Rollover volume is being shown in the TSE charts

[jay60]

For JGB and Topix futures the rollover volume from H2 to M2 is being shown in the volume panes of JGB10 H2-TPX and TPX H2-TPX interval charts. Block Trades are being properly labled as such in T&S and are not shown in the charts which is of course correct. But this is not the case with the rollover volume. The exchange said that they signify 'Rollover' data as being such.

As you can see in the attached T&S for TPX H2-TPX and TPX M2-TPX the 1.95K, 1.00K, 500, 345 and 2.00K entries show no Condition and this rollover volume is being plotted on the H2 and M2 charts when it shouldn't be, just as the 244 rollover contracts are for JGB10 H2-TPX in the second example. These examples cover just a 2 minute period but this happened hundreds of times starting today making analysis impossible. And it will get worse from tomorrow as rollover nears.

This very same problem, along with numerous other data problems occurred last year right after TSE upgraded its computer system on 21 November. Looks like only the rollover problem didn't get fixed at that time.

[eostrom]

rollover volume

This has been reported. I will post again once I have some more information on this.

[eostrom]

rollover volume

We have been looking at the raw data that we recieve as well as comparing this with other data services that provide data for TOPIX and it doesn't look like any of them filter these out on the charts. If they are supposed to be filtered out then the exchange needs to be sending them with a special trade condition. As of right now the exchange isn't doing this and that is why they show up on the charts.

[jay60]

Re: rollover volume

Hi Eric,

I spoke to a person in the derivatives section of the Tokyo Stock Exchange and he said the Rollover volume is spcified as such when sent. The rollover volume was never shown in eSignal charts before the exchange updated their system last November.
This volume has nothing to do with supply and demand and therefore has no place on the charts.

And, as can be seen in the attached, IB does not show this volume on their charts.

If you go to the thread I posted today titled Incorrect increments for TOPIX futures you will see another data problem. Both of these problems, and others also occured last November and it took 1 month to fix them. At the time there was a major problem with the data from TSE and eSignal was impossible to use for that 1 month. Today is day 2 of the same situation.

Originally posted by eostrom
We have been looking at the raw data that we recieve as well as comparing this with other data services that provide data for TOPIX and it doesn't look like any of them filter these out on the charts. If they are supposed to be filtered out then the exchange needs to be sending them with a special trade condition. As of right now the exchange isn't doing this and that is why they show up on the charts.

[eostrom]

We are waiting for more information from the exchange on these volume issues. Will post once we have that information.

[jay60]

Hi Eric,

Rollover will begin shortly, and I hope that this has been fixed. Or,
as happened during the last two rollovers we won't be able to trade for 2 or 3 weeks again.

Thank you.
jay

[eostrom]

This should be fixed

[jay60]

Originally posted by eostrom
This should be fixed

Great!!

Thank you very much, Eric.

[jay60]

Originally posted by eostrom
This should be fixed

NO, this has NOT been fixed. It is the same as it was 6 MONTHS ago.

As I hope you can see in the attached, the 600 contracts at 09:27:24 in TPX 1!-TPX and the 66 contracts at 14:35:04 in JGB10 1!-TPX and the incorrect prices are not shown in IB's charts or in those of any broker in the whole country because it's ROLLOVER DATA and not that which is done in the main auction market. There are tons of these entries, and there will be hundreds more every day as the rollover date nears. So, with rollover prices and volume included your charts they are again completely unusable. We're now going to have to use IB's so called charts for two more weeks. No fun.

[eostrom]

Looking into this again. This was set to be fixed previously, but something appears to have gone wrong. I will update with more information once I have it.

[eostrom]

It looks like there may not be a way to fix this. The feed we receive from the exchange doesn't include flags/conditions for these trades. Without this we cannot filter this information from these symbols. It would appear that IB is getting a seperate broker feed from the exchange that includes these flags. Still trying to get more information on whether something can be done about this or not, but this is the answer right now.

[eostrom]

Even though we do not get the flags in this feed we are attempting to work out a way to filter this information. I'm not sure yet how or if it's going to work, but I'll post with an update when I have one