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How is futures volume reported (split/combined/?)
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How is futures volume reported (split/combined/?)

  #1 (permalink)
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How is futures volume reported (split/combined/?)

Hi,

I'm looking for some info on how futures trade volume is reported. I remember this changing several times over the years and I don't remember what the current method is.

For example: if the order book contains 3 orders in the queue on the inside ask:

5,4,2,...

and I buy 9 lots, would time & sales print one trade for 9 lots? Or would it print two trades, one for 5 and one for 4?

I think I remember initially it would show 9 and then then changed it and it would show 5 & 4. The result was that the volume per trade was reduced and the number of trades increased (I had to double my tick chart sizes). But I think I remember this changing again and I can't find any information on it.

Cheers & good trading everyone!

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  #3 (permalink)
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Hi,
I don't know any rule, but if it takes 2 trades, why should it show 1 trade, there would be no logic behind?

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tr8er View Post
Hi,
I don't know any rule, but if it takes 2 trades, why should it show 1 trade, there would be no logic behind?

Well from my point of view it's one trade but it's also one trade for each of the two traders on the ask (2 trades) so it could be reported either way.

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LOL, of course you will get partial fills, 1 with 5 and 1 with 4 and of course in T&S it is shown as 2 trades.

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Ok, I was able to find what I was looking for, the name of this change. It's called MDP 3.0. The feed contains all the information (9 contract aggressor with two fills at 5 & 4 contracts), so it can be interpreted either way. Effectively CME reports the 9 lot trade but gives enough information that the datafeed can break it up if they choose. From what I read, CQG and other feeds are breaking it up. But that was in 2015 and I don't know what they're doing now. From what I see it looks like it's still being unbundled.

See:

https://ninjatrader.com/support/forum/showthread.php?t=73719&page=4

CME Changes Tick Data, Again! (MDP 3.0) | Emini-Watch.com

https://futures.io/reviews-brokers-data-feeds/35672-mdp-3-0-cme-migrating-new-data-comm-protocol-9.html#post525062

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  #7 (permalink)
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Bundling partial fills doesn't make much sense since it only clouds reality and wastes valuable information.

With some delay, futures markets are experiencing the same fragmentation of orders and fills
that stocks had some years ago under the impression of HFT. Most orders simply exist in order
to ping the market, not in order to get filled with notable size. Virtual liquidity.

The average ES fills e.g. fell down to ~4 contracts in the meantime on Globex.
Valuable information is: A 9 contract "aggressor" is recognized as abnormal (i.e. "too big" in that case)
by the market as soon as she/he crosses the ping. Thus she/he will get a) partial fills nearly all the time
and b) often pay slippage when she/he eliminates the ping contract(s) and slips down/up to the next
tick(s) with the remainder.


Last edited by choke35; September 30th, 2017 at 09:14 AM.
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choke35 View Post
Bundling partial fills doesn't make much sense since it only clouds reality and wastes valuable information.

I think that depends on what one is looking for. I look for professional activity so if someone hit the bid/offer for 100 I'd like to know that, instead of seeing trades for 1,1,1,2,5,1,2,10,3,2,15,1,4,2,1,3,1,1,3... etc. An aggressor bought 100, am I interested in knowing how it was filled? I prefer to know what the aggressor did because they are the ones that move the market.

It's too bad the datafeeds can't propagate all the information so we can decide what we want. As it is, one has to attempt to rebundle the unbundled trades and that's complicated.

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cunparis View Post
I think that depends on what one is looking for. I look for professional activity so if someone hit the bid/offer for 100 I'd like to know that, instead of seeing trades for 1,1,1,2,5,1,2,10,3,2,15,1,4,2,1,3,1,1,3... etc. An aggressor bought 100, am I interested in knowing how it was filled? I prefer to know what the aggressor did because they are the ones that move the market.

It's too bad the datafeeds can't propagate all the information so we can decide what we want. As it is, one has to attempt to rebundle the unbundled trades and that's complicated.

Regarding professional activity you are right, but not regarding aggression.

Most of the time such trades are wipe trades that empty the complete top level of bid or ask or large parts of it.
The more fragmented the wiped trades are, the better - since chances are close to 1 that the wiped trades are
nothing but pure noise.

Such wipe trades are absolutely passive and they only happen if they statistically don't cause
slippage ex ante. Normally these trades are used to fulfill other obligations that brokers or other
institutions have, e.g. OTC agreements or buy/sell mandates of their customers.

-----------

P.S.: I know well that there are many traders out there that are still dreaming about "the old days"
when bid/ask and fill sizes were so inefficient and revealed so much directional information that even
manual arbitrage vs the underlying was possible. But as most indicators are just music of the
1970s and 1980s, most of today's order flow books and systems are just music of the ending 1990s
and early 2000s.

The typical cycle is that the hyped techniques trickle down into the retail market about 10-20 years later
when a) the professional edge is vanishing (or has vanished) and b) consumer IT has reached the level
that professional systems had at the time. From that time on it's regularly more lucrative to sell such stuff
and talk about it than to use it.


Last edited by choke35; September 30th, 2017 at 12:06 PM.
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choke35 View Post
Regarding professional activity you are right, but not regarding aggression.

Most of the time such trades are wipe trades that empty the complete top level of bid or ask or large parts of it.
The more fragmented the wiped trades are, the better - since chances are close to 1 that the wiped trades are
nothing but pure noise.

Such wipe trades are absolutely passive and they only happen if they statistically don't cause
slippage ex ante. Normally these trades are used to fulfill other obligations that brokers or other.

Could you please elaborate on the above?
And what do you mean saying "wipe trades"? Most readings on the tape are similar to above example (1,1,2,4,1,7 etc.), does it mean most of trades on the opposite side are "wipe trades"?


choke35 View Post
P.S.: I know well that there are many traders out there that are still dreaming about "the old days"
when bid/ask and fill sizes were so inefficient and revealed so much directional information that even
manual arbitrage vs the underlying was possible. But as most indicators are just music of the
1970s and 1980s, most of today's order flow books and systems are just music of the ending 1990s
and early 2000s...

Do you mean tape reading isn't working any more for retail traders?


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