Explosion of volumes of data on Eurodollar contracts during the last weeks

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Jerome Guiot-Dorel
Jerome Guiot-Dorel Explorer
in DSS

Hello,

Even if this question is not purely technical, there is recently an explosion of data into the Eurodollar contracts (3 month interest rates) which Refinitiv cannot ignore.

An average .csv file contained usually 1 500 000 events a day for an active contract. An event is a raw of data defined by one timestamp. The data of the previous week (14 OCT - 18 OCT) for the EDM23 contract (June 2023) contained more than 20 000 000 events a day with a peak of 35 000 000 the 18 of October.

Twenty more data than usually... !

It represents an event every 2 milliseconds provided the contract is opened 24 hours out of 24 hours.

Where does it come from?

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Best Answer

  • veerapath.rungruengrayubkul
    veerapath.rungruengrayubkul LSEG
    Answer ✓

    Below is the information provided by TRTH support.

    News outlets are reporting extreme increase in volumes on the Eurodollar recently. This volume increase is being triggered by algos that are rapidly changing orders. CME is now enforced penalties on firms who’s algos are bombarding the network. This rule was put in on Monday, Oct 28th. No word yet on whether or not they have had to fine anyone yet.

    https://www.wsj.com/articles/futures-exchange-reins-in-runaway-trading-algorithms-11572377375?mod=searchresults&page=1&pos=3

    Thomson Reuters Tick History version 2.0 Custom Extractions were disrupted until 01:38 GMT on 31-Oct-19 while retrieving the data for few instruments having large number of updates. Depending on the size of the date range and the instruments chosen, requests may have been delayed and/or failed

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