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Some questions about tape-reading CME data
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Some questions about tape-reading CME data

  #1 (permalink)
Trading Apprentice
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Some questions about tape-reading CME data

These questions are general regarding bid / ask quotes and time and sales, but let me know if there are specific conditions / exceptions for a given exchange:

Here's my understanding, please correct me if I am wrong:

1. All trades taking place through the exchange appear in time and sales.

2. If an ask and a bid (limit order) of the exact same volume and price hit the exchange at the exact same time (assuming that there were no ask/bid already at that level), the ask and the bid are first printed on the bid/ask (add volume of trade to both levels), the trade is printed, then the ask/bid are updated (subtract volume of trade from both) all sharing the same timestamp.

3. If two market orders hit the market at the exact same time, both of same quantity, one is a buy, one is a sell, then the trades is executed and there will be no change to the bid / ask offers.

4. If the number of bids / asks decrease for a given level, but there were no trades at that level sharing the same exact time stamp, then the orders were definitely pulled. (No other way that the bid or ask order could change.)

I'll probably add onto this with more questions, but that's all for now. Just trying to make sense of the tape.

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  #2 (permalink)
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  #3 (permalink)
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Several folks on this site really try to under this stuff. Two that come to Mind are RJay & Zondor. I'll let then know about your post.

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  #4 (permalink)
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ptd26 View Post
These questions are general regarding bid / ask quotes and time and sales, but let me know if there are specific conditions / exceptions for a given exchange:

Here's my understanding, please correct me if I am wrong:

1. All trades taking place through the exchange appear in time and sales.

2. If an ask and a bid (limit order) of the exact same volume and price hit the exchange at the exact same time (assuming that there were no ask/bid already at that level), the ask and the bid are first printed on the bid/ask (add volume of trade to both levels), the trade is printed, then the ask/bid are updated (subtract volume of trade from both) all sharing the same timestamp.

What trade ? You have two limit orders. And yes, they are printed.


Quoting 
3. If two market orders hit the market at the exact same time, both of same quantity, one is a buy, one is a sell, then the trades is executed and there will be no change to the bid / ask offers.

Market orders occur at the bid/offer. The bid/ask size would change.


Quoting 

4. If the number of bids / asks decrease for a given level, but there were no trades at that level sharing the same exact time stamp, then the orders were definitely pulled. (No other way that the bid or ask order could change.)

Yes, orders were canceled. But orders may have also been added.

Quoting 

I'll probably add onto this with more questions, but that's all for now. Just trying to make sense of the tape.

Keep working at it. I think you will have a lot of questions.

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  #5 (permalink)
Trading Apprentice
Portland, Oregon
 
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Quoting ptd26:
Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

These questions are general regarding bid / ask quotes and time and sales, but let me know if there are specific conditions / exceptions for a given exchange:

Here's my understanding, please correct me if I am wrong:

1. All trades taking place through the exchange appear in time and sales.

2. If an ask and a bid (limit order) of the exact same volume and price hit the exchange at the exact same time (assuming that there were no ask/bid already at that level), the ask and the bid are first printed on the bid/ask (add volume of trade to both levels), the trade is printed, then the ask/bid are updated (subtract volume of trade from both) all sharing the same timestamp.


What trade ? You have two limit orders. And yes, they are printed.

Question is (worded better) if two limit orders hit the market at exactly the time and of the same order quantity, one is a buy one is a sell, and their prices overlap, there will be a trade. Assuming that there were no existing orders on the market which could be matched with either limit order, then there will be a trade such that both limit orders are matched and executed into a trade. Question is that if both of these orders hit the market at the same time, would they show up as orders on the tape followed by a trade, all sharing the same timestamp, or would they simply appear as a single trade? Seems like they would have to be printed as limit orders first, then trade, all having the same timestamp.

