Explanation for strange ticks on Bund / Eurex?

[EdKoF]

I get a feeling that DTB / Eurex is not supplying good quality data to brokers / data vendors.

There's some very strange movements this morning (and for the last couple of days actually) with trades suddenly moving up or down 3-5 ticks. This happens in periods when there is no shocking news.

These 'strange' ticks can be seen in eSignal, Interactive Brokers and whSelfinvest, so it doesn't seem to be an issue with eSignal etc.

Can anybody comment on this? Perhaps offer an explanation for what I see happening?

Thanks in advance,


Edo.

[GraemeB]

Hi EdKoF,

This is interesting. I am not to sure of the answer but I will investigate and find out what is going on. I
have seen some of these jumps on the DAX futures.

Thanks,

[EdKoF]

Hi Graeme,

I was wondering whether you found out something already. Here's an example of this morning. I'm refering to the 112.08 tick @ 8:17:02. Trade is quite volatile around this time.

Edo.

[ScottJ]

Hi Edo,

We're still researching the specific details of these Eurex issues but we do know that the Eurex exchange is not transmitting what we typically refer to as tick by tick data. They are doing a routine they call "netting" where they consolidate trades and quotes each second or so and then transmit that batch of updates together. We've also confirmed that Eurex has only 1 feed, so all vendors and broker/dealers are getting the same information.

In our research thus far, we have noticed that some vendors/brokers appear to be inserting artificial price updates to keep the highs/lows more accurate. As part of our research, we're considering something along those lines as well. We should have more definitive information by mid-next week and we'll be sure to update everyone on the boards.

Thanks.

[EdKoF]

Hi Scott,

Thanks for this very interesting information.

I'm not quite sure whether 'artificial' data will improve reliability of charts, although of course we may conclude that Eurex way of operating is not exactly improving that either. I hope we will be able to compare 'before' and 'after', if you catch what I mean.

If you continue along this line, perhaps it is possible to make two separate symbols: unchanged Eurex data and 'smoothed' Eurex data?


I know that for example Bund is a very liquid contract, but I always beleived that volume per tick was high, so the amount of ticks is lower than for example ES #F.
If the former is true, would it be possible to put pressure on Eurex that they start sending tick-by-tick data? Perhaps together with other vendors / brokers?

Just my 2 cents,

Regards,


Edo.

[ScottJ]

Hi,

I'm not quite in a position to answer all of those questions yet but due to the high volumes of these contracts, I doubt we'd be able to "double broadcast" these contracts under two distinct symbols. I have heard that Eurex plans one major upgrade in November of each year. Changes to move closer to a tick by tick methodology will likely not occur until Nov 2004. As I indicated, we'll know more about the specifics of this situation next week.

Hope that helps.

Thanks.

[ScottJ]

Update:

Eurex is providing one feed to all vendors/brokers so the playing field should be level. When the quote and trade activity exceeds what their system can handle, they begin a process called netting where they bunch trades together and send every 1.4 seconds. Under calmer market condidtions, they send each tick. Netting can apparently kick-in at anytime, even based on excessive quote activity, and we're not aware of a way to notify users that netting is in place. It's an automatic process so as soon as the markets subside, netting goes off. Vice versa when the activity picks-up.

We are planning to insert 0 volume trades so we can reproduce the highs/lows missed during netting and make our interval history data more refelctive of the range of trades executed. Eurex has indicated that this insertion is acceptable to them and is already being done by at least a few other vendors. ETA is 2-3 more weeks. Once in place, you may have some sense of when netting occurred because you'll see trades in time and sales with 0 volume.

As indicated in the previous message, it's estimated that Eurex will address this issue next year and implement improved through-put in Nov. 04.

We are still working with Eurex to get some official information we can formally pass onto customers.

Thanks.

[EdKoF]

Scott,

Thank you very much for addressing this issue, and for coming with a fix on such short notice.

I'm very curious how things will look like.

Regards,


Edo.

[ScottJ]

You are most welcome Edo. I'm not quite sure I'd call our insertion of 0 volume trades a "fix" but at least it'll improve the history data.

Thanks.