FTSE futures tick volume

sixtyseven

Newbie
2 0
I have tick data that I want to do various things with - but it has what could be 'weird' prints. Can someone who uses FTSE futures volume data please comment.

The tick data I have (disktrading99) has majority of trades with a volume <= 10 (approx. 95%), but every so often there are clusters of 1000+. And a few times a month it's not uncommon to see 3 lot's of 5,000 going through within a few minutes of each other. It doesn't seem right with daily volume averages of 100k or so.

How does this match against other peoples volume data?

Thanks
 

RPEX

Active member
162 7
where you see the very large volumes going through like you mention that's most likely to be the registration of OTC negotiated trades, so not put on the order book because of their size or because they were a part of another strategy.
 

sixtyseven

Newbie
2 0
Thanks for that RPEX, it gave me some good leads to look into.

Does anyone have any recommendations of books, or links to learn more about the processing of OTC, block trades, iceberg orders etc. I've only been able to find basic descriptions of what they are, rather than the mechanics of how they work in terms of T&S and order flow.

I'm trying to cleanse my data for backtesting so it represents something more like what I'd encounter if I have orders in the market. The OTC trades are interesting in terms of the volume, but not so in terms of the "spike" in price - as they would falsely trigger backtested SL or targets. Cleansing data is obviously a slippery slope.

Can anyone provide insight into what would be happening in the following situation.
T&S is ticking along with 100+ transactions a minute (so liquidity doesn't 'appear 'to be an issue) with 2-4 contract lots, with upticks/downticks of 0.5-1 point, and then an order of 10+ goes through with an uptick of 3+ points, followed by a downtick into normal range.
Is there a definitive answer as to the type of order that would cause this, or could it be multiple situations - some of which would affect my order in the market, and some that would not.


Ideally I need to sit and watch the T&S and so will have to cough up for a good datafeed. For sure, that's the way to get a better understanding. But any help in the meantime would be appreciated.
 
 
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