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  #6 (permalink)
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Here are a couple of my favorite links on tape reading:

Gilbert “Gman” Mendez | Wall St. Cheat Sheet Gman has several videos of him trading from the tape in his archive. (stocks)

SoulTRader at traderslaboratory has some good videos on tape reading:
TL! Videos

and several more here: Tape Reading, Watching for Price Rejection

I have the NO BS daytrading video and ebook as well. Can't post those but if you IM me your email address I'll send them to you.

All the expert tape readers I have heard recommend you just watch the tape for a long time.. months if not years .. in order to recognize what's happening.

One of the setups I look for using tape reading is when a bunch of market orders hit a level, and the level does not break like you'd expect, but instead the level absorbs all the market orders and price bounces off the level to go in the other direction.

I'm working on an indicator that attempts to show this behavior. I'll upload it to elite section when its ready.



ptd26 View Post
These questions are general regarding bid / ask quotes and time and sales, but let me know if there are specific conditions / exceptions for a given exchange:

Here's my understanding, please correct me if I am wrong:

1. All trades taking place through the exchange appear in time and sales.

2. If an ask and a bid (limit order) of the exact same volume and price hit the exchange at the exact same time (assuming that there were no ask/bid already at that level), the ask and the bid are first printed on the bid/ask (add volume of trade to both levels), the trade is printed, then the ask/bid are updated (subtract volume of trade from both) all sharing the same timestamp.

3. If two market orders hit the market at the exact same time, both of same quantity, one is a buy, one is a sell, then the trades is executed and there will be no change to the bid / ask offers.

4. If the number of bids / asks decrease for a given level, but there were no trades at that level sharing the same exact time stamp, then the orders were definitely pulled. (No other way that the bid or ask order could change.)

I'll probably add onto this with more questions, but that's all for now. Just trying to make sense of the tape.


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  #7 (permalink)
Trading Apprentice
Portland, Oregon
 
Futures Experience: Beginner
Platform: Ninjatrader
 
Posts: 27 since Jan 2010
Thanks: 3 given, 2 received


GoldStandard View Post
Here are a couple of my favorite links on tape reading:

Gilbert “Gman” Mendez | Wall St. Cheat Sheet Gman has several videos of him trading from the tape in his archive. (stocks)

SoulTRader at traderslaboratory has some good videos on tape reading:
TL! Videos

and several more here: Tape Reading, Watching for Price Rejection

I have the NO BS daytrading video and ebook as well. Can't post those but if you IM me your email address I'll send them to you.

All the expert tape readers I have heard recommend you just watch the tape for a long time.. months if not years .. in order to recognize what's happening.

One of the setups I look for using tape reading is when a bunch of market orders hit a level, and the level does not break like you'd expect, but instead the level absorbs all the market orders and price bounces off the level to go in the other direction.

I'm working on an indicator that attempts to show this behavior. I'll upload it to elite section when its ready.

Thanks Goldstandard.


Quoting 
One of the setups I look for using tape reading is when a bunch of market orders hit a level, and the level does not break like you'd expect, but instead the level absorbs all the market orders and price bounces off the level to go in the other direction.

That's a big part of what I am trying to do. I am trying to understand what happens at major price turning points. What's the market structure and activity look like? What are the factors that cause all others to jump on and ride the wave?

I have seen the SoulTrader videos at TL (I think there were only two, done back in 2006). I will check out the other links as well. Thanks again!

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  #8 (permalink)
 Vendor: www.traderwerks.com 
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ptd26 View Post
Quoting ptd26:
Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

These questions are general regarding bid / ask quotes and time and sales, but let me know if there are specific conditions / exceptions for a given exchange:

Here's my understanding, please correct me if I am wrong:

1. All trades taking place through the exchange appear in time and sales.

2. If an ask and a bid (limit order) of the exact same volume and price hit the exchange at the exact same time (assuming that there were no ask/bid already at that level), the ask and the bid are first printed on the bid/ask (add volume of trade to both levels), the trade is printed, then the ask/bid are updated (subtract volume of trade from both) all sharing the same timestamp.


