Attached is a display of @EUZ13 for several hours this morning. You can see that from time to time a trade came through with a price value of 1.3420, which was somewhat distant from the concurrent trading range of 1.3445 to 1.3480. We didn't observe this on any of the other contracts we watch. This has actually been happening for a couple of days. Any idea what's happening?

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Eric

Eric
I need a little more information on the charting that you are using I have attatched a chart I just pulled and they are not quite the same. If your software stores the data you will need to clear that data and then refresh from the datafeed.
Let me know how I can help
Loren

Attached is a sample Q record that came through a short while ago, along with a list of the fields I receive. The record is for a change in the 'Bid', but you will note that the 'Most Recent Trade' field contains the value 1.3461, which is the value in the 'Close' field and is this morning's recurring problem-value: @EUZ13 was trading over 1.3500 at the time.

Since not all changed fields are flagged in the 'Message Contents' field, I check for changes in all fields on each record. There seems to be no reason to randomly change the 'Most Recent Trade' field to the 'Close' simply because the 'Bid' has changed.

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Eric

Hello Eric,

Sorry we didn't get this earlier, what is happening here is you are receiving, trades of different types. In this particular case, you are seeing implied trades that come in off of the spread markets. Many software packages give the ability to filter these out, or if this is for your personal product you could implement the same. I'll be in chat if you have questions on it.

An example of one of these is given below.

10:27:27.043 2013-11-22 1.3525 1 1.3524 1.3525<< 109820 0 0 6324480 Trade CME_GBX REGULAR
10:27:27.043 2013-11-22 1.3525 2 1.3524 1.3525<< 109819 0 0 6324479 Trade CME_GBX REGULAR
10:27:26.945 2013-11-22 1.3461 25 1.3524 1.3525 109817 0 0 6324478 Other Trade CME_GBX IMPLIED
10:27:24.613 2013-11-22 1.3525 2 1.3525<< 1.3526 109792 0 0 6324423 Trade CME_GBX REGULAR
10:27:24.612 2013-11-22 1.3525 2 1.3525<< 1.3526 109790 0 0 6324419 Trade CME_GBX REGULAR

Tim,

The software I am using is my own, so I can do pretty much whatever I want. I only need to understand what's in the data so I can decide how to handle it. I do understand that the implied trades are coming from spreads, but what I don't understand is why the @EUZ13 leg of the spread would be trading at yesterday's closing price. I assume the Trade Size value is valid for the spread, but the Total Volume doesn't seem to be affected by it. But if I filter out implied trades such as this one, what about the Bid change? or any other change that might come through with it?

Eric

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Eric

Eric,

As to why the numbers are what they are I do not know , but it appears the current price of @EUZ13-@EUH14 is .001 and the current price of @EUH14 is 1.3462 so subtracting the price of the spread from the second contract, appears to equal the price of the first contract, 1,3461. So it seems to be all pricing accurately, matching the close from yesterday would only be true if the math works out this way as it has the majority of the time the last two days.

The volume is affected by the spread trades and will increment according to what is sent on the underlying contract.
Time Tick Vol Total Vol
11:34:58.912 2013-11-22 1.3461 1 122453
11:34:58.912 2013-11-22 1.3461 2 122452
11:34:58.912 2013-11-22 1.3461 5 122450
11:34:58.908 2013-11-22 1.3541 5 122445

As to the bid and ask, they are whatever is the most current bid and ask we have in our system for that contract at the time of the spread trade for the symbol being watched.

Tim

Tim,

Your explanation makes perfect sense. I missed the fact that the Trade Size of these records is reflected in the Total Volume field.

It seems to me that for my purposes it is best to process these "Implied" records for the Trade Size and Total Volume, and for anything else flagged in the Message Contents field (as was the Bid this morning); but to ignore the Most Recent Trade field, since its disconnect from the price of "Qualified" trades can produce such a bizarre appearance (to say nothing of its effect on calculated indicators).

Does that seem like a reasonable approach to you? Or might the Message Contents field also still hold the same value as in the previous "Qualified" record, so that it doesn't reflect anything about the "Implied" record?

Thanks for your help!

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Eric

I think your approach does make sense. The contents will certainly update as well, so it should be pretty straight forward I think. Let me know if you have any questions though.

Tim