ES Trade Size

[QuahTrader]

I notice that my Esignal feed is only showing a max of 400 contracts per trade in the time and sales (and I assume on the volume collection) - when the limit has been increased for a while now. I see a few 1000 lot trades being made (data from the feed from my broker) - but I never see anything higher than 400 (the old GLOBEX limit).

Is ESignal filtering out trades bigger than 400?

[QuahTrader]

correction

Let me make a small correction - I see 5 trades today on the esignal feed that showed size >400 - however, my brokers feed from PATS showed many more than that - and at least 2 with 1000.

[Himalaya]

Esignal, please address this

Because of the previous size limits in the mini being 400, perhaps Esignal has some sort of governer built in at 400

[DuaneG]

Hello Himalaya,

We went through the Time and Sales record for an example of a larger trade size. While these larger trades don't occur as frequently as the smaller transactions, they are still transmitted directly from the exchange without any condensing. Hope this helps.

[QuahTrader]

Originally posted by DuaneG
Hello Himalaya,

We went through the Time and Sales record for an example of a larger trade size. While these larger trades don't occur as frequently as the smaller transactions, they are still transmitted directly from the exchange without any condensing. Hope this helps.

DuaneG -

How do you explain the lack of 1000 size prints on the date I started this thread? I've also seen 1000 size prints from my brokers feed since then - but I've yet to see these on my Esignal feed.

[ScottJ]

Please check out this notice from back in 2003. It's possible that the other sources you are comparing are still transmitting the combined trade records; where as we are getting the CME depth feed that seperates them all. May want to check with those other sources. If you can find a specific example of a large trade that we didn't show (and you've verified it's actually just one transaction), please provide the details and we'll be happy to check the feed from the CME.

Thanks.

[QuahTrader]

Originally posted by ScottJ
Please check out this notice from back in 2003. It's possible that the other sources you are comparing are still transmitting the combined trade records; where as we are getting the CME depth feed that seperates them all. May want to check with those other sources. If you can find a specific example of a large trade that we didn't show (and you've verified it's actually just one transaction), please provide the details and we'll be happy to check the feed from the CME.

Thanks.

Well, I can't imagine it is an issue with PATS combining same priced trades - mainly because I see same priced trades immediately before and immediately after the 1000 print. I'm almost certain they are at the same time - however, I can't prove it either way. There is no way I can verify that it is actually just one transaction. However, that doesn't mean it isn't.

Also, if it was a "combined" trade issue, I'd expect to see enough trades from the Esignal side to "combine" to at least a volume of 1000 contracts traded - and I don't see that either.

If I see a 1000 print from by brokers feed in the middle of a minute, shouldn't I see at least a minute bar from Esignal with a volume of at least 1000 contracts - no matter if my brokers feed is combining trades or not?

[ScottJ]

Please provide 3 specific examples from either tomorrow's trading day or today's and we'll do some research. We need exact volume displayed and time stamp. Screenshots would be even better.

Thanks.

[coolmoss]

for those still interested, PATS feed is NOT tick by tick, it has packets of data, so is not suitable for tick by tick analysis.