Tape/Time and Sales: why actual trades do not decrease bid/ask sizes?

August 20th, 2012, 07:11 AM

Hi,

I have a question related to the Time & Sales (the "tape").

The tricky point is that this question may be related to:
- understanding of the tape,
- EUREX data
- IQFeed fata
- Sierra Chart platform
... I don't know...

The context is:
- Instrument: DAX at EUREX
- Data Feed: DTN IQFeed Level I
- Platform: Sierra Chart.

With DTN IQFeed Level I for EUREX, I have access to 1-tick data.
But also to the whole Time & Sales (the "tape") including the updates of best bid / best ask between actual trades.

I expected that, when 1 contract is traded on the bid, the bid size decreases by 1. But it is not the case in the below sequence (and it always happen this way):

Quoting

Update without trade: Price = 7070.0 - AskSize = 12 - BidSize = 3 | 2012-08-20 12:54:00
New trade at the BID: 1 @ 7070.0 - AskSize = 12 - BidSize = 3 | 2012-08-20 12:54:00
Update without trade: Price = 7070.0 - AskSize = 1 - BidSize = 3 | 2012-08-20 12:54:00

There was 1 contract traded on the bid, but the BidSize remained 3 without decreasing to 2.

Do you see any reason for that?
EUREX does not emit all changes, but just snapshots?
IQFeed does not emit all changes, but just snapshots?
I have not understood something about the tape?
Etc.

Thanks in advance for your help

Nicolas

Jigsaw Trading · August 20th, 2012, 08:20 AM

Usually, it's because someone added in a new order.

August 20th, 2012, 08:22 AM

Thanks @DionysusToast

So, in the data coming from the exchange, there is/could be an aggregation between the liquidity taken out by a trade and liquidity added at the same time (?) by new limit order coming at the same price?

Jigsaw Trading · August 20th, 2012, 08:24 AM

Well - that depends, are you looking at the individual L1/L2 messages or just watching the action?

August 20th, 2012, 08:27 AM

Individual L1 messages.
(DTN IQ Feed Level1 feed for EUREX provides updates of best bid/best ask between actual trades, as shown in the 3 quoted lines above).

Jigsaw Trading · August 20th, 2012, 08:53 AM

In that case, I'm not sure.

Eurex is a bit different in how it reports L1 than CME/CBOT/ICE.

What I have found in the past is that if you reach out to them via the contact form on their web site, they will take time to answer your questions.

August 20th, 2012, 08:59 AM

Thanks for this suggestion.

I am first going to ask DTN IQFeed. If necessary, I will directly ask EUREX.

Nicolas

Jigsaw Trading · August 20th, 2012, 10:01 AM

Great - let us know the reply, I'd be interested. It is a little odd if it's the norm.

August 20th, 2012, 10:48 AM

I have made a similar test with YM @ CME, for which I have both Level I and Level II through DTN IQFeed.
Seems "normal", as illustrated here-below.

The numbers between [] are the ID numbers of the messages in the feed (to be sure that I have not missed any).
EDIT: Actually, there are some holes in the ID sequences below. And it is normal according to Sierra Chart ( reference).

There are two cases.

1st case: the trade(s) do(es) NOT take all the liquidity at the level. Then next bid/ask update reflects the decreasing liquidity.

Example: 1 trade at the ask

[128935] Update without trade: Ask = 18 @ 13215 - Bid = 8 @ 13214 | 2012-08-20 16:36:38
[128936] New trade at the ASK: 1 @ 13215 - Ask = 18 @ 13215 - Bid = 8 @ 13214 | 2012-08-20 16:36:38
[128937] Update without trade: Ask = 17 @ 13215 - Bid = 8 @ 13214 | 2012-08-20 16:36:38

Example: 2 trades at the bid

[127848] Update without trade: Ask = 22 @ 13212 - Bid = 11 @ 13211 | 2012-08-20 16:36:01
[127849] New trade at the BID: 2 @ 13211 - Ask = 22 @ 13212 - Bid = 11 @ 13211 | 2012-08-20 16:36:02
[127850] New trade at the BID: 1 @ 13211 - Ask = 22 @ 13212 - Bid = 11 @ 13211 | 2012-08-20 16:36:02
[127851] Update without trade: Ask = 22 @ 13212 - Bid = 8 @ 13211 | 2012-08-20 16:36:02

2nd case: the trade(s) take(s) ALL the liquidity at the level. Then next bid/ask update reflects the up/down tick

Example: 1 trade at the bid

[127061] Update without trade: Ask = 23 @ 13212 - Bid = 1 @ 13211 | 2012-08-20 16:35:58
[127062] New trade at the BID: 1 @ 13211 - Ask = 23 @ 13212 - Bid = 1 @ 13211 | 2012-08-20 16:35:58
[127063] Update without trade: Ask = 23 @ 13212 - Bid = 32 @ 13210 | 2012-08-20 16:35:58
[127064] Update without trade: Ask = 23 @ 13212 - Bid = 30 @ 13210 | 2012-08-20 16:35:58
[127065] Update without trade: Ask = 23 @ 13212 - Bid = 29 @ 13210 | 2012-08-20 16:35:58
[127066] Update without trade: Ask = 24 @ 13212 - Bid = 29 @ 13210 | 2012-08-20 16:35:58
[127067] Update without trade: Ask = 25 @ 13212 - Bid = 29 @ 13210 | 2012-08-20 16:35:58
[127069] Update without trade: Ask = 27 @ 13212 - Bid = 29 @ 13210 | 2012-08-20 16:35:58
[127070] Update without trade: Ask = 2 @ 13211 - Bid = 29 @ 13210 | 2012-08-20 16:35:58

The green part illustrates a very short-term "liquidity vaccum": we have to wait 5 messages until the bid/ask spread reduce to 1 tick.

Example: 2 trades at the ask

[127673] Update without trade: Ask = 3 @ 13210 - Bid = 37 @ 13209 | 2012-08-20 16:36:00
[127675] New trade at the ASK: 1 @ 13210 - Ask = 3 @ 13210 - Bid = 37 @ 13209 | 2012-08-20 16:36:00
[127676] New trade at the ASK: 2 @ 13210 - Ask = 3 @ 13210 - Bid = 37 @ 13209 | 2012-08-20 16:36:00
[127677] Update without trade: Ask = 28 @ 13211 - Bid = 37 @ 13209 | 2012-08-20 16:36:00
[127678] Update without trade: Ask = 26 @ 13211 - Bid = 37 @ 13209 | 2012-08-20 16:36:00
[127679] Update without trade: Ask = 26 @ 13211 - Bid = 39 @ 13209 | 2012-08-20 16:36:00
[127680] Update without trade: Ask = 24 @ 13211 - Bid = 39 @ 13209 | 2012-08-20 16:36:00
[127681] Update without trade: Ask = 21 @ 13211 - Bid = 39 @ 13209 | 2012-08-20 16:36:00
[127682] Update without trade: Ask = 20 @ 13211 - Bid = 39 @ 13209 | 2012-08-20 16:36:00
[127683] Update without trade: Ask = 19 @ 13211 - Bid = 39 @ 13209 | 2012-08-20 16:36:00
[127684] Update without trade: Ask = 18 @ 13211 - Bid = 39 @ 13209 | 2012-08-20 16:36:00
[127685] Update without trade: Ask = 18 @ 13211 - Bid = 2 @ 13210 | 2012-08-20 16:36:00

(Time is GMT+2)

Nicolas

Tape/Time and Sales: why actual trades do not decrease bid/ask sizes?

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Tape/Time and Sales: why actual trades do not decrease bid/ask sizes?