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Date/Time: Thu, 18 Jul 2024 07:33:18 +0000



Post From: Eurex feed bid/ask volume

[2014-01-16 19:03:06]
Spinoza - Posts: 62
Re post 14:
So we have to see why there is a difference apparently between the top of the book on the depth and the best bid and ask.

I don't know if this is useful but there is another thread on BigMike (https://www.bigmiketrading.com/traders-hideout/22468-tape-time-sales-why-actual-trades-do-not-decrease-bid-ask-sizes-4.html#post258225) to do with bid/ask on Eurex and a reply quoted from the exchange to this effect:

the CEF core feed is netted in reference to the order book data. Therefore in case of a trade execution the trade is submitted immediately while the order book is submitted only at the end of the netting period. this could explain, why the order book doesn't reflect exactly the reduction of the executed trades. For the or the liquid products like FDAX, FESX and FGBL the order book could have changed during this netting period.
Additionally Eurex uses algorithms to add single legs from calendar spreads or other strategies to the order book of these futures. These single legs created by the system could update the best bid and ask volumes without any incoming order and will be created automatically.