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

  #31 (permalink)
Market Wizard
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OK - got it.

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

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  #32 (permalink)
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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.
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  #33 (permalink)
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Looking forward to the next installment!

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  #34 (permalink)
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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.
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