Checking my charts from the FOMC last night and I have a data outage for the bunds right after the release. Was there a marketwide outage or is this my system?
yep it was perfectly timed when liquidity was most needed. obviously our dear algo liquidity providers were nowhere to be seen. hopefully they will will all die along with their own children so they can no longer cheat there way round these markets. vol interuption. what a pathetic exchange eurex is.
So these days a 30 tick jump is enough to stop the market temporarily because of lack of liquidity? Does anyone know how they determine when enoughs enough?
the eurex algorithm for volatility interuptions is apparently 30 ticks. thats the same for bobl as well. basically its an admission there is no depth in the order book any more and the supposed liquidity you see is an illusion. hence this must be the 4th closure inside of 2 months. the worrying thing is if there is any real life changing news that is terrorism or policy changes etc all that is going to happen is eurex will close and relocate 3 big figures higher or lower. absolute joke.
Yeah it shut at 130.40 then reopened on auction a few minutes later at 130.33. The vol stop is based on how many lots trade per number of prices moved rather than a fixed number of prices, there were about 5 - 20 lots at each price yesterday evening but it went down to 1-3 lots about 20mins after, never seen it so thin
So basically Eurex is becoming really dangerous to trade nowadays.If there is a serious worldwide incident then you're screwed. How the hell did they let it get this way?
Everyone I know that traded it has abandoned it. I've seen several of these interrupts lately, and a couple weren't event driven, just a stop run with no depth to absorb it. Hey Beaker, Do you track open interest on these?
The decrease in Eurex FI futures volume has been coincidental with the decrease in US FI futures volume over the past couple of years, although Eurex volume has decreased a bit more. One thing to be aware of is that generally Europe is pretty much "gone" for most of August and December. You can pull up a volume chart and verify the dips in trading activity each year around these months.
as i said before i think the volume traded is a bad indicator as most of it is crossed up nonsense. the real figure to look at is product fee income on a month to month basis plotted against the volume then you can work out what is crossed and what is genuine.