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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?

  #1 (permalink)
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Tape/Time and Sales: why actual trades do not decrease bid/ask sizes?

Hi,

I have a question related to the Time & Sales (the "tape").

The tricky point is that this question may be related to:
- understanding of the tape,
- EUREX data
- IQFeed fata
- Sierra Chart platform
... I don't know...

The context is:
- Instrument: DAX at EUREX
- Data Feed: DTN IQFeed Level I
- Platform: Sierra Chart.

With DTN IQFeed Level I for EUREX, I have access to 1-tick data.
But also to the whole Time & Sales (the "tape") including the updates of best bid / best ask between actual trades.

I expected that, when 1 contract is traded on the bid, the bid size decreases by 1. But it is not the case in the below sequence (and it always happen this way):

Quoting 
Update without trade: Price = 7070.0 - AskSize = 12 - BidSize = 3 | 2012-08-20 12:54:00
New trade at the BID: 1 @ 7070.0 - AskSize = 12 - BidSize = 3 | 2012-08-20 12:54:00
Update without trade: Price = 7070.0 - AskSize = 1 - BidSize = 3 | 2012-08-20 12:54:00

There was 1 contract traded on the bid, but the BidSize remained 3 without decreasing to 2.

Do you see any reason for that?
EUREX does not emit all changes, but just snapshots?
IQFeed does not emit all changes, but just snapshots?
I have not understood something about the tape?
Etc.

Thanks in advance for your help

Nicolas

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  #3 (permalink)
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Usually, it's because someone added in a new order.

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  #4 (permalink)
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Thanks @DionysusToast

So, in the data coming from the exchange, there is/could be an aggregation between the liquidity taken out by a trade and liquidity added at the same time (?) by new limit order coming at the same price?

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Well - that depends, are you looking at the individual L1/L2 messages or just watching the action?

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Individual L1 messages.
(DTN IQ Feed Level1 feed for EUREX provides updates of best bid/best ask between actual trades, as shown in the 3 quoted lines above).

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In that case, I'm not sure.

Eurex is a bit different in how it reports L1 than CME/CBOT/ICE.

What I have found in the past is that if you reach out to them via the contact form on their web site, they will take time to answer your questions.

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Thanks for this suggestion.

I am first going to ask DTN IQFeed. If necessary, I will directly ask EUREX.

Nicolas

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Great - let us know the reply, I'd be interested. It is a little odd if it's the norm.

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I have made a similar test with YM @ CME, for which I have both Level I and Level II through DTN IQFeed.
Seems "normal", as illustrated here-below.

The numbers between [] are the ID numbers of the messages in the feed (to be sure that I have not missed any).
EDIT: Actually, there are some holes in the ID sequences below. And it is normal according to Sierra Chart (reference).

There are two cases.

1st case: the trade(s) do(es) NOT take all the liquidity at the level. Then next bid/ask update reflects the decreasing liquidity.

Example: 1 trade at the ask

[128935] Update without trade: Ask = 18 @ 13215 - Bid = 8 @ 13214 | 2012-08-20 16:36:38
[128936] New trade at the ASK: 1 @ 13215 - Ask = 18 @ 13215 - Bid = 8 @ 13214 | 2012-08-20 16:36:38
[128937] Update without trade: Ask = 17 @ 13215 - Bid = 8 @ 13214 | 2012-08-20 16:36:38

Example: 2 trades at the bid

[127848] Update without trade: Ask = 22 @ 13212 - Bid = 11 @ 13211 | 2012-08-20 16:36:01
[127849] New trade at the BID: 2 @ 13211 - Ask = 22 @ 13212 - Bid = 11 @ 13211 | 2012-08-20 16:36:02
[127850] New trade at the BID: 1 @ 13211 - Ask = 22 @ 13212 - Bid = 11 @ 13211 | 2012-08-20 16:36:02
[127851] Update without trade: Ask = 22 @ 13212 - Bid = 8 @ 13211 | 2012-08-20 16:36:02

2nd case: the trade(s) take(s) ALL the liquidity at the level. Then next bid/ask update reflects the up/down tick

Example: 1 trade at the bid

[127061] Update without trade: Ask = 23 @ 13212 - Bid = 1 @ 13211 | 2012-08-20 16:35:58
[127062] New trade at the BID: 1 @ 13211 - Ask = 23 @ 13212 - Bid = 1 @ 13211 | 2012-08-20 16:35:58
[127063] Update without trade: Ask = 23 @ 13212 - Bid = 32 @ 13210 | 2012-08-20 16:35:58
[127064] Update without trade: Ask = 23 @ 13212 - Bid = 30 @ 13210 | 2012-08-20 16:35:58
[127065] Update without trade: Ask = 23 @ 13212 - Bid = 29 @ 13210 | 2012-08-20 16:35:58
[127066] Update without trade: Ask = 24 @ 13212 - Bid = 29 @ 13210 | 2012-08-20 16:35:58
[127067] Update without trade: Ask = 25 @ 13212 - Bid = 29 @ 13210 | 2012-08-20 16:35:58
[127069] Update without trade: Ask = 27 @ 13212 - Bid = 29 @ 13210 | 2012-08-20 16:35:58

[127070] Update without trade: Ask = 2 @ 13211 - Bid = 29 @ 13210 | 2012-08-20 16:35:58

The green part illustrates a very short-term "liquidity vaccum": we have to wait 5 messages until the bid/ask spread reduce to 1 tick.

Example: 2 trades at the ask

[127673] Update without trade: Ask = 3 @ 13210 - Bid = 37 @ 13209 | 2012-08-20 16:36:00
[127675] New trade at the ASK: 1 @ 13210 - Ask = 3 @ 13210 - Bid = 37 @ 13209 | 2012-08-20 16:36:00
[127676] New trade at the ASK: 2 @ 13210 - Ask = 3 @ 13210 - Bid = 37 @ 13209 | 2012-08-20 16:36:00
[127677] Update without trade: Ask = 28 @ 13211 - Bid = 37 @ 13209 | 2012-08-20 16:36:00
[127678] Update without trade: Ask = 26 @ 13211 - Bid = 37 @ 13209 | 2012-08-20 16:36:00
[127679] Update without trade: Ask = 26 @ 13211 - Bid = 39 @ 13209 | 2012-08-20 16:36:00
[127680] Update without trade: Ask = 24 @ 13211 - Bid = 39 @ 13209 | 2012-08-20 16:36:00
[127681] Update without trade: Ask = 21 @ 13211 - Bid = 39 @ 13209 | 2012-08-20 16:36:00
[127682] Update without trade: Ask = 20 @ 13211 - Bid = 39 @ 13209 | 2012-08-20 16:36:00
[127683] Update without trade: Ask = 19 @ 13211 - Bid = 39 @ 13209 | 2012-08-20 16:36:00
[127684] Update without trade: Ask = 18 @ 13211 - Bid = 39 @ 13209 | 2012-08-20 16:36:00

[127685] Update without trade: Ask = 18 @ 13211 - Bid = 2 @ 13210 | 2012-08-20 16:36:00

(Time is GMT+2)

Nicolas


Last edited by Nicolas11; August 20th, 2012 at 03:33 PM. Reason: addition (visible)
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