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I've been watching the T&S on the Eurostoxx 50 futures the last few days and something has seemed unusual to me. Alot of Buy (offers taken) volume despite the market heading down at that very moment.
I decided to do some snooping of the T&S data today with the help of Market Delta.
Here's the T&S. Pls note the 611 lots @ 3843 price traded at 6:57:11 EST. This has a green background which shows it to be a buy (offer taken). I have refreshed the T&S several times to ensure it remains consistent and it has.
Notice how it trades 611 @ 3843 shown as a buy but then it turns 3843 offer the very same moment. Then 3842 bid is given (sold) the next second. (this is off the screen at the top and isn't shown here) This would imply to me that the original 611 lots done at 3843 was a Sell and not a buy. But ok that's just an implication right?
Now look at this. Marketdelta showing a 1min timeframe footprint chart. I also restarted Marketdelta to ensure a good print and it remained consistent as well.
Look at the 6:57 footprint. It shows that at the price of 3843... 799 lots traded on the Bid side. ie. they were Sells.
Now if you look back at the T&S posted above.... all the trades done @ 3843 price @ 6.57 ... if you add up all the trades shown there, they add up to 799 lots exactly. As shown on Marketdelta.
So why does Marketdelta show them as sells while eSignal's T&S shows them as Buys? Marketdelta also supports my above thoughts that the trades done at 3843 were sells due to the way it flipped to 3843 offer and 3842 bid being sold a sec after.
I'm finding the T&S kinda suspect in its accuracy. I've seen buying dominating way too much in the ET Z6-DT even when it's been heading down.
One last screenshot. I have a size filter here of 300 applied.
Look at how almost every trade has been a Buy (offer taken). I've seen alot of Buys lately and very few sells in comparison. And all this despite some down days in the ET Z6-DT. Sure buying can exist in mkts being sold but it's been way too many buy prints and I don't see many sell prints! Also the no. of blue blackgrounds (inside trades or whatever) has greatly increased the last few days. This implies that something may have changed somewhere recently.
To be fair... this problem only seems to have started since the rollover to the Dec contract. And it also seems to have started around the same time that Eurex was having problems. Can eSignal pls check if there's been some complication somewhere. This may be a Eurex specific issue. I have no idea.
Would eSignal like to comment or can you pls check it out? I don't have full confidence that the T&S is showing me the true picture right now. Thank you!
I would also like to link back to a previous thread I made almost 2 weeks ago here:
I had then been updating my T&S records when I noticed 2 days that had formerly been reported as mostly Buys flipping to Sells then back to Buys again over 2 days. I'm not sure if this is related but all the issues seem to stem from this last rollover from ET U6-DT to ET Z6-DT. Perhaps eSignal can check if any change was made to the system then. Thank you.
Anson
I decided to do some snooping of the T&S data today with the help of Market Delta.
Here's the T&S. Pls note the 611 lots @ 3843 price traded at 6:57:11 EST. This has a green background which shows it to be a buy (offer taken). I have refreshed the T&S several times to ensure it remains consistent and it has.
Notice how it trades 611 @ 3843 shown as a buy but then it turns 3843 offer the very same moment. Then 3842 bid is given (sold) the next second. (this is off the screen at the top and isn't shown here) This would imply to me that the original 611 lots done at 3843 was a Sell and not a buy. But ok that's just an implication right?
Now look at this. Marketdelta showing a 1min timeframe footprint chart. I also restarted Marketdelta to ensure a good print and it remained consistent as well.
Look at the 6:57 footprint. It shows that at the price of 3843... 799 lots traded on the Bid side. ie. they were Sells.
Now if you look back at the T&S posted above.... all the trades done @ 3843 price @ 6.57 ... if you add up all the trades shown there, they add up to 799 lots exactly. As shown on Marketdelta.
So why does Marketdelta show them as sells while eSignal's T&S shows them as Buys? Marketdelta also supports my above thoughts that the trades done at 3843 were sells due to the way it flipped to 3843 offer and 3842 bid being sold a sec after.
I'm finding the T&S kinda suspect in its accuracy. I've seen buying dominating way too much in the ET Z6-DT even when it's been heading down.
One last screenshot. I have a size filter here of 300 applied.
Look at how almost every trade has been a Buy (offer taken). I've seen alot of Buys lately and very few sells in comparison. And all this despite some down days in the ET Z6-DT. Sure buying can exist in mkts being sold but it's been way too many buy prints and I don't see many sell prints! Also the no. of blue blackgrounds (inside trades or whatever) has greatly increased the last few days. This implies that something may have changed somewhere recently.
To be fair... this problem only seems to have started since the rollover to the Dec contract. And it also seems to have started around the same time that Eurex was having problems. Can eSignal pls check if there's been some complication somewhere. This may be a Eurex specific issue. I have no idea.
Would eSignal like to comment or can you pls check it out? I don't have full confidence that the T&S is showing me the true picture right now. Thank you!
I would also like to link back to a previous thread I made almost 2 weeks ago here:
I had then been updating my T&S records when I noticed 2 days that had formerly been reported as mostly Buys flipping to Sells then back to Buys again over 2 days. I'm not sure if this is related but all the issues seem to stem from this last rollover from ET U6-DT to ET Z6-DT. Perhaps eSignal can check if any change was made to the system then. Thank you.
Anson
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