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Robert Hodge asked:
>
> On a data feed I look at volume on LIFFE contracts seems often to tick
> up in unusually same-sized lumps (eg 21 contract increments on Gilts
> this morning).
>
> How can this happen? Is a trick of the data feed, the recording of
> trades or the traders themselves? Anyone know?
>
Markus Stolz has given the answer, but you might be interested in the
following from LIFFE, forwarded with their permission.
"As you have correctly pointed out, tick volumes are only estimated. This
is
because in the Open Outcry environment, Pit Observers are only obliged to
report price and delivery month. A default volume is therefore entered
alongside each trade. The default volume will change when the cumulative
volumes (i.e. a sum of all the estimates) becomes out of line with Trade
Registration (actual trades entered by LIFFE traders).
At the end of each day, the sum of estimated tick volumes is very near to
actual volume, due to the intra-day adjustments made by Price Reporters. We
do not, however, recommend any serious analysis take place on either
individual or totalled tick volumes.
As we move to an automated environment, this problem will cease to exist.
You may have already noticed that tick volumes during the APT session (i.e.
after 4:30pm) are accurate (except when there is a deleted trade, which are
flagged in any case). When the FTSE 100 futures contract moves to LIFFE
CONNECT* , on 10th May 1999, tick volumes will be far more reliable than
they are today.
If you have any further questions please do not hesitate to ask.
best regards
paul.macgregor@xxxxxxxxx
Marketing Manager
Commercial Services
+44 171 623 0444
http://www.liffedata.com
LIFFE Tick data products are compatible with Tradestation."
No affiliation, etc.
Hugh.
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