LIFFE futures data

[Essan]

Hello:
There is a problem with the Liffe data feed. I continue to get out-of-hours prices being fed -usually before the open, but sometimes it will happen a few hours after the close.

It's not only prices that come through but also apparant trades at those prices -it's almost as if prices/trades from another day are being broadcast.

If you display an intraday advanced chart of the FTSE contract (LX U3-LF) you will see what I mean. Virtually everyday there are a bunch of trades prior to the official open and you'll see on the 14th there were prices coming down the pipe at 18:00cst.

Many times the prices are off the charts causing alerts to be generated and sent to my cellphone at 1:30am. My wife does NOT find this amusing.....

But if you display a daily or weekly chart the hi/lo ranges for the various days look okay.

This problem is not just specific to the FTSE futures -The same thing happens with the Gilt future, and I think it is also the case with the various 3m interest rate contracts

Please advise if this issue is being looked into and how long it will take to fix.

Many thanks.

[Momentum]

I'm seeing the same thing on Eurex - its the pre-market bids and asks but the previous days close comes thru as a trade.

[Pip]

Essan

I reported this problem on MarketCenter - UK Data Problems thread earlier this month, and eSignal's reply intimated that a fix was imminent.

I chased this a couple of days ago, but no reply yet.

[Essan]

There are also strange things that occur with the Liffe 3m euro contracts -during the trading day- particularly with short sterling
Look at the following screen: for some reason the last traded price for SEP keeps switching back and forth from last nights settle price to the current price. It is also happening with DEC.

This is specific to esignal. I am not seeing these shenanigans on my broker (refco) price feed for LIFFE.

Could someone from esignal please respond?

[Essan]

Speaking of Dec short sterling. What's with that DEC bad tick in the prior post?

Take a look at the daily chart of SEP short sterling:

[JayF]

Re: LIFFE futures data

Originally posted by Essan
Hello:
There is a problem with the Liffe data feed. I continue to get out-of-hours prices being fed -usually before the open...

I sent this over to our QA team to investigate. Thanks for the report.

[JayF]

Originally posted by Momentum
I'm seeing the same thing on Eurex - its the pre-market bids and asks but the previous days close comes thru as a trade.

Momentum,

Do you have any examples of Eurex symbols that are affected? I checked AX and ET and both look ok.

~Jay

[JayF]

Originally posted by Essan
Take a look at the daily chart of SEP short sterling:

This has been sent to our QA team to fix. Just as a quick FYI, you can also directly report bad ticks or other data errors to our QA team by clicking on the Customer Support menu in eSignal, and then click on Report a Bad Tick.

[Essan]

Yes, I do report bad ticks and generally they are fixed very quickly. I also reported these issues here as they seemed more to do with the underlying data collection algorithm rather than bad ticks from the exchange.

As I mentioned earlier these bad ticks, strange price feeds etc are not coming through on Refco price feed from the exchange.

Thanks for your help in taking these issues (LIFFE and SIMEX)forwards. Hopefully they will be fixed soon.

[JayF]

Re: Re: LIFFE futures data

Originally posted by JayF
I sent this over to our QA team to investigate. Thanks for the report.

They have implemented a solution for the LIFFE already! There should no longer be out-of-hours pricing coming across the LIFFE. If there is a repeat occurence, please let me know.

[Essan]

That is EXCELLENT news! Thanks very much Jay.

I will keep an eye on it and will revert if anything looks suspect.

[Pip]

Hi Jay,

The solution was obviously applied yesterday, because the problem with LX U3-LF was there in the morning, but by evening the erroneous data has been removed from the database, and this morning everything was fine. (This is on MarketCenter, where I have also posted similarly on the relevant thread.)

Thank you.

Pip