Price, volume seperation, DOM

[grantx]

Assume your looking at a bar chart with volume showing a rise of 10-points on 2000 lots.
Reasonably, one could assume buyers predominated.

Now look at the DOM and Time and Sales. There are 10 lots on the bid, 10 lots on the offer. 10 lots are sold and the price ticks down. The next trade, as shown on T&S is a 1000 lots sold. However, this hasn't gone through the book/DOM and the price is unchanged, but it is added to the voluime on the chart. Therefore, it's contribution to price change is false.

The frequency of these "off-exchange(?)" trades seems to be increasing, and with decreasing sizes. I saw a 30-lot go through "ex-book" today (Stoxx or Bobl - can't remeber which). This leads to a distortion of the market picture and therefore questionable interpretation (as if spoofing wasn't bad enough).

Can someone explain how and why this happens? I presume it's between two members but why is it done? If your selling, your trade will add pressure to the downside.

Grant.

 

[dcraig1]

Here is a little info from Eurex web site:

Eurex - Block Trades

On DAX these block trades are far more frequent in the couple of weeks before rollover - something to do with spreads I think.

A proper data feed should flag them as bock trades - I don't know if the Eurex feed does. IB feed from TWS doesn't.

 

[grantx]

Dcraig,

Thank you for the info:

Min trade for fixed income futures is 2000 - 4000; Stoxx futures is 1000.

As I said, the lots I'm seeing are much smaller. I'll try to capture an image and post it.

Grant.

 

[grantx]

Please refer to attachment.

This is for the Bobl. According to the price ladder, the last trade was a 138 lot buy (at 110.110). However, according to the last trades column at left, the last trade is shown as a 179 lot sale.

Grant.

Attachment next post.

 

[grantx]

Attachment.