Time and sales - volume spike

[peto]

The attached t & s snapshot of ER2 ( IB data into QuoteTracker) shows a huge 10,000 contracts going through on the bid today. At the time there was under 100 contracts available at this price, yet the price doesn't move and the market seems to ignore the transaction. I've seen this sort of thing several times, and assume it is some sort of 'matched trade' where 2 big players agree to swap positions at the same instant, but it may be faulty data. Any other thoughts?

 

[Blu-Ray]

I think it must be an error, I've checked my charts on a 1min basis and there was less than 100 contracts traded in that time period.

Hope this helps

Blu-Ray

 

[peto]

Hope this helps

Blu-Ray

It does! Thanks Blu-Ray for checking it out. I suspected as much from the market's apparent complete indifference. Time for a better data feed maybe.

 

[dcraig1]

These things happer close to rollover. I think some data providers filter them and some don't. They are very obvious on the DAX, for example, in the week or so prior to rollover. They are obviously not trades going through the book or the price would have really moved. I think Eurex, has a minimum size for such block trades on DAX - maybe something like a couple of hundrd contracts.

 

[peto]

These things happer close to rollover. I think some data providers filter them and some don't. .

Thanks dcraig, that would explain why Blu-Ray isn't seeing them.