Eurex data / Market Profile

[BKuerbs]

The last days I noticed that for the Eurex-traded Bund (GB Z5-DT) there are trades reported well after market close, see today's time and sales in the screenshot. I doubt these trades are reported by the exchange, they look like a simple - erroneous - duplication of the last trade.

This leads to my next question: these trades seem to distort the Market Profile. The time template is set up correctly for the Eurex session. I looked into the "Segment properties" dialogue, but could not find a way to exclude these intervals. Is there any?

Many Thanks

Bernd Kuerbs

[JayF]

Hello Bernd,

In trying to duplicate this, I did see the extra TPO when using a 24-hour Time Template. This extra TPO is caused by the exchange sending the settlement throughout the evening hours.

However, when I used a Time Template for 23:00 - 10:00 (Pacific Time), the extra letters disappeared and the distributions looked clean. Can you double-check the hours you have for that Time Template? If you still see the problem, what version of eSignal are you using?

[BKuerbs]

Hello Jay,

the time template did the job.

I have a special time template for the Bond futures on Eurex but for whatever reasons used the wrong start- and endtime. Puzzling to me.

Many Thanks

Bernd Kuerbs