Need details about tick data on ESTX50 (Nov 11)

Discussion in 'Data Sets and Feeds' started by x-or, Nov 11, 2002.

  1. x-or


    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 :D
    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.
  2. BKuerbs


    Your time is UK-Time?

    Here is an excerpt from CQG Time&Sales. It is a bit curious, because it shows a trade a 2411, but no size. Anyway, in my experience during spikes IB shows more data than the usual quote vendors.


    Bernd Kuerbs
  3. coops


    x-or, not sure what time your trade was exactly..... in CET time (ie local time). My IB executions are 6 hours behind CET ie IB executes at 3:04 (NY time) which is 9:04 CET.

    The only time on the 11th at 10 minutes past that is around the 2410 price seems to be at 11:10, so here is the Tick chart and T&S for that time.... from IRD datafeed.

    Hope this is what you were looking for...

    ps today had a Stop hit yet didn't see the trade at that price on TWS or in my IRD tickchart or time and sales..... :( , oh well.
  4. buret


    I can confirm this has happened to me while trading the DAX. I work with a pro firm at the Merc, and we use CQG. On a number of occasions, I got very good fills that did not show up on the CQG screen (for instance buy a low at 3100 and the low shown on CQG for this period of time is 3103). I always discounted this as a data feed error though...
    Bottom line: I would not blame this on IB or whoever you use as a quote provider
  5. x-or


    Sorry about the confusion : the time reported in my execution line is "IB time" wich leads European time by 1 hour. It was 09:10 in France.

    I already compared IB quotes with other data feed before and my conclusion is that data providers doesn't show more trades than IB (sometimes less).
    Missing ticks are probably due to Eurex and not to the providers.

    What you tell me here confirms my guess.

    Coops. Having a stop being touched without seeing it happens to me time to time.
    At first I didn't like that at all, but now I just know that there could be some trades near the bid/ask and integrate that in my trading (widening my stop / buy under the bid / sell above the ask).
    As you can see, good things could happen as well.
  6. BKuerbs


    From an older post, an explanation for the differences:

    Eurex maintains two classes of data feeds: a member data feed and a quote vendor data feed (for eSignal, CQG and the like). The member data feed is used by the exchange members for trading and so has highest priority.

    IB is -via Timberhill- a member of Eurex and distributes its member feed to its customers. Even when the refresh rate of this feed is clipped down, it is usually faster than any quote vendor feed. Some time ago a breakdown of the quote vendor feed happened while the member feed continued to work. IB showed quotes, I could place trades, while all quote vendors did not display any data.

    Comparing IB to CQG they usually run in sync. But when the pace accelerates, IB will deliver more ticks. The ticks for the quote vendors will be lumped together (at the Eurex) and show single large ticks.


    Bernd Kuerbs