I already talked about that fact in another thread : Eurex doesn't report every trades because of a process called netting. For that reason, one should know that there could be some fast trades that we never see on bid/ask/last prices. This morning luck was on my side : I got a very good fill on the ESTX FESX DEC 02;BOT;1;2410.00;08:10:02;20021111;DTB; During this spike, IB quotes didn't report any trades under 2415. I don't mind much because I know that i miss some trades, especially during fast moves. But having a fill 5 pts under the lowest (reported) price is weird... As I don't have any other data feed I'd like to get some help from you guys who have some : could you tell me if your data feed reports some prices around 2410 at this time ? Thank you.