Eurex Newbie Questions....

lindq · Feb 13, 2009

I trade a couple ES systems that I feel may do well with DAX and/or EuroStoxx.

But a couple questions for those of you into Eurex.

1. What are the trading hours in the U.S. Eastern?

2. Are there any problems with spreads, assuming I am not scalping large contracts?

3. I had heard about a mini Dax launching? It is available and being traded?

4. Are there any US exchanges trading any instruments that track the larger Euro indexes during US trading hours? Or does it all need to be done through Eurex?

5. Any other indexes that I should look into outside the U.S.? My systems trade at the daily close, so anything that closes during daylight hours here would be possible for me to engage in.

Thanks for your insights.

garak · Feb 13, 2009

1. What are the trading hours in the U.S. Eastern?

http://www.eurexchange.com/trading/products/IDX/STX/BLC/FESX_en.html?mode=trading_hours
This is Central European Time. Shouldn't be hard to figure out ET.

2. Are there any problems with spreads, assuming I am not scalping large contracts?

I suggest you have a look at market depths. Fdax differs very much from Fesx in volatility and liquidity (around 130k contracts vs. over 1m on daily average).

3. I had heard about a mini Dax launching? It is available and being traded?

Forget about it. When it depends on tick size take Fesx, Fgbl (both 10 Eur), Fgbm, Fgbs or french Fce (5 Eur).

4. Are there any US exchanges trading any instruments that track the larger Euro indexes during US trading hours? Or does it all need to be done through Eurex?

US main trading hours are Eurex Trading hours as well. I don't know if there is anything that tracks European futures in the US. Though correlation between both markets is very high.

5. Any other indexes that I should look into outside the U.S.? My systems trade at the daily close, so anything that closes during daylight hours here would be possible for me to engage in.

My advise would be to screen Eurex traded contracts first. Usually commissions are lower than what you have to pay to CME. Then there is still English Ftse or French Cac40 to throw an eye on and perhaps some Asian markets that might fit your needs. But I don't care about them

lindq · Feb 15, 2009

Thanks for the response, garak.

jimmy s · Mar 17, 2009

Hi,

I have a couple questions that are VERY newbie tainted. So forgive my ignorance

Is it correct to state the following:
When I see a trade printed on the tape on the bid ,ask or between, this can be a limit or a market order that is causing a limit order on the other side to be filled.

There is no way to see the difference between a market or limit order on the tape or DoM (I know market orders are not represented on the DoM, but is there a way to see when a market order has been triggered using the tape and DoM?).

On the eurex website it is stated that all limit orders are aggregated on a certain price. This represents the DoM. Therefore, when a trade is printed the amount of contracts traded can represent many different orders being filled. (for example I see 200 traded at the bid does this mean 1 buy order for 200 contracts has been filled at once, or different orders amounting to 200 have been filled?)

The schatz/bobl/bund/buxl markets are continiuos auction markets.(can anyone recommend a good book on market microstructure discussing the eurex or the eurex market model?)

Other questions:

I have been searching for the official market makers for the schatz bobl and bund, but I have only found info for the market makers for the buxl. Are there official market makers for these three contracts?

Regarding market model, on the eurex website it says âWhen orders and quotes are entered into the central order book, they are sorted by type, price and entry time.â
I donât really comprehend this âprice quotingâ. Who (I assume the market maker?) quotes a price. How is this quote formed ( I mean how does a market maker determine the quote and how does he move a quote up or down? Is this by filling the limit buy or sell orders with his own inventory?). Where can I find more info on market making and how they work (google isnât helping much).

Are there people (brokers/market makers) who can get more DoM than the 10 levels I get to see? If so, is this just the orders from there clients?

I use IB and the IB datafeed and get the tape from amibroker. Is the datafeed giving the correct information/same information as other datafeeds?

Thank you for your help,
Jimmy s.

cvds16 · Mar 17, 2009

you are asking a lot of technical questions here which I wouldn't worry too much about. In futures market makers don't really have obligations to quote like they have in options. Worry more about prices on different tf's than how it is exactly formed: these are just a bunch of buyers and sellers, hard to know exactly why they are buying or selling or in exactly which way, and it ins't important either, the only thing you should worry about is future direction when trading futures. If you really insist on knowing more about this read : http://www.amazon.com/Trading-Excha...bs_sr_1?ie=UTF8&s=books&qid=1237319062&sr=8-1 but I'd suggest you get busy more with thorough technical analysis.

jimmy s · Mar 17, 2009

Thank you for responding to my question.

