Yep, thats probably it.
The counterparties must have negotiated the price and volume OTC; there are min. volume requirements for these "block trades". On Eurex they aren't reported immediately either.
As for why, it's probably for mkt stability. Orders of BIG size often trade at a price discounted to the market at the time. If traders see huge size going through at prices further up/down the orderbook things might get a bit choppy; and putting through a trade of Block size without moving the market requires a great deal of skill, infact I believe execution only traders are carving a niche for themselves.
A EURIBOR or Short Sterling trader will be able to tell you the regs for definate, which I am not.
The counterparties must have negotiated the price and volume OTC; there are min. volume requirements for these "block trades". On Eurex they aren't reported immediately either.
As for why, it's probably for mkt stability. Orders of BIG size often trade at a price discounted to the market at the time. If traders see huge size going through at prices further up/down the orderbook things might get a bit choppy; and putting through a trade of Block size without moving the market requires a great deal of skill, infact I believe execution only traders are carving a niche for themselves.
A EURIBOR or Short Sterling trader will be able to tell you the regs for definate, which I am not.
Mr Gecko,
On Eurex fixed income futures, a lot of trades as small as 25-30 lots don't seem to go through the order book. I'm sure these can't be block trades (min size for Eurex is generally 1000) but I've no idea why they happen. Today I saw a 1000 lot trade at the offer (bund). This is the first time I've seen this size traded in the book; they're usually block trades this size.
Grant.
On Eurex fixed income futures, a lot of trades as small as 25-30 lots don't seem to go through the order book. I'm sure these can't be block trades (min size for Eurex is generally 1000) but I've no idea why they happen. Today I saw a 1000 lot trade at the offer (bund). This is the first time I've seen this size traded in the book; they're usually block trades this size.
Grant.
Grant,
as you know these FI and STIR contracts are new to me; How can you tell the 25-30 lot trades aren't showing up on the T&S? Are their prices off the Bid/Offer at the time? Where do you find that out from?
And as for the 1,000 lot trade, maybe it was a spoof getting hit ? Ouch
as you know these FI and STIR contracts are new to me; How can you tell the 25-30 lot trades aren't showing up on the T&S? Are their prices off the Bid/Offer at the time? Where do you find that out from?
And as for the 1,000 lot trade, maybe it was a spoof getting hit ? Ouch
Mr Gecko,
I though it could be a spoof as well. Serve the basttard right.
The 25-30 lots are showing up on the T&S but not the book. For example, the last trade may be a 5 lot sold shown on the DOM and also on T&S. Frequently, you will get the last trade (5 lots) on T&S but also, eg 25 lots sold after the 5 lot which doesn't appear on the price ladder (DOM). This happens even in slow markets so it isn't the case of the DOM failing to keep up.
I'll try and record an example tomorrow.
Grant.
I though it could be a spoof as well. Serve the basttard right.
The 25-30 lots are showing up on the T&S but not the book. For example, the last trade may be a 5 lot sold shown on the DOM and also on T&S. Frequently, you will get the last trade (5 lots) on T&S but also, eg 25 lots sold after the 5 lot which doesn't appear on the price ladder (DOM). This happens even in slow markets so it isn't the case of the DOM failing to keep up.
I'll try and record an example tomorrow.
Grant.
on eurex option min block size is 50 lots believe it or not.
grant is correct-there is a min vol on block sizes depending on strategy. as long as trader can provide audit trail that deal was sttruck (time stamps etc) then block needn't be put through right away. same with guaranteed crosses/regular corsses. also your price has to be between the bid and offer shown on screen after rfq.
as for transparency-the knock on effect of a trade going through, although it may not be seen on screen. is generally reflected in market-maker pricees.
grant is correct-there is a min vol on block sizes depending on strategy. as long as trader can provide audit trail that deal was sttruck (time stamps etc) then block needn't be put through right away. same with guaranteed crosses/regular corsses. also your price has to be between the bid and offer shown on screen after rfq.
as for transparency-the knock on effect of a trade going through, although it may not be seen on screen. is generally reflected in market-maker pricees.
