Short Sterling

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b-cat
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Short Sterling

Post by b-cat » Wed Jan 26, 2011 10:49 am

CSI, Esignal and the Euronext website are all showing a high of 99.23 for March Short Sterling on 2011-01-25

Looking at time-and-sales data from both esignal and my broker indicate that the price never traded above 99.20

Normally, i'm not one to fuss over 3 ticks... but... STIRs make me fussy.

Looking for some insight from those that have more experience than me. Could this discrepancy be a result of a late-reported (unreported??) block trade or something? An error maybe? thoughts?

I note the from the following link: http://www.euronext.com/editorial/wide/ ... 80-EN.html
Block Trades in specified contracts may be organised during normal trading hours, but subject to Trading Procedure 4.5.19-4.5.21, may be reported up to 15 minutes after the Central Order Book in the relevant Exchange Contract has closed (except on the Last Trading Day when the Block Trade Facility will continue to close at the same time as the Central Order Book in relation to expiring contracts).*

jas-105
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Post by jas-105 » Thu Jan 27, 2011 12:39 pm

Sometimes a listed calendar spread trade can create a new high or low in the outright, its not really supposed to happen but it does. I'm not sure I've ever seen it 3 ticks out though !

b-cat
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Post by b-cat » Wed Feb 02, 2011 2:06 pm

Thanks jas. Turns out you are correct. Below is a response from the exchange

[quote]
First of apologies for a delayed response. On both 25th and 26th Jan we had 99.23 as highs in Mar-11 contract.

I am not what sources you’re using, but plainly guessing that your sources might not be reflecting impact due to strategy trades. This is important in this context as on both the days the high of 99.23 was generated due to strategy (butterfly) trades in Mar-11 contract. That is the reason if you look at the highs on these days on our website, there is a little â€

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