GBP Cash Price, Futures Price & News

[c6ackp]

Can someone (having a non-IB data feed) please confirm that the "GBP U6" (Globex futures) price blipped down 50 pips just prior to the US CPI announcement yesterday (16Aug)?

The reason I ask is that I normally keep an eye on both cash and futures markets: on most of the more significant news releases the futures price will blip significantly in the wrong direction (the cash price does not normally do this).

I never get caught out by this because I watch both cash and futures prices, but I'm curious about the reason that this happens.

I have a pretty good idea what's happening, but can anyone else offer any insights and/or confirm the effect?

Many Thanks,
c6

 

[sccz97]

Can someone (having a non-IB data feed) please confirm that the "GBP U6" (Globex futures) price blipped down 50 pips just prior to the US CPI announcement yesterday (16Aug)?

The reason I ask is that I normally keep an eye on both cash and futures markets: on most of the more significant news releases the futures price will blip significantly in the wrong direction (the cash price does not normally do this).

I never get caught out by this because I watch both cash and futures prices, but I'm curious about the reason that this happens.

I'm assuming that this effect is not just IB playing games.

I have a pretty good idea what's happening, but can anyone else offer any insights and/or confirm the effect?

Many Thanks,
c6

the prices you get from ib for futures will be the prices straight from globex. There areno differences except that your volume gets updated every x seconds rather than as and when they actually change on globex to prevent too much traffic. Solution? Don't touch fx futureson globex around announcements unless you have an applicatin to arb the prices and even then you need a fast link to the exchange and your spot broker. Why was there a gap? 6B is by no means the most liquid fx futures contract, what you probably experience was a severe lack of liquidity. Either someone pulled all their bids or someone took all the bids out down to the price that you saw. Nothing suspicious about it ..... please read up on how the futures exchanges work and you'll understand why these things happen

 

[c6ackp]

Thanks mate - but I would expect both the cash and the futures liquidity to be pretty thin right on the announcement. I was really trying to understand why I never see the same behaviour on the IDEALPRO-BID feed.

My previous charting package couldn't display futures BID prices only LAST, so I had never seen this effect displayed on a chart before. I'm surprised that the spread widening is so much greater on the futures (must've been 100 pip spread on this occasion) compared with cash as I'd expect most bids/offers to be pulled in both markets.