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Date/Time: Thu, 18 Oct 2018 06:23:45 +0000



Eurex OTC block trade volume

Support Request:
[2013-04-13 14:03:24]
T44 - Posts: 157
Dear Support,

Exchange regulations at Eurex permit OTC block trades for deals over 250 lots in FDAX and 1000 lots in FESX equity index futures to be arranged and cleared over Eurex terminals and printed on the time and sales for the product.
https://docs.google.com/viewer?a=v&q=cache:CBQ5XfEgCvgJ:www.eurexchange.com/standalone/pdf/141410/block_trades.pdf+&hl=en&pid=bl&srcid=ADGEESiMOSO2oxZhEUsTvaUC8oY9scMQcYMzI4cMvjRiwdIjooIyUeZAClTpsdC8Y0TR8BUEudwy9omK1-7olvMv9e8eg3TZegpJvru692v1G990mMIn7qSmu6_k623tWKfT9gb5Hu2V&sig=AHIEtbQBU_HHc-QwlZvagpTjqB8XK7B5JA
I understand from the exchange that they set a special "flag" on the time and sales record to indicate it is a block trade.

I have enquired with my data feed provider, DTN iqFeed, and they say that these block trades are passed through their feed without any special flags. Therefore, I am working on the assumption that Sierra Chart connected to iqFeed has no way to "filter" these block trades. Therefore when large block trades occur this volume would be combined with the volume belonging to the exchange matched non OTC transactions.

I do not wish these OTC block trades or the volume belonging to them to be charted on my Dax and Eurostoxx charts. It would seem that a solution would be to modify the volume study to exclude single prints of >249 contracts on Dax as being a potential block trade.

I'm not a programmer and not familiar with the inner workings of Sierra, or market data feeds, so does this sound feasible, and is it something which you might implement in a future version? Matters would be easier if the data feed providers included the "block trade" flag set by the exchange, but in the absence of that we can only assume that a single print of >249 is a block trade.
Date Time Of Last Edit: 2013-04-13 14:05:46
[2013-04-13 14:16:16]
FGBL07 - Posts: 19
Trades can be filtered per chart: there is a volume filter in "Chart Settings" -> "Advanced Settings 2": http://www.sierrachart.com/index.php?l=doc/doc_ChartSettings.html#VolumeFilterH

But this is not identical to filtering Block Trades directly from the data stream. This would be a better solution.
[2013-04-13 14:27:17]
T44 - Posts: 157
Trade filtering per chart-excellent, thank you.

I would need to set my Intraday Data Storage Time Unit to 1 Tick to be assured that its filtering ticks >249 lots and not say seconds >249 lots?
[2013-04-13 15:59:16]
FGBL07 - Posts: 19
I use 1 tick storage so I cannot really answer your question.

SC support will have to answer this.
[2013-04-13 18:13:17]
T44 - Posts: 157
I've changed to 1 tick storage and my CPU can handle it so I'm fine. The volume filtering works as expected. Thanks for your help.
Date Time Of Last Edit: 2013-04-13 18:13:48
[2013-04-16 01:41:59]
Sierra Chart Engineering - Posts: 64937
Yes, you do need to set your Intraday Data Storage Time Unit to 1 Tick. Volume filtering is documented here:
http://www.sierrachart.com/index.php?l=doc/doc_ChartSettings.html#VolumeFilterH
Sierra Chart Support - Engineering Level

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