I've been trading 1-lots in EuroStoxx50 for a couple of days, as I'm preparing to make a transition into that market from equities (so far going well). I am however wondering about the sometimes sizable trades going on the bid/ask which doesn't seem to be volume lifted from the order book. I know Eurex has a function for doing block trades, but I'm wondering if this volume is for real or if it's just trades messaged into the exchange with the intent of screwing up volume charts and changing market perception. Anyone?
Hrokling,
A couple of weeks ago I saw two x 2000 lots go through within minutes of each other on Time and Sales (and I’m not watching continuously). If you look at the daily volume, you’ll see just how liquid the Stoxx is.
Send me you e-mail address (via pm) and I’ll send you some intra-day data on an Excel sheet.
Grant.
A couple of weeks ago I saw two x 2000 lots go through within minutes of each other on Time and Sales (and I’m not watching continuously). If you look at the daily volume, you’ll see just how liquid the Stoxx is.
Send me you e-mail address (via pm) and I’ll send you some intra-day data on an Excel sheet.
Grant.
Thanks grantx, I'm PM'ing you my email. I know that it's liquid, oh so lovely liquid, but I'm just wondering what's up with these prints. As of now I just ignore them as they don't really seem to impact the market in any way - and that leads me to be somewhat suspicious as to how real these trades are.
A Dashing Blade
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Actually it's Mrs Blade these days, but it's been a favorite instrument of mine for a good while now.
Liquidity kicks off 08.00 london time when the options and the underlying equity markets open and increases steadily to plateau out by around 09.00.
In normal market conditions I'd be gob-smacked if anything less than 5000 lots moved the market more than 2 points.
Liquidity kicks off 08.00 london time when the options and the underlying equity markets open and increases steadily to plateau out by around 09.00.
In normal market conditions I'd be gob-smacked if anything less than 5000 lots moved the market more than 2 points.
A Dashing Blade
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Ahhhh, see know how my post may be open to misinterpretation
Should have read "It's Mrs Blade who is trading at the moment . . ."
Should have read "It's Mrs Blade who is trading at the moment . . ."
A Dashing Blade
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Mrs Blade has that occaisionally with Futuresbetting.com, my best guess atm is internet connection latency.
I'm watching the Eurex orderbook, so it's definitely not latency. I have two theories:
a) It's block trades done outside of the orderbook between two participants where one has requested a quote
or
b) Somehow one can enter iceberg orders and then Eurex has a stupid priority algorhytm where a large iceberg-order in front is scooping up a big order.
(I'm leaning towards the first theory)
a) It's block trades done outside of the orderbook between two participants where one has requested a quote
or
b) Somehow one can enter iceberg orders and then Eurex has a stupid priority algorhytm where a large iceberg-order in front is scooping up a big order.
(I'm leaning towards the first theory)
It's block trades. You can see them on the DAX too. Especially as rollover approaches.
According to the link there are no iceberg orders native to the exchange. InteractiveBrokers simulates iceberg orders, but they will still need to go through the book at execution.
http://individuals.interactivebroke...es.php?exch=dtb&showcategories=&ib_entity=llc
(Click on order types to expand)