Bund Volume on 1 min bars is BAD

[MarketMonk]

To All eSignal Techs

The Bund volume for 1 minute bars has been incorrect since Wednesday. Please fix the problem. I know it is incorrect because I have a PATS real time feed that prints the price and volume for every trade and I watch it every second and compare your volume with PATS. I assure you there is a problem with your volume. Please fix the problem and advise.

Thank you

[JayF]

MM,

What symbol are you using? Please correct me if I'm wrong, but hasn't the Bund rolled to the next month? I'm unsure if this works the same as the US/ZB futures, but these have already rolled to the December contract.

If I'm wrong, could you specify the difference seen between today and last week?

[EdKoF]

Jay,

Last trading day is Monday 8th for the September contract. Volume on December has been 1/3 of September the whole week. This changed like 2 hours ago. Volume on December now exceeds September.

MarketMonk, please check which contracts you're viewing, I think Jay has a good point.

Edo.

[MarketMonk]

Re: Reply to post 'Bund Volume on 1 min bars is BAD'

The point has nothing to do with the contract months. I am watching much
higher volume print in my PATS feed then eSignal is showing.

The December contract becomes front month on Monday. Take a look at the
total volume so far in both the Sept and Dec contracts. Dec has higher
volume by 133,000 contracts. The volume for Sept at this time is 848,770
and Dec is 715,951

The difference between last week and this week is that the 1 min volume bars
were correct last week and are incorrect as of Tuesday. You need to compare
in real time with time and sales with volume from different quote providers
to see what I am talking about. I will give you an example right now. The
10:18 GMT -5 (NY time) shows volume for that minute on eSignal of 470
contracts. I watched over 1100 contracts trade that minute on my PATS Dome
window that has a volume displayed with the price of every trade. This is
happening every minute. There is something wrong the eSignal volume feed.





----- Original Message -----
From: <[email protected]>
To: <[email protected]>
Sent: Friday, September 05, 2003 11:05 AM
Subject: Reply to post 'Bund Volume on 1 min bars is BAD'


> Hello MarketMonk,
>
> ~~~~~~~~~~~~~~~~~~~~~~~~~~~~
>

[EdKoF]

Best would be if you can create a Time & Sales list from PATS and one from eSignal for a number of minutes or even longer.

This would enable eSignal staff to make a good comparison and to manually check the totals per minute.

Is PATS able to do that?


Edo.

[fabrizio]

Monk

Edko suggestion is the best.

However :

I used Patsy extensively untill March and I found differences in volumes from the dome and CQG T&S either in BID/ASK and in TRADED

I experienced in July diffrences in Bund from IB and ESIGNAL T&S

Do not know, I do not believe is Esig fault.

[MarketMonk]

Re: Reply to post 'Bund Volume on 1 min bars is BAD'

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Content-Transfer-Encoding: 7bit

Here is another example. For the 10:32 (NY time) minute eSignal is showing
volume of 10,335 contracts for that minute. The PATS feed showed less than
a 1000 contracts that minute. By the way, I am not talking about the
Bid/Ask depth of market display in blue and red. I am talking about actual
trades that print to the small window in the upper right side of my DOME
window. See the screen shot.

My PATS feed only shows the last 20 trades with price and volume and
continuously scrolls down. In other words, the small window in the DOME can
only display the last 20 trades.

Here is a screen shot of the DOME window I am using. The volume data is not
available in the browser based version. I am using the original Delphi code
version.




----- Original Message -----
From: <[email protected]>
To: <[email protected]>
Sent: Friday, September 05, 2003 11:25 AM
Subject: Reply to post 'Bund Volume on 1 min bars is BAD'


> Hello MarketMonk,
>
> ~~~~~~~~~~~~~~~~~~~~~~~~~~~~
>

[fabrizio]

I believe that has somethinhìg to doi with the way that Eurex distribute the data to Brokers and providers.

[JayF]

Fabrizio is correct. There is a difference with the way the Eurex sends out data to data providers versus brokers (i.e. members of the Eurex.) I'll go run a side by side comparison with CQG and will note any differences on the 1 min. volume histogram.

[MarketMonk]

DOME screen shot

Here is the screen shot of my DOME window.

[JayF]

For the 10 minutes I watched CQG and eSignal together, we matched nearly 100% of the time. Here are the few differences I noted.

1) On a 1 minute chart, eSignal showed a volume of ~5900 for the 10:56a (ET) bar, while CQG's ~3000 and the bar before it was ~2900. This difference was caused by the eSignal server receiving the large volume trade on the other side of the 10:56 bar (essentially it was less then 1 second later, but enough to show a discrepancy on the 1-minute volume.) Once thing to note is that the computer back at my desk did not show this discrepancy and matched CQG.

2) CQG missed a trade at 11:01:25 at a price of 113.25 with a size of 2. eSignal did show this trade on it's T&S.

I suspect that any differences seen comparing the dome to eSignal is a result of the difference between the two feeds from Eurex.

[MarketMonk]

Re: Reply to post 'Bund Volume on 1 min bars is BAD'

Based on what I have seen print in real time for many weeks the volume per
trade from my PATS feed and eSignal feed were very close if not exactly the
same until last Tuesday. So something happened last Tuesday and my post is
simply an attempt to make eSignal aware of the differences. The issue of
whether Eurex provides different data to vendors and members is another
story. If Eurex does provide substantially different or delayed data to
quote vendors then my personal opinion is that policy is unethical and a bad
business practice. I suggest some techs at eSignal get an actual broker
feed like PATS and do the comparison. Comparing your feed with another
vendor will not show the discrepancies I am seeing every minute of the
trading session.

Regards,
Market Monk


----- Original Message -----
From: <[email protected]>
To: <[email protected]>
Sent: Friday, September 05, 2003 12:13 PM
Subject: Reply to post 'Bund Volume on 1 min bars is BAD'


> Hello MarketMonk,
>
> ~~~~~~~~~~~~~~~~~~~~~~~~~~~~
>

[MarketMonk]

Dec 03 Eurex Bunds Another example of the volume issue

eSignal Tech Support and Data Integrity people,

The screen shot you are looking at is of the 08:34 (GMT-5 NY time) minute of the DEC 03 Eurex Bunds. Only one price traded that minute, 112.48

Over 20k contracts traded at 112.48 during the 08:34 minute according to PATS. The screen shot is showing 14,938 contracts. That is all I could show by very quickly taking a scrren shot in real time.

eSignal's is showing volume of 789 contracts for that minute.

This is a hug difference and based on my real time observation there is a problem with the eSignal volume quotes.

Thank you for taking the time to seriously look into this issue.

[JayF]

I checked our T&S against CQG's and another data provider and we are all matching. This highlights the differences between the feeds from the Eurex, however I'm working on gaining access to IB's Eurex data to compare. I suspect the differences will be as you see with PATS. I also have an inquiry into our feed developers to see if there is alternative feed that data vendors can receive.

[swan]

I would like to concure with MarketMonk regarding the inacuracies in volume for the Bund on Eurex.

Using Photon trading platform there are noticable differences in the volume with esignal.

At times there is no volume change on the bid and ask on esignal for the Bund, whilst my trading platform is updating volume changes on the bid and ask.

Also when volume is printed on the bid and ask on esignal, at times, it is noticable different.

Hope this helps.

regards

swan