Mr Gecko,
Please refer to attached file. Last Trade size at 193 (highlighted); but note last size in left column above 193 ( This is not as small an example as I indicated above but it is below the minimum size for block trades. Perhaps these are cross-trades as Goose commented.
Goose,
Note fixed income derivatives and equity index options:
Eurex - Block Trades
“then block needn't be put through right away.”
But the time it appears on T&S will be reflected in charts but more controversially, in the volume. For example, 1000 lot block shows on T&S at 12:30, volume on chart at 12:30 will include this 1000. The trade may be 1-hour or 5-minutes old so any price/volume assumptions or interpretations will be incorrect.
On a seperate note, seems every size in the bund book over 1000 is a spoof these last couple of days. It's really getting on my nerves.
Grant.
Please refer to attached file. Last Trade size at 193 (highlighted); but note last size in left column above 193 ( This is not as small an example as I indicated above but it is below the minimum size for block trades. Perhaps these are cross-trades as Goose commented.
Goose,
Note fixed income derivatives and equity index options:
Eurex - Block Trades
“then block needn't be put through right away.”
But the time it appears on T&S will be reflected in charts but more controversially, in the volume. For example, 1000 lot block shows on T&S at 12:30, volume on chart at 12:30 will include this 1000. The trade may be 1-hour or 5-minutes old so any price/volume assumptions or interpretations will be incorrect.
On a seperate note, seems every size in the bund book over 1000 is a spoof these last couple of days. It's really getting on my nerves.
Grant.
Grant,
Attached is a screenshot of T&S from my the Tenfore feed; note the black trades marked T EUREX; I don't know what they are, but they must be something different to regular trades that go through the orderbook, how exactly I dont know. Maybe this 185 lot is one of them? I didn't see any on your T&S.
(If you look at the volume of the deals going through, it seems i managed to hit the "print screen" key just as something was happening; a flip or spoof getting hit again?) Times are GMT + 1hr.
I would like to ask you about the figure -1 highlighted in green on your DOM @ 115.20. What does this represent? The reason I ask, is that I thought it might be useful to find a DDE or RTD formula that could show the changes in bids and offers up and down the book. The intention is that it might help in spotting spoofers pulling their orders (provided they remain the same size). Just food for thought.
Attached is a screenshot of T&S from my the Tenfore feed; note the black trades marked T EUREX; I don't know what they are, but they must be something different to regular trades that go through the orderbook, how exactly I dont know. Maybe this 185 lot is one of them? I didn't see any on your T&S.
(If you look at the volume of the deals going through, it seems i managed to hit the "print screen" key just as something was happening; a flip or spoof getting hit again?) Times are GMT + 1hr.
I would like to ask you about the figure -1 highlighted in green on your DOM @ 115.20. What does this represent? The reason I ask, is that I thought it might be useful to find a DDE or RTD formula that could show the changes in bids and offers up and down the book. The intention is that it might help in spotting spoofers pulling their orders (provided they remain the same size). Just food for thought.
Attachments
Mr Gecko,
The ones in black are trades (seems ME doesn't differentiate buys and sales); the bid/asks are sizes at current bid/ask.
As you can see on my example, the figures at left are the sizes (red = sale, blue = buy); I don't use the time or price I'm just interested in size. The figure in green represent an order, ie 1 lot short, indicated by the minus sign.
Re DDE's, I've done this extensively and there is absolutely nothing I can find which gives an edge. Of course, this is not to say others may not find something. I'll see if I can find an example and post here.
Grant.
The ones in black are trades (seems ME doesn't differentiate buys and sales); the bid/asks are sizes at current bid/ask.
As you can see on my example, the figures at left are the sizes (red = sale, blue = buy); I don't use the time or price I'm just interested in size. The figure in green represent an order, ie 1 lot short, indicated by the minus sign.
Re DDE's, I've done this extensively and there is absolutely nothing I can find which gives an edge. Of course, this is not to say others may not find something. I'll see if I can find an example and post here.
Grant.
