Simulating Trades on Eurex for New Highs/Lows Missed

[JayF]

I'm sure many of your already know about the issue where the High / Low on the Eurex Futures' daily charts sometimes do not match the intraday charts' High / Low. As explained previously, this is a result of how the EUREX sends a snapshot update every 1-2 seconds and often trades are aggregated and ones that set the High/ Lo miss the snapshot. It is also known that we match CQG and likely others taking the EUREX feed directly.

We do, however, get a summary message as part of the feed that lets us know that a new High / Low has been set. We process this message and update our daily charts, but since it is not tagged and resent as a "trade" message it is not charted in intraday charts or reflected in time & sales.

Some firms create a "trade" message from this summary and deliver it out to the clients. We are looking at modifying our distribution of the Eurex feed to do the same. The result would be some 0 volume trade messages that serve as a indication of when a new High / Low is sent. eSignal would chart it and it would appear in time & sales.

The question that we have our Eurex clients is that is this acceptable? We are certain that many will benefit from this, however we also want to hear out any opposition to the matter.

Thank you in advance for your opinions!

[Momentum]

I don't use volume as such so this would work for me. I assume that the time of the correction fits.

[MarketMonk]

Time and Price placement

All the charts we use have a time and price axis. If the "trade message" created from the Eurex Summary is charted than it must be charted correctly. Believe or not, time is as important as price. So the exact minute of the hour for the new high or low for the day must be charted at that one minute bar. If this can be done then by all means do it via a "trade message". However, if charting the new high or low from the Eurex Summary via a "trade message" means that the price is placed in a minute bar that did not actually trade at that level, then I say do not do it. Hopefully, Eurex is including the time and price in their trade summary so eSignal can place the "trade message" bar at the correct time and price axis point.

[MarketMonk]

Good Example Today

The Bund contract as of this minute (05:29 GMT-5) is a good example of why eSignal needs to do something about this issue. The high in the Dec Bund is 113.65, but the eSignal intraday charts are showing a high of 113.60. That is a 5 tick difference and totally unacceptable. I am glad to hear eSignal is thinking of solutions, but the solutions must be done correctly. My previous post on this thread discusses my concern. Thank you and regards. Market Monk

[JayF]

Appreciate the feedback, MM. I'll pass this along to the decision makers, and if I hear any further details I'll be sure to post it.