Bad Ticks MT K3-MA

[EdKoF]

After opening things got a lot better. No bad ticks now for at least 30 minutes. Also after opening one can refresh charts more easily.

Edo.

[GraemeB]

Hi EdKoF,

The hugh spikes on the LIFFE are caused by the exchange sending out prepmarket activity. Our programmers are working to try and block this information out.

In Ensign is there a function to control the open and close times of a chart?

Thanks,

[EdKoF]

Hi Graeme,

Yes there is such a function. However, I don't want to skip the pre-open trade data, because it is important to my analysis.

Also, these ticks are not correct data. There is no way that CAC40 future was traded @ 2796 so repeatedly, when actual price was around 3000.

Furthermore, the ticks continue after the opening of the market. Not as frequent, but still.

My guess is that LIFFE should be notified that they are sending bad ticks. Is eSignal in contact with them?

Last, I'm in contact with Ensign about why their spike filter doesn't seem to work on this one.

Thanks,


Edo.

[GraemeB]

Hi EdKoF,

I was not referring to the Matif in my last post but the LIFFE only, sorry for the confusion.
I can see the Matif's bad ticks.

We have contacted the exchange about these bad ticks and they have told us that the information is correct. We are working to filter this information from our side before it reaches clients. I will let you know how the development of this is coming along when I find out.
If you have any further questions, please feel free to ask.

Thanks,

[EdKoF]

Unless some kind of weird rollover trades take place @ these levels, they must be out of their minds to call these trades correct.

The low of the day also comes from the exchange, isn't it? If these trades are indeed taking place, why isn't the low of the day adjusted?

Why is it during the whole day the same price (today 2796).

As far as I know, CAC40 futures have moved from MATIFF to LIFFE?

Cheers,


Edo.

[EdKoF]

@ 13.03 there were 2 ticks @ 2796, each for 1 contract.

I can see these on Time & Sales in Ensign.

In eSignal they are not visible anymore.


Edo.

[GraemeB]

Hi EdKoF,

Yes this is correct the LIFFE and MATIF have merged to EURONEXT-LIFFE.

I will check again to see what they have to say about the premarket activity for the LIFFE. I know what you mean about the same figure and I will check to see whats going on.

Thank you for your help,

[EdKoF]

But, suppose they are right, I put a buy order @ 2797, just in case

[EdKoF]

CAC40 future stopped updating 17:46 hrs CET. I have no idea whether it was traded after that time. Normally we should have data till 22.00 hrs CET.

This is exactly what I was worried about


Edo.


P.S. To be sure this isn't misinterpreted: the exchange broke down apperently, since other banks don't show data either after 17.46.

[GraemeB]

Hi EdKoF,

Thank you for letting us know. I have been investigating the bad ticks on the Matif and was wondering if today they had been any better? There should be a small improvement.
Please let me know.

Thanks,

[EdKoF]

Better is an understatement, no bad ticks so far!

Thanks,

Edo.

[GraemeB]

Hi EdKoF,

That is good news. No doubt if there is one I'll know!

Thanks for your help.