What trade ? You have two limit orders. And yes, they are printed.

Question is (worded better) if two limit orders hit the market at exactly the time and of the same order quantity, one is a buy one is a sell, and their prices overlap, there will be a trade. Assuming that there were no existing orders on the market which could be matched with either limit order, then there will be a trade such that both limit orders are matched and executed into a trade. Question is that if both of these orders hit the market at the same time, would they show up as orders on the tape followed by a trade, all sharing the same timestamp, or would they simply appear as a single trade? Seems like they would have to be printed as limit orders first, then trade, all having the same timestamp.

The GLOBEX matching engine is USUALLY first in-first out (fifo). The first order would hit the limit book. Since the prices overlap, the second order would execute taking the liquidity. One print on the time and sales.

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  #9 (permalink)
Trading Apprentice
Portland, Oregon
 
Futures Experience: Beginner
Platform: Ninjatrader
 
Posts: 27 since Jan 2010
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traderwerks View Post
The GLOBEX matching engine is USUALLY first in-first out (fifo). The first order would hit the limit book. Since the prices overlap, the second order would execute taking the liquidity. One print on the time and sales.

Is there a place which lists the basic rules for what is printed to the tape? I am looking over the tape on ES and I see some things that I don't understand. Is there some documentation I can read over describing what gets printed? I am not looking for setup or trading strategies, I just need to understand what information I have first.

Update - here's an example of something I am trying to sort out:

It seems that not all updates to bid / ask are present in the data that I have collected. Here's an example taken from YM:

Time(ms),Time(ns),Type,Volume,Price
1265102922624,821000,TRADE,1,10134.0
1265102922624,821000,VOLUME,6744,0.0
1265102922624,821000,BID,0,10134.0
1265102922630,620000,TRADE,1,10134.0

Before the first trade, there was 1 Bid at 10134 (not shown above). After the first trade, it makes sense that the Bid at 10134 is updated to 0 (that bid offer was taken by the previous trade). But then how did the trade on the last line execute?

I think this is pretty basic information, I just can't find anywhere that describes how the exchange or Zen-Fire, my data provider, logs market events. I feel that I am either not understanding something related to market orders vs. limit orders or I am missing data, either filtered by Zen-Fire or never printed by the exchange. *I know the header above mentions CME data while YM is actually on a different exchange. I see the same issues with ES.


Last edited by ptd26; February 12th, 2010 at 05:06 AM.
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  #10 (permalink)
 Vendor: www.traderwerks.com 
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ptd26 View Post
Is there a place which lists the basic rules for what is printed to the tape? I am looking over the tape on ES and I see some things that I don't understand. Is there some documentation I can read over describing what gets printed? I am not looking for setup or trading strategies, I just need to understand what information I have first.

Update - here's an example of something I am trying to sort out:

It seems that not all updates to bid / ask are present in the data that I have collected. Here's an example taken from YM:

Time(ms),Time(ns),Type,Volume,Price
1265102922624,821000,TRADE,1,10134.0
1265102922624,821000,VOLUME,6744,0.0
1265102922624,821000,BID,0,10134.0
1265102922630,620000,TRADE,1,10134.0

Before the first trade, there was 1 Bid at 10134 (not shown above). After the first trade, it makes sense that the Bid at 10134 is updated to 0 (that bid offer was taken by the previous trade). But then how did the trade on the last line execute?

I think this is pretty basic information, I just can't find anywhere that describes how the exchange or Zen-Fire, my data provider, logs market events. I feel that I am either not understanding something related to market orders vs. limit orders or I am missing data, either filtered by Zen-Fire or never printed by the exchange. *I know the header above mentions CME data while YM is actually on a different exchange. I see the same issues with ES.

I would spend some time on the cme group site. Lots of good information, just a little hard to find. And the YM does trade on GLOBEX now, by the way, so the header is correct.

Good luck!

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