid ask, bid/ask, bund, cme, code, coding, data, data feed, dax, dom, dow, dtn, dtn_iqfeed, es, eurex, fdax, fesx, fgbl, futures, indicators, information, iq feed, iqfeed, limit order, multicharts, ninja, ninja trader, ninjascript, ninjatrader, nt7, onmarketdata, onmarketdepth, order book, orders, short, short-term, sierra chart, sierrachart, spread, spreads, strategies, support, think or swim, tick, tick data, time and sales, tos, trading, type, update, values, volume, zenfire

All times are GMT -4. The time now is 02:47 AM. (this page content is cached, log in for real-time version)

Copyright © 2019 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432 WhatsApp Business, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2019-02-19 in 0.17 seconds with 15 queries on phoenix