I saw that you recommended this book on another thread.
Market micro structure does interest me so I'll get it anyway.

I've read a couple of books on technical analysis but they seemed to be very shallow. is there any reading you would recommend?

you said 'Worry more about prices on different tf's than how it is exactly formed'

tf = time frame?

and with 'how it is exactly formed' do you mean why and how the chart's developed how they did?

currently I'm studying everything i can find on reading tape and DoM, and trying to get a lot of screen time.
Is this useful in your opinion for the bund futures market?

jimmy s

cvds16 · Mar 17, 2009

reading the tape and trying to figure out DOM is a big waste of time, there are too many fake things going on.
you need lots of screentime to figure technical analysis out.

cvds16 · Mar 17, 2009

TF = timeframe

garak · Mar 17, 2009

Is it correct to state the following:
When I see a trade printed on the tape on the bid ,ask or between, this can be a limit or a market order that is causing a limit order on the other side to be filled.

No, it is always a market order that leads to a fill on the other side. It is aggressive bying or selling that moves the market. It is stop market orders that can accelerate this process.

There is no way to see the difference between a market or limit order on the tape or DoM (I know market orders are not represented on the DoM, but is there a way to see when a market order has been triggered using the tape and DoM?).

The Depth of Market Tool shows limit orders to a certain depth - e.g. 10. But it also shows market orders (see below).

On the eurex website it is stated that all limit orders are aggregated on a certain price. This represents the DoM. Therefore, when a trade is printed the amount of contracts traded can represent many different orders being filled. (for example I see 200 traded at the bid does this mean 1 buy order for 200 contracts has been filled at once, or different orders amounting to 200 have been filled?)

There is always at least one seller and one buyer. That doesn't mean there can't be one seller (market 200) and different buyers (limit bid). If your data feed is good, you should see every single tick that is not too fast for you eyes.

Are there official market makers for these three contracts?

There are official market makers for products that are new and need liquidity. Afaik there is no mm for the big futures like fesx, fgbl etc.

Are there people (brokers/market makers) who can get more DoM than the 10 levels I get to see?

Eurex terminal users see more than 10 levels. Some brokers only let you see 5 levels deep. Just depends on price.

Quote from cvds16:
reading the tape and trying to figure out DOM is a big waste of time, there are too many fake things going on.

jimmy s · Mar 18, 2009

Quote from garak with reply from jimmy s:

Is it correct to state the following:
When I see a trade printed on the tape on the bid ,ask or between, this can be a limit or a market order that is causing a limit order on the other side to be filled.

No, it is always a market order that leads to a fill on the other side. It is aggressive bying or selling that moves the market. It is stop market orders that can accelerate this process.

=>so it isn't possible to buy limit on the ask? for example, is see 50 on the ask and send a 75 order to buy on this ask, this order always has to be a market order.
but can i change the attributes of this order so the remaining 25 don't get filled on the ask above? so that in a way i am limiting the fill of the 75 order to one price.

There is no way to see the difference between a market or limit order on the tape or DoM (I know market orders are not represented on the DoM, but is there a way to see when a market order has been triggered using the tape and DoM?).

The Depth of Market Tool shows limit orders to a certain depth - e.g. 10. But it also shows market orders (see below).

=> I do not understand this. how is a market order represented on the DoM?
isn't the definition of a market order that it is executed immediately upon submission?

On the eurex website it is stated that all limit orders are aggregated on a certain price. This represents the DoM. Therefore, when a trade is printed the amount of contracts traded can represent many different orders being filled. (for example I see 200 traded at the bid does this mean 1 buy order for 200 contracts has been filled at once, or different orders amounting to 200 have been filled?)

There is always at least one seller and one buyer. That doesn't mean there can't be one seller (market 200) and different buyers (limit bid). If your data feed is good, you should see every single tick that is not too fast for you eyes.

=> so a single tick represents a trade between orders, not aggregated orders? if my datafeed is good enough i can see this.

Are there official market makers for these three contracts?

There are official market makers for products that are new and need liquidity. Afaik there is no mm for the big futures like fesx, fgbl etc.

=>this answer i understand

Are there people (brokers/market makers) who can get more DoM than the 10 levels I get to see?

Eurex terminal users see more than 10 levels. Some brokers only let you see 5 levels deep. Just depends on price.

=>do you mean the price of the datafeed? and how do i find out who offers more than the 10 levels i have?