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CL today - interpretation of tape / time and sales data
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CL today - interpretation of tape / time and sales data

  #11 (permalink)
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xplorer View Post
Thanks Hulk, so are you saying that there is a likelihood of trades taking place but not being reported by the tape?

Thats the only possibility I can think of. Technically, if its a spread order fill, it should not be reported on the outright tape. What I am saying is that the uptick/downtick calculation maybe incorrectly taking spread fills into consideration.

So lets say the CLH8/CLJ8 spread is trading at 0.15 x 0.16. CLH8 outright is trading 58.96 x 58.97 and CLJ8 is trading 58.80 x 58.82 Someone buys the spread and lifts the offer at 0.16, this results in the order getting filled at buying CLH8 at 58.97 and selling CLJ8 at 58.81. During this time, it is possible that CLH8 never trades at 58.97 ourtright so your tape is correct in not showing a trade taking place at 58.97.

But, it is possible that the program that computes the trade direction (relative to the previous trade) on the outright tape of your trading client, incorrectly considered the spread fill at 58.97 as an uptick and then marked the rest of the trades at 58.96 as downticks.

I will try and confirm this Monday when the market opens.

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  #12 (permalink)
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Hulk View Post
Thats the only possibility I can think of. Technically, if its a spread order fill, it should not be reported on the outright tape. What I am saying is that the uptick/downtick calculation maybe incorrectly taking spread fills into consideration.

So lets say the CLH8/CLJ8 spread is trading at 0.15 x 0.16. CLH8 outright is trading 58.96 x 58.97 and CLJ8 is trading 58.80 x 58.82 Someone buys the spread and lifts the offer at 0.16, this results in the order getting filled at buying CLH8 at 58.97 and selling CLJ8 at 58.81. During this time, it is possible that CLH8 never trades at 58.97 ourtright so your tape is correct in not showing a trade taking place at 58.97.

But, it is possible that the program that computes the trade direction (relative to the previous trade) on the outright tape of your trading client, incorrectly considered the spread fill at 58.97 as an uptick and then marked the rest of the trades at 58.96 as downticks.

I will try and confirm this Monday when the market opens.

I think you had it right in the first place. I gave too much thought to the problem and its unlikely it has anything to do with spreads.

I see the same thing in X_Trader that you did in your platform. When the bid/ask moves up and the bid gets hit, it gets identified as a downtick even when nothing trades at the ask. So if your example, when 58.96 was the ask, trades at the ask were being marked as upticks. Then the bid moved up to 58.96 for a short time and all trades at 58.96 were marked as downticks while it was bid.

Sorry I over-analyzed.

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  #13 (permalink)
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No problem @Hulk, and thank you for confirming, I do appreciate it.

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  #14 (permalink)
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Maybe a different type of chart would help

Maybe if you look at a different type of chart it would help to understand the action better.

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This type of chart shows what happens inside the candle.
I can't recommend a particular indicator for this since this is my custom indicator.

I did not have the 2/14 data on my charts but in real time this chart if from earlier today on CL.

You can see on candle #4 the wick has both bid and ask prices on the same candle.
Also notice that some candles in this small tick size do not have any trades or only trades on one side.
(There is also not much volume at the early hour when this was taken)
If you save the T&S data and this information you can see what took place.

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  #15 (permalink)
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DavidHP View Post
Maybe if you look at a different type of chart it would help to understand the action better.

Thanks David, and I appreciate the case I posted about is very specific, i.e. in that case nothing traded at a specific price, yet the evidence points to all limit orders being swept at the price immediately preceding that.

It looks like your indicator would account for that, good one.

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  #16 (permalink)
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unfinished auction

it looks like an "unfinished auction". this specific pattern occurs quite often.

here's an example:

- market was 2732.25 / 2732.50. 58 contracts traded on the bid and 130 contracts on the offer. then the market went up to 2732.50 / 2732.75. 55 contracts traded at the bid, but nothing was traded at the offer.

time & sales would show the following at 2732.50: 130 as buys (green) and 55 as sells (red)

easiest way to see this pattern is by a footprint chart.

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and here's some documentation about unfinished auction (or business)

https://footprintchart.com/see-inside-the-chart-1/2016/02/19/unfinished-auction-aka-unfinished-business

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  #17 (permalink)
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Silvester17 View Post
it looks like an "unfinished auction". this specific pattern occurs quite often.

Hey Silvester,

Yep, that's it - same phenomenon. I don't use footprint so I looked it up via T&S but good to be reminded this shows up on FP too. Thanks.

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  #18 (permalink)
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Hulk View Post
Most likely what happened was that a spread order filled an offer at 58.97 and never got reported on the outright tape but the program identified the spread fill as an uptick and the trades after that as downticks.


xplorer View Post
Thanks Hulk, so are you saying that there is a likelihood of trades taking place but not being reported by the tape?

If a spread trades {spread buyer - spread seller} it won't get report on either of the individual months.
If a spread trades {spread vs two outright orders} it will report on both individual months.

I believe on CME you have the option for spreads to either hit your account at current market prices, or for the front leg to always use the previous settlement price. Note that in first case, the buyer and seller of the spread could choose different options - it doesn't matter.

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  #19 (permalink)
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SMCJB View Post
I believe on CME you have the option for spreads to either hit your account at current market prices, or for the front leg to always use the previous settlement price. Note that in first case, the buyer and seller of the spread could choose different options - it doesn't matter.

I wasn't aware of this. I get filled on both the screen (via TT) and OTC block (Clearport via voice broker). The legs are always shown executed at the current market price. Where did you come across this option? I am just curious how it would work if the previous settle was chosen for the front leg. The back would have to be a calculated number based on where the spread was filled relative to the front's previous settle. You are right, both parties would have to agree. Maybe this exists as an option on clearport for block orders?

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  #20 (permalink)
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Hulk View Post
I wasn't aware of this. I get filled on both the screen (via TT) and OTC block (Clearport via voice broker). The legs are always shown executed at the current market price. Where did you come across this option? I am just curious how it would work if the previous settle was chosen for the front leg. The back would have to be a calculated number based on where the spread was filled relative to the front's previous settle. You are right, both parties would have to agree. Maybe this exists as an option on clearport for block orders?

With clearport the prices are assigned by the OTC Broker. In TT my understanding was that having an ampersand "&" in front of the account number means you want market levels on your spread prices. This works for energies, but my eurodollar fills still come through based upon settlement even with the ampersand.

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