CME Off Auction Block Trades and Time and Sales

[llanqui]

https://www.cmegroup.com/clearing/trading-practices/block-trades.html#generalInfo

Does anyone know if the Private Block Trades are reported in Time and Sales live data?

https://www.cmegroup.com/clearing/trading-practices/block-trades.html#generalInfo

[QuantKey_Bruce]

That would depend on your data feed. For instance, CQG distributes them to the exchange four minutes after the match.

Source: https://help.cqg.com/cqgic/19/defaul...ocktrades1.htm

[llanqui]

Interesting, do you know...

1) what time stamp does it have on it? the actual transaction time or the time CQG posted it?

2) I use Rithmic....

[NinjaTrader_BrandonH]

Hello llanqui,

Thanks for your post.

Yes, the Time and Sales window does report Block trades for last price data depending on your data provider.

It does not support Block trades for ask and bid prices.

The Time and Sales window displays a 'B' if the last trade size was greater then the "Block alert trade size" configured via the Time & Sales properties dialog window.

Time and Sales: https://ninjatrader.com/support/help...imeSalesWindow

[llanqui]

Ok, I'll ask Rithmic what they do

looks like there is no data point that tells me if the trade was made "off exchange" in T&S

does anyone know what the Time Stamp refers to....I imagine it is the time the block trade was reported to the Exchange?

[NinjaTrader_BrandonH]

Hello llanqui,

Thanks for your note.

That is correct. The timestamp refers to the time that the block trade was reported to the exchange.

Please let me know if you have further questions on this.