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Is there really anyone who prefers a half tick shaz?
- Thread starter thecrow
- Start date
By "upstairs market" I mean large block trades between large players that are never shown on the bid/ask you see for fear of moving the market. I seems that eurex allows trades to be negeoaited outside the system and then send them to eurex for clearing and reporting.
I can't find the breakdown on the eurex website but on the LIFFE website they break it down and a large portion of volume takes place in a few large trades there.
I can't find the breakdown on the eurex website but on the LIFFE website they break it down and a large portion of volume takes place in a few large trades there.
I took this from the eurexchange website
8.1 OTC Block Trades
To facilitate trades in larger amounts of contracts in standardized Eurex Options and Futures the Exchange offers the possibility to settle trades that have been negotiated outside the system. The Exchange defines the minimum amount of contracts, which must be traded.
OTC Block Trades for options can be entered directly into the system via the OTC Block Trade Entry window.
8.1 OTC Block Trades
To facilitate trades in larger amounts of contracts in standardized Eurex Options and Futures the Exchange offers the possibility to settle trades that have been negotiated outside the system. The Exchange defines the minimum amount of contracts, which must be traded.
OTC Block Trades for options can be entered directly into the system via the OTC Block Trade Entry window.
Quote from thecrow:
may i ask if your strategy has changed much with the switch to the US mkts? with the strip/2/5/10 year points of the curve matched in US do you find your approach/PnL target is similar?
Very much so. Looking at entirely different things now. No longer queue for anything, always seem to be giving away ticks to get stuff on and then giving away again to get out. But at least there is no one group bigger than the market over there.
If bonds go bid on 2000, then you have a very good chance of the next price actually trading. Rather than being flipped all over the place on Eurex.
I also find that CME and CBOT are so much more reliable than LIFFE is these days. Why do they continue to acknowledge 'yes, 5 second slowdowns', rather than sorting it out. CME have to allocate trades pro-rata aswell and seem to manage very well, so what the hell is the issue with LIFFE.
Quote from eldrechr:
Very much so. Looking at entirely different things now. No longer queue for anything, always seem to be giving away ticks to get stuff on and then giving away again to get out. But at least there is no one group bigger than the market over there.
If bonds go bid on 2000, then you have a very good chance of the next price actually trading. Rather than being flipped all over the place on Eurex.
I also find that CME and CBOT are so much more reliable than LIFFE is these days. Why do they continue to acknowledge 'yes, 5 second slowdowns', rather than sorting it out. CME have to allocate trades pro-rata aswell and seem to manage very well, so what the hell is the issue with LIFFE.
I think the cause of exchange slow downs are the black box type entry systems where orders are entered as multiple small amounts for large orders. Often i sit there front of the que on eurex and trade at extreme speed loads of small orders that can only be entered by a machine. Add to this automated pairs/spreading machines an out of line US number and there is some serious traffic across the exchange.
Interesting what you say about eurex and one player being bigger than the market. The volume stats in Apr shows No1 with a massive 15.26% (13,343,477 contracts) mkt share. No2 is some way behind at 4.21%. (3,740,641 contracts).
Not complaining today as this week has seen some decent volatility in Europe. I am watching US closely as well now and will let you know how i get on.