Discussion in 'Trading' started by NickBarings, Jul 29, 2006.
Anybody has some statistical correlation data between
the spikes of those 2 products ?
Your venturing into correlations...smart 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.
I was forwarded this in regards to the Spikes . . .
For a while now, the CME Euro/US Dollar exchange rate
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
www.marketgeometrics.com. 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
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
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
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
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...
Around major economic news releases, EUR/USD and bund should spike inversely, but beyond that they are pretty much two separate markets.
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.
Separate names with a comma.