T&S on CL

Discussion in 'Energy Futures' started by trader07, Nov 24, 2008.

  1. I've noticed prints on Time & Sales (T&S) in the CL contract of anywhere from 100-5000 contracts usually printed between the B/A. I watch the DOM and never see anywhere near this number bid or offered. I watch the DOM and T&S simultaneously and see these types of prints in T&S but never see them in the DOM. Are these prints outside of CME/NYMEX electronic or something? Why are they being printed as trades in T&S but don't show up in the DOM? What am I missing? Thanks.
     
  2. pit traded orders not factored in?...just a thought
     
  3. bump...
     
  4. "They" would print pit trades on electronic T&S?

     
  5. JackR

    JackR

    Where are you getting your data feed(s)?

    Jack
     
  6. Interactive Brokers

     
  7. I am not sure about CL and Globex, but Eurex allows large private transactions to take place between 2 parties. Once they take place, they will be displayed on T&S. I also think there si some kind of delay, but not sure.
     
  8. I assume they are block trades. For example, I can trade power on Ice on the screen or through a broker.

    Trading through a broker, at least in power usually lets me get more contracts done with less slippage. If I want to buy 10 contracts in power, I'm going to move the market usually, sometimes by a couple of dollars, which can cost 5k in slippage easily.

    Once I match up with someone with a broker, I know I'm at least getting one contract, but some parties are usually willing to trade more.

    After the trade is agreed on, the broker submits the trade to the exchange for clearing.

    That would be my explanation for the large size trades you see coming across the screen, although I might be wrong.

    Power is a beast of its own, and when things get busy in the morning, my trades sometimes don't get sent to the exchange for 30 min to an hour later.
     
  9. JackR

    JackR

    IB does not provide T&S real-time. You must be looking at it "after the fact". Any charting package giving you streaming T&S based on IB's data-stream is showing you an approximation. IB uses a "snap-shot" method of transmitting transaction information. In essence, they sample the data somewhere between 2 to 10 times per seconds (it's hard to pin the real number down) and send out the price at that instant. They don't send price info if there has been no price change but they will send out total volume updates and it is up to your charting software (or TWS) to figure out the difference between the current number and the previous update. It gets more complicated but you get the idea. The price is always the latest they can send you. The DOM (BookTrader) is updated differently for the outside tiers, but the last sale uses the method I explain above.

    Hope that helps a bit. If you do a search here in ET about IB data you'll find much discussion over the years.

    Jack
     
  10. Thanks for your replies. I knew about IB's snapshot quotes. I think RedDuke and thegazelle are probably right, that they are negotiated by two parties and then printed well after the fact. Anyway, I just thought it was curious and was trying to find out what is going on. Thanks again.
     
    #10     Nov 24, 2008