Bund Volume on 1 min bars is BAD

[JayF]

After speaking with some key people throughout our company, the conclusion was that we receive the only Eurex data feed we can receive as a data provider. One rumor I did hear is that Eurex maybe upgrading their feed sometime next year to a real-time streaming feed instead of the real-time 1-2 sec. snapshot feed we have now. Please keep in mind this is not definitive, but also know that we keeping a close watch on it.

[ACM]

To add to what Jay has been saying about the Eurex data feed some may find it interesting that the CBOT has decided to stop using that engine for its electronically traded instruments and will be migrating this November to the Liffe Connect trading platform.
Among the reasons the CBOT gave for its decision is the complaints they have received about Eurex' practice of netting trades that are not posted on its data feeds.
Alex

[MarketMonk]

Alexis, please clarify "netting trades"

Alexis,

Please clarify and define what you mean by "netting trades" that are not
posted on its data feeds.

Thank you for your prompt reply to my question.

Market Monk


----- Original Message -----
From: <[email protected]>
To: <[email protected]>
Sent: Wednesday, September 10, 2003 12:22 PM
Subject: Reply to post 'Bund Volume on 1 min bars is BAD'


> Hello MarketMonk,
>
> ~~~~~~~~~~~~~~~~~~~~~~~~~~~~
>

[ACM]

Market Monk
Enclosed below is an excerpt from an article that was emailed to me
Alex

<snip> I used to trade YM with a mechanical system, which, of course, is based on the charts. I used triggers to set up my buy and sell stop to open a position and, once filled, put in my limit and stop orders. What started happening was my orders were been filled by my broker without the market ever reaching the prices I had set.

The first time this happened I called my broker and got real indignant with them. How could I be filled at a price when the charts clearly showed that price was never traded? I even had time and sales data to back me up. They said they would look into it but if you have ever had a disagreement with a broker you know your chances of winning are very very slim. Sure enough they said because of something called "one second netting" they were right and I was wrong.

The second time this happened I called them again and again I got the same answer but this time I got a better explanation. They said that in fast markets the a/c/e will "net" multiple transactions in one price, which is the price that shows up on your charts. Of course, the result is that you are trading with incomplete data and incomplete charts, which in my world mean the charts are wrong and can't be trusted. Doesn't that just tickle your insides?

Not completely believing my broker (because I figure they will tell me anything to make them right and me wrong) I called the CBOT and talked to Brian Wade. He confirmed my worst fears but assured me this would all be cleared up when the CBOT moves their electronic trading platform to LIFFE in November!!!!!!!! November, that helps me one heck of a lot now doesn't it?

Needing to get further confirmation on this I sent an email to Barbara Schmidt-Bailey of the Equity Business Development of the CBOT and here is her answer, "a/c/e's little secret is a big part of the reason that CBOT decided to leave the platform! Starting in November of this year, we will be migrating all CBOT electronic trading to a new platform - Liffe Connect - which doesn't net. In the meantime, you're right - it's there, and for very active traders it's an issue." <snip>