NQ Mini - What Happened?

[bassocat5]

I haven't been watching the NQ for too long, maybe a month. Can someone explain to me what happened at 3:05-3:06pm EST today? (12/3) I ran thought the tick data and it looks like the last quote (3:05:59) showed a bid of 1439 (153 size) and an ask of 1439.5 (326 size). The very next tick was a 9 contract transaction at 1440.5 (3:06:06). I have only seen a 3 tick jump like this off hours with no volume, not during the day during "normal" volume trading. Where did those sellers of the 326 contracts go (not to mention the other sellers at 1440)? There were also some extremely low volumes at 14:09, 14:18, 14:55 and 14:56. Is this normal for the NQ mini? I've seen big chunks of bid and ask volume pulled before but usually in chunks of 100-150 contracts but there was always a quote change, not a total evaporation of one side like today.

thanks,
Rich

 

[Eminence Front]

You're missing some data...

there were over 24 trades (varying sizes) printed on my T&S in the gap you mention...then a second before your next trade at 40.50, ive got a 201 contract trade at 40.00, scooping up those offers....

Then your trade at 40.50 at 3:06:06 comes in... hope that helps!

 

[Mr Subliminal]

Quote from Eminence Front:

...then a second before your next trade at 40.50, ive got a 201 contract trade at 40.00, scooping up those offers....

Then your trade at 40.50 at 3:06:06 comes in... hope that helps!

True, but straight after there is a drop from 40.50 to 39.50.

From the CME file gx031203.iom :

...
...
NQ  0312F       1406050144050    10345900031203NQ22    03120300039E  620031200N
NQ  0312F       1406050144050    10346000031203NQ22    03120300250E  620031200N
NQ  0312F       1406050143950    10346100031203NQ22    03120300002E  620031200N
NQ  0312F       1406050143950    10346200031203NQ22    03120300001E  620031200N
NQ  0312F       1406050143950    10346300031203NQ22    03120300001E  620031200N
NQ  0312F       1406050143950    10346400031203NQ22    03120300001E  620031200N
...
...

From my summary of CME file :

...
...
140558  0143900      67 
140600  0143950     155 
140605  0144000     201 
140605  0144050     289 
140605  0143950       5 
140605  0144000      27 
...
...

 

[bassocat5]

It never dawned on me that my real time data provider (eSignal) would have missed that data. My thanks to you guys for reminding me that I should get final tick data direct from the CME site.

Rich

 

[50 cent]

CME have different quote feeds for data providers (like eSignal, dtn or whatever) and for brokers. The broker data feed is more reliable. There may be some skips and misses in the data providers data.