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» FTSE 100 future (LF#) tick data spikes
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| Author | Topic: FTSE 100 future (LF#) tick data spikes (6 messages, Page 1 of 1) |
 gboos -Interested User- Posts: 9 Joined: Nov 16, 2009 |
Posted: Jan 21, 2011 02:07 AM
Msg. 1 of 6
Good morning,
since the last roll-over in mid December I'm experiencing huge tick spikes in the Ftse 100 future (symbol LF#). Is that problem already known ? I didn't find anything with the search function. So please are you aware of this issue ? I'm using Multicharts with the implemented QuoteManager as a 3rd party charting software and attached a screenshot to see the spikes on different days. Thanks a lot. Kind regards. Mike Edited by gboos on Jan 21, 2011 at 02:08 AM File Attached: ftse_future(LF#)_spikes1.png (downloaded 1064 times) |
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Stan S -DTN Guru- Posts: 256 Joined: Apr 13, 2006 
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Posted: Jan 21, 2011 07:25 AM
Msg. 2 of 6
Hi Gboos,
I have contacted our Data Integrity dept to check it. I see a few small spikes in the intraday data, but nothing unusual, can you please provide a couple time stamps so we can confirm we are looking at the right areas. Also are you using an intraday chart or daily chart. Any details you can provide will assist us in finding the problems. Stan S What we do today, determines how people remember us forever. Be the positive force in someone life. |
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gboos -Interested User- Posts: 9 Joined: Nov 16, 2009 |
Posted: Jan 21, 2011 07:34 AM
Msg. 3 of 6
Stan,
many thx for your quick reply. These ticks are totally unusual. One example happened today at 12:51:04 exchange time. I'm talking tick charts. Minute charts are effected as well. Regards. Mike File Attached: ftse_future(LF#)_spikes2.png (downloaded 1021 times) |
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gboos -Interested User- Posts: 9 Joined: Nov 16, 2009 |
Posted: Jan 21, 2011 07:36 AM
Msg. 4 of 6
Stan ...
here one more screenshot from today's morning. Mike File Attached: ftse_future(LF#)_spikes3.png (downloaded 1053 times) |
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Stan S -DTN Guru- Posts: 256 Joined: Apr 13, 2006
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Posted: Jan 21, 2011 07:59 AM
Msg. 5 of 6
These spikes are implied trades. Implied trades were blocked in the past , but a few weeks this was changed to allow the implied trades to pass thru.
The exchange always sent these, this was a DTN decision to allow these to pass thru in response to other customers wanting to see these implied quotes. If you have any further questions, please feel free to ask. Stan S What we do today, determines how people remember us forever. Be the positive force in someone life. |
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azzab80 -Interested User- Posts: 1 Joined: Feb 17, 2011 |
Posted: Feb 17, 2011 04:55 PM
Msg. 6 of 6
Today was really bad for these implied trades and it really mucks up a Market Profile chart. They are occurring 30+ ticks outside the bid/ask.
Is allowing implied trades a permanent decision? |
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