Posted: Jul 09, 2007 @ 12:47 PM             Msg. 1 of 10

I've recently noticed bad ticks in the PROD data for the 30yr bonds.

It is a full-tick product (1/32nds), yet there are quarter- and half-ticks in the live data.

This also affects the P/L on the PROD environment, as it will change on the DOM, while the price on the DOM remains static (in 32nds). You can clearly see the tick movement on the OEC chart, however.

Today's bad tick:

ZBU7 at 1139am ET (1039 CT): 106'16.25 (should be 106'16)

Could a developer explain this, and tell the user community what OEC is doing to fix this problem once and for all?

Posted: Jul 09, 2007 @ 04:00 PM             Msg. 2 of 10

Since we take the data directly from the exchanges, we get exactly that, the raw data as it is sent from the exchanges. Since "compound orders" (calendar spreads, etc) are being offered, we get the pricing impacts from them on the outright commodity as they occur based on the rules from the exchanges. In the case of the CBOT, they are very specific about the impact of the RTS (reduced tick calendar spreads). They describe the impact in the following link: http://www.cbot.com/cbot/pub/page/0,3181,2004,00.html.

We are in the process of enhancing this and splitting this feed out into the compounds and the outrights to make it a bit cleaner on the front end.

Let me know if you have any further questions on this.

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Robert Vinicky
Edited by RVinicky on Jul 9, 2007 at 04:06 PM
Edited by RVinicky on Jul 10, 2007 at 10:36 AM

Posted: Jul 09, 2007 @ 04:01 PM             Msg. 3 of 10

In addition, I talked to the CBOT. Ryan Christy with e-CBOT Market Operations said the following: Our 30 year bond contract trades in full ticks in each outright month. The electronic 30 year bond contract has a reduced tick calendar spread that trades in quarter ticks. This will cause spreads to kick out trade legs that would be at increments not within the tradable ticks for each individual outright.

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Robert Vinicky
Edited by RVinicky on Jul 9, 2007 at 04:06 PM

Posted: Jul 09, 2007 @ 04:30 PM             Msg. 4 of 10

Thanks for looking into this issue, Robert.

I first noticed it last year on the SIM, and more recently, earlier this year in PROD.

Since the P/L on the DOM for the 30 year ZB currently changes for open positions when these ticks are present, it might cause a trader to make a decision based on inaccurate information.

Could you add a simple filter to your ZB and/or US bond quotes in the outright months that would reject, remove or suppress any ticks that are NOT at the 1/32nd full tick increment?

Please advise when your team will be able to issue a fix for this - and thanks again.

Posted: Jul 11, 2007 @ 10:50 AM             Msg. 5 of 10

we are working on a solution, and hope to provide it soon -
could you please verify whether current SIM data is correct?

Posted: Jul 11, 2007 @ 11:53 AM             Msg. 6 of 10

Current SIM data appears to be correct as provided - so far today.

The main concern, of course, is having these errors pop-up in the live PROD data and environment, as was the case on Monday.

Posted: Jul 11, 2007 @ 12:06 PM             Msg. 7 of 10

PROD will be updated as soon as SIM fix confirmed to work correctly.

Posted: Jul 11, 2007 @ 01:05 PM             Msg. 8 of 10

Quarter- and half- ticks found today:

For PROD, ZBU7 (30yr) Jul 11 2007

- 107'26.25 at 8:11am et (7:11 am ct)

- 107'17.50 at 10:55am et (9:55 am ct)

In SIM, these ticks are NOT present.

Please confirm the data and your fix accordingly.

Posted: Jul 11, 2007 @ 01:23 PM             Msg. 9 of 10

And just moments ago:

ZBU7 30 yr - quarter tick in PROD (but suppressed in SIM) :)

at 13:01 et (12:01 ct) this afternoon Jul 11 07

PROD - 107'07.75

SIM - quarter-tick suppressed successfully

Please verify and push your fix to the PROD environment when ready - and thanks again for taking care of this issue.

Posted: Jul 13, 2007 @ 11:01 AM             Msg. 10 of 10

case closed