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»Forums Index »Archive (2017 and earlier) »Data and Content Support »Bundled Trades
Author Topic: Bundled Trades (4 messages, Page 1 of 1)

habibalex
-Interested User-
Posts: 3
Joined: Mar 18, 2017


Posted: Nov 4, 2017 10:44 PM          Msg. 1 of 4
Can someone explain to me what a bundled trade means? I was under the impression that any trade with the same tickID is part of the same market order.

As you can see in the trade list below, all the trades occurred at or above the offer at the same time, but the tickID changes when the price goes from 6232.00 to 6232.25. The offer price stays at 6232.00 during this time so no updates to the level1 bid/ask feed occurred. I am unable to find any bundled trades that occur across two prices so I am wondering whether this is correct.

1,2017-11-02 15:01:54.992,6232.00,3,304623,6231.50,6232.00,231013797,C,43,01
1,2017-11-02 15:01:54.992,6232.00,4,304627,6231.50,6232.00,231013797,C,43,01
1,2017-11-02 15:01:54.992,6232.00,1,304628,6231.50,6232.00,231013797,C,43,01
1,2017-11-02 15:01:54.992,6232.00,2,304630,6231.50,6232.00,231013797,C,43,01
1,2017-11-02 15:01:54.992,6232.00,1,304631,6231.50,6232.00,231013797,C,43,01
1,2017-11-02 15:01:54.992,6232.00,1,304632,6231.50,6232.00,231013797,C,43,01
1,2017-11-02 15:01:54.992,6232.00,4,304636,6231.50,6232.00,231013797,C,43,01
1,2017-11-02 15:01:54.992,6232.00,1,304637,6231.50,6232.00,231013797,C,43,01
1,2017-11-02 15:01:54.992,6232.00,1,304638,6231.50,6232.00,231013797,C,43,01
1,2017-11-02 15:01:54.992,6232.00,1,304639,6231.50,6232.00,231013797,C,43,01
1,2017-11-02 15:01:54.992,6232.00,1,304640,6231.50,6232.00,231013797,C,43,01
1,2017-11-02 15:01:54.992,6232.00,1,304641,6231.50,6232.00,231013797,C,43,01
1,2017-11-02 15:01:54.992,6232.00,1,304642,6231.50,6232.00,231013797,C,43,01
1,2017-11-02 15:01:54.992,6232.00,1,304643,6231.50,6232.00,231013797,C,43,01
1,2017-11-02 15:01:54.992,6232.25,1,304644,6231.50,6232.00,231013798,C,43,01
1,2017-11-02 15:01:54.992,6232.25,1,304645,6231.50,6232.00,231013798,C,43,01
1,2017-11-02 15:01:54.992,6232.25,1,304646,6231.50,6232.00,231013799,C,43,01

DTN_Stephen
-DTN Guru-
Posts: 453
Joined: Aug 22, 2014


Posted: Nov 6, 2017 08:55 AM          Msg. 2 of 4
Please contact us through our chat function from www.iqfeed.net; where you will find a link for our chat on the left hand side. You can also contact us at 800-779-7299 for phone support.

We will need to gather additional information to answer your question fully.

Stephen Shockey | Telvent DTN LLC | Trading Markets | United States |Customer Service Technical Support
Email: support@iqfeed.net

habibalex
-Interested User-
Posts: 3
Joined: Mar 18, 2017


Posted: Nov 6, 2017 06:23 PM          Msg. 3 of 4
After reading through the CME spec more, trades are only bundled at the current price. If it moves to a different price, that starts a new tick id.

DTN_Tim Walter
-DTN Guru-
Posts: 1238
Joined: Apr 25, 2006


Posted: Nov 7, 2017 08:32 AM          Msg. 4 of 4
In looking at the exchange record, the two trades were received as part of the same bundle and in a single message from the exchange, but the message did include both of the tick IDs that you see. Hence the lack of bids and asks between them.

Tim
 

 

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