Hang Seng depth

[RobinHood]

To anyone trading or familiar with the Hang Seng futures contract -

I'll see an order for 100 or so contract take the offer instantly, when there was only 1 offered on that price level. I'm assuming this is an iceberg?

Also lots of transactions take place above the ask or below the bid and I'm not sure if this is an issue with my platform or data.

I could understand if these transactions were happening with large orders (not sure if HKFE allows blocks off the floor, anyone?) but not with a 1 lot order - which is what has been happening.

I assume the depth is so thin here because of the volatility of this index. I lose or make (lose mostly) a few grand in a few secs on the sim, with 1 contract!. amazing.

 

[MRC & Co]

Apparently most trading the HSI don't have the price ladder (order book). So most hit market, and as the book is thin, you get an index on coke!

I imagine your platform is slightly lagging (miliseconds makes a big difference in the Seng). This is SkyQuakes market, so I'm sure he can give a lot more input.

 

[skyQuake]

Hey, good to see a fellow HSI trader!

MRC hit the nail on the head there, I think the problem is with the sim you're using. Depending on how often it updates (our one is every 1/2 sec) you will see flashes of orders and size...
That 100 lot could be a spoof or a legit order but since the index moves so fast
a) Prices will run away as people frontrun it (and maybe come back to it later..)
b) It will get chewed through in like 2 seconds.

The trades above bid and ask are just fast flicks... If you've looked at it on live charts during the open, you can see it flick up and down 50points maybe 10times in 5seconds, although it settles down, the flicks still do happen during the day, esp during and after big moves.

 

[RobinHood]

Yes, makes sense. I get discrepancies with t&s and dom also. 5 lot taking the offer on the DOM and the same 5 lot is hitting the bid on the t&s. (this is even with the SPI).


btw with that 100 lot order, I meant a real order actually going through - not one sitting in the book. I'm just watching friday's recorded session today and saw at the open the 100 lot go through and take the offer which had 1 lot sitting in the book. I guess there was more sitting in the book, at that level, as an icerberg/hidden order.

The trades above bid and ask are just fast flicks..

What are flicks? Do you know why they are happening?

Thanks propex boys!

 

[MRC & Co]

Hey mate,

You shouldn't have discrepancies between T&S and the DOM. That is weird.

As for the 100 lot, I am not sure, I imagine a 100 lot could have come up and been clipped in a matter of a split second, so you only saw the 100 lot as filled once the sim updated. Difference between the HSI live market and sim is meant to be very large from what I hear. Much worse fills live.

Flicks are just sudden price movements, say from 90 to 95 and back, so quick that you can barley see price move, but if you look in T&S, it has actually gone to that level and back. If you have a stop set, it will 'flick you out'. Sometimes, on flicky days, it's far better simply using a manual stop than setting them on the system to avoid this happening.

Though you won't have this problem on the SPI, no stops.

 

[skyQuake]

All bets are off at the open, a few thousand change hands in the first few seconds after opening auction and its just wild.
I would imagine the 100 lot order was simply filled instantly by a crapload of other orders, or just clipped by someone who wanted to get in.

Interesting you mention the T&S problem. I was suspecting that it wasn't showing all the trades that were going through but thought nothing of it. I will certainly pay more attention tomorrow and see if its just a sim thing...

Cheers

 

[RobinHood]

good morning -

Are they letting you guys go for Hang Seng as a first instrument? if so, they must really like you.

SkyQuake: do you also have you T&S up for Mr. Seng?

Here is a screenshot I took earlier which is a good example of what I was talking about:

101 contracts hits the bid when there is nothing but a few contracts visible in the book/depth. Guess there is more than is visible to the eye, but it is hidden. Will have to look further into the HKFE exchange rules and order management etc.

Pink is transactions below the bid, and yellow is above the offer. black is in between.
green is @ ask and blue is @ bid.


This is the order book exactly 1 second before / just before 100 lots hits.

just 1 lot, at 13475, sitting there innocently.

 

[TK85]

Could be a crossed trade - apparently some insti-trades that would be similar to an off-market transfer need to be executed on the market.

 

[Trembling Hand]

You can't use NT DOM to trade/watch the HSI. Its Rubbish for that market.

 

[RobinHood]

yeah, I started using the IB dom in combo with the NT sim. its silly they restrict data for 5 consecutive levels. means even the eurex is out.

TH do you not find you miss some important transactions when you are only watching the DOM on the HSI?

for instance you can usually get a few within a second and only one of those transactions shows up on the DOM. So what could be 8 transactions amounting to a total of 87 lots will show up as 4 (1st transactions within the series) on the DOM. This is the only reason I'm keeping up my time&sales.

 

[BentRod]

You can't use NT DOM to trade/watch the HSI. Its Rubbish for that market.

TH & Robin,
I read on the NT forums that there is a new Beta due out in the next few weeks, hopefully it might address these issues (amongst many others)??

Why the hell they are so slow with updates is beyond me, they could make so much more money if they fixed all the issues.

@Robin...when you watch market replay does it play back at true speed??
Mine appears really slow and I have to bump it up to 4x to get it looking anywhere near normal?

 

[RobinHood]

it should replay it with the correct timing

you are using NT's 'market replay' feature and not recording just the ticks right?

 

[BentRod]

Gday Robin.

Yes I have "run market replay" box ticked.
Good to know yours works ok, I'll keep playing around with the settings.

 

[hsifutures]

Hi all,

Revisiting this thread as I am looking for a broker to trade HSI futures. I am trading HSI Warrants in Singapore. But I want to see the Depth of Market.

Does anyone know where I can find the depth of market? Thanks!

 

[LinRegSlope]

Hi all,

Revisiting this thread as I am looking for a broker to trade HSI futures. I am trading HSI Warrants in Singapore. But I want to see the Depth of Market.

Does anyone know where I can find the depth of market? Thanks!

Interactive Brokers?

 

[CanOz]

If you are in Singapore then you may have access to a few options for level II HKFE data. Interactive brokers is likely the cheapest option, but the data is aggregated, so its packed up and sent off in packets and then unpacked, sometimes it does not get assigned accurately to the bid or ask, just in between.

TT Net may be available for HKFE data through AMP Clearing soon. They have a server in Singa. Also, you could check with Phillips Futures in Singa for the data.

Thats my experience so far mate, good luck, let us know how you go. I use IB at the moment and its fine for what i need, it is the fastest data around, it never splits when there is a big sweep.

 

[LinRegSlope]

Before deciding check out Zeroline Trader, it's a good interface (DOM) for IB, and inexpensive.

 

[CanOz]

Before deciding check out Zeroline Trader, it's a good interface (DOM) for IB, and inexpensive.

LRS - Zeroline is a front end, a tool. I think in looking for depth on the Hang Seng, the poster is looking for LEvel II data, not just a depth of market tool. I could be wrong, but its pretty clear i think.

 

[hsifutures]

Hi all,

Thanks for your replies.

Yes I am looking for level 2 prices... Depth of Market for Index Futures.

I am currently trading Hang Seng Warrants in Singapore. Actually, more like scalping for a few bids/ticks. Figured that having access to DOM would help to scalp more.

Does anyone of you trade using DOM?

 

[CanOz]

Hi all,

Thanks for your replies.

Yes I am looking for level 2 prices... Depth of Market for Index Futures.

I am currently trading Hang Seng Warrants in Singapore. Actually, more like scalping for a few bids/ticks. Figured that having access to DOM would help to scalp more.

Does anyone of you trade using DOM?

Yes, i have used a DOM for the last two years. I have quite a few videos on here showing the depth.