Real trades?

[Anson]

I'd like to start off by saying that I'm not implying in any way that this is a data problem. But I'd like some confirmation from eSginal in light of a recent issue here.

http://forum.esignalcentral.com/showthread.php?s=&threadid=20444

I just saw 2 prints of 9999 lots on my T&S for the Eurostoxx50. Both with the same exact time and price prints. I'm not saying it's impossible but it is unusual.

I hope eSignal can take a look at the data and confirm that they are:

1. Real trades that are not the result of some tick issue. I did not see missing blocks of prints (in the 2 minutes before or after) in this case though unlike the previous case.

2. Both are good trades. IE. There's no duplication.

Unusual because it traded 9999 lots x 2 trades at the same price but it didn't trade higher at all.

Hope eSignal understands my concerns in light of the recent issue. Thanks for the help.

Anson

T&S with just traded prints.




T&S with both quotes and traded prints.

[eSignal-J.J.]

Hi Anson,

If I saw this I'll question this as well. Let me report this to our QA group for review and find out what these are.

I will post our findings in this thread.

[Anson]

J.J.

Thank you for checking.
I would like to bring up one more question.

Sometime back, there was another issue I was experiencing with the tick servers as noted here:

http://forum.esignalcentral.com/showthread.php?s=&threadid=19776

Please looks at Scott's last response about some tick server upgrades that were rolled back.

Have these been upgrades been rolled in once again? The reason I ask is that I'm suddenly seeing more issues with the tick servers once again since that last thread more than a month back and I got a feeling they may be related.

[Anson]

Hope a proper fix can be in before Thanksgiving. Thanks!

Happy Turkey Day in advance.

[eSignal-J.J.]

Hi Anson,

Here is what we found. The Eurex has different feeds for data vendors. In this case the Eurex does not send out messages for every trade on the feed. Therefore we have to calculate the trade size from the difference between the cumulative volumes from one trade message to the next. If there is a cancellation message sent, this causes a drop in the cumulative volume stored in the database, which in turn will cause the next trade to calculate a seemingly large trade size.

[Anson]

Uh ok... so what does this mean for me?

9999 x 2 = 19998 lots were cancelled??

I get the part about cumulative volumes and having to find the difference. But is this actually an accurate method for determining trade sizes?

What does Eurex not sending out messages for every trade mean in layman terms?

Lastly, how about sorting out this one below then? "Bad" ticks were simply removed but those were accumulated from 14mins of mssing data.

http://forum.esignalcentral.com/showthread.php?s=&threadid=20444

Originally posted by eSignal-J.J.
Hi Anson,

Here is what we found. The Eurex has different feeds for data vendors. In this case the Eurex does not send out messages for every trade on the feed. Therefore we have to calculate the trade size from the difference between the cumulative volumes from one trade message to the next. If there is a cancellation message sent, this causes a drop in the cumulative volume stored in the database, which in turn will cause the next trade to calculate a seemingly large trade size.

[Anson]

Today's Eurostoxx50 again.

Is this the result of yet another cancellation? So it's not a good trade? Just want to be sure.