Block Trading Begins on Treasury futures & options and Fed Funds

Discussion in 'Financial Futures' started by Bernard111, Jan 27, 2008.

  1. What will happen to the new 5+5 market depth + reduced tick value on 5Y and 3Y with this new possibility to hide large transactions in realtime (to be reported only later)?

    "The date, execution time, contract details, price and quantity of block trades are reported upon receipt of the block information by GCC. Block trade information is reported on the MerQuote system and may be accessed by entering the code “BLK”. The information will also be displayed on at the following link:

    Block trade information is also displayed on the trading floor.

    Block trade prices are published separately from transactions in the regular market.

    Block trade volume by contract is detailed in the daily volume reports published by the Exchange."

    Oh, to play the game, 'they' have to a $.75 surcharge for block trades...

    - B.
  2. Im not sure I understand completely what you are talking about. Could you further explain what this is all about?

    This has been the first night I have watched US treasuries on a 5 deep orderbook and I don't like it at all. There isn't enough information when the orderbook is 5 deep imo but what are you gonna do? Im just glad eurex is 10 deep.

  3. Here are other details:
    To better facilitate the execution of large transactions by futures and cash market participants and harmonize the trading rules between CME and CBOT interest rate products, CME Group also announced that it will begin allowing block trades for the first time ever for certain CBOT interest rate products

    Effective January 28, 2008, block trading will be permitted in CBOT U.S. Treasury and 30-Day Fed Funds futures and options subject to the minimum block quantity thresholds reflected in the tables below and the conditions set forth in Rule 526 ("Block Trades") and in this advisory.


    For formatted info:
  4. So basically just another way to screw the small guy.

    Fucking thing you know they will make the treasury futures pro rata!

    Im anxious to hear how everybody is getting along with the 5 deep orderbooks now? I trade eurex which is 10 deep so im just wondering if many people are finding it hard to trade a 5 deep book.

  5. Thanks Bernard;

    Easy to see how this will change the game for the intraday IR futures and options traders. T&S and last means nothing. WOW! The first policy negative I've seen regarding the cme/cbot integration.

  6. Surdo


    I have to read a 1000 lot will be "offboard" now and not print, from what I understand?

  7. It's a 5,000 lot minimum. 3000 for 30 yr.
  8. This of course is a horrible idea.
  9. <i>"Im anxious to hear how everybody is getting along with the 5 deep orderbooks now? I trade eurex which is 10 deep so im just wondering if many people are finding it hard to trade a 5 deep book. "</i>

    Means nothing to me... depth of market and/or volume in ES, ZB, any symbol is irrelevant for my trade decisions. Measurement of price action alone confirms where the market is going, with the inherent understanding that big orders are pushing it there.

    The car I drive does not have a tachometer to measure engine rpms (contract size) but it does have a speedometer (price action on a chart) that keeps me up to speed :cool:
  10. What this means Austin is that institutions now have a significant advantage over you especially if you trade that market on a short term basis.

    It means they can hide their trade from public participants and position themselves "in front" of the public (just my opinion).

    Finally it means that the public record of what trades is worthless.

    Frankly at this point I am glad I am not competing in this market. In my opinion unless a retail trader is buying debt as a long term investment, they are going to be cannon fodder.
    #10     Jan 27, 2008