Correlation between spikes of BUND and EUR/USD

Discussion in 'Trading' started by NickBarings, Jul 29, 2006.

  1. Anybody has some statistical correlation data between
    the spikes of those 2 products ?
  2. Your venturing into move.

    just observe them, they do not need to make sense. It's a whole new world.

    *I have looked at some excel spreadsheets that would just blow your mind. But cannot share as they are not mine.

  3. I was forwarded this in regards to the Spikes . . .


    For a while now, the CME Euro/US Dollar exchange rate
    contract has
    experienced price spike ticks each trading day. I have
    seen and understood
    these same price spikes to have been occurring on
    other CME currency futures
    contracts but I am more unfamiliar with the details
    for these other cases. I
    have seen the problem on the NeoTicker, eSignal, and
    Ensign platforms. And
    at the thread noted below, it's clear that the problem
    is occurring on the
    Tradestation platform as well.

    I work with a gentleman some of you may know or have
    heard of: Tim Morge of Tim and I were discussing
    this EC price spike
    problem on our platforms and, after reading the TS
    Forum thread noted above,
    I told Tim that the problem was independent of
    platform and data feed and
    most likely was created by the CME itself.

    Well, on hearing that, Tim went immediately and spoke
    with one or more very
    senior CME executives. (I posted briefly and
    amorphously about this in the
    TS Forum thread noted above. I didn't mention Tim's
    name at that point but I
    now have his permission to do so on this issue in this

    Within the last 3 hours, Tim received a call to attend
    a meeting with CME
    executive stakeholders on this price spike issue
    within the next 24 hours.
    Meetings can always be rescheduled but I'm told it
    will happen tomorrow
    morning. I won't repeat the list of specific
    management titles who will be
    at the meeting because I don't want to inadvertently
    feed you incorrect
    information. But let me say this... All the CME
    organization titles who
    ought to be at the meeting are going to be there.

    As I understand it, the CME is clear that the price
    spike ticks on the
    currency contracts is begin generated by them (the
    CME). As I understand it,
    there might be a feeling by some at the CME that
    dealing with these price
    spike ticks is the responsibility of data and trading
    platform vendors.

    Tim has been encouraged (well, actually "told" now
    that he got involved in
    it) to bring documentation and other information
    related to the issue to
    share with these CME executives/managers.

    Now I had told Tim that the forums were full of folks
    upset about these
    price spikes.

    Guys and gals...

    This is a terrific thing that the CME is doing. It's
    an opportunity for
    users of CME realtime market information to
    communicate with senior CME
    executives about how important market data integrity
    is to our trading and
    our lives.

    What we have is THE meeting on data integrity issues
    that we'd like to
    have... How important is data integrity to you?

    What needs to be done?

    I'm going to prepare a table of
    Date/Hour/Minute/Second of the price spikes
    for the Euro Currency contract for the last month.

    I'm also going to prepare screen shots of NeoTicker
    charts showing these
    price spikes.

    Tim and I are hoping that a few Tradestation users
    might be concerned with
    this issue enough to prepare similar data tables and
    chart screen shots of
    the impact of the price spikes for Tradestation. Tim
    will be presenting
    these materials to meeting participants.

    I'm going to focus on the Euro Currency and it would
    be helpful if there
    were other symbol examples.

    Why charts? Why not just data tables? Well, the point
    is to illustrate how
    harmful these price spikes can be to market analysis
    and trading and data in
    tables doesn't do that harm caused justice.

    You should also feel free to write a bit about your
    concern for the data
    integrity issue in a PROFESSIONAL and COURTEOUS tone.
    non-professional notes will be tossed.

    I'm going to integrate the materials sent about this
    issue based on this
    post and others I make to other forums. Tim will be
    making final decisions
    about what specific content gets presented during the
    meeting and to meeting

    We got the meeting we wanted with the people who
    control the integrity of
    the data important to us. This kind of opportunity
    doesn't arise every day.

    My view is that it's time to put up or shut up.

    I wish there was more time to assemble these
    materials. There isn't. I
    promised Tim I'd have these materials to him by 7am
    Central Time tomorrow
    morning so he has time for review.

    Feel free to post questions in this thread. I will
    answer as best I can. You
    can also PM me in this forum and I'll check tonight
    for PMs frequently in
    the next 18 hours.

    Send ONLY finished, professional looking materials to
    me at cmePriceSpikes

    Let the CME know how important their data integrity
    related activities are
    to your life.

    Yes. It's me...

    -- aspTrader"
  4. Around major economic news releases, EUR/USD and bund should spike inversely, but beyond that they are pretty much two separate markets.
  5. At the bottom of this post is the latest. To summarize, apparently the CME agrees the Euro FX spikes are their problem and they basically know that a change they made for spread trading is causing it. They are working on fixing it.