{
  "id": 1405,
  "title": "Duplicate prices and odd trade sizes",
  "url": "/competitions/benchmark-bond-trade-price-challenge/discussion/1405",
  "author_name": "",
  "post_date": "2012-02-27T20:12:08.243Z",
  "votes": 2,
  "comment_count": 1,
  "views": 1627,
  "content": "<p>I've noticed some of the trades for a particular bond have the same price. They mostly seem to be trades at the exact same time, and usually with the same size of trade. I just wonder if there is a particular significance to them. I'm assuming they are related\r\n somehow, but I'm not clear how.</p>\r\n<p>Also, there are quite a few trade sizes of 5000001 and 1000001 when almost all the rest seem to be multiples of 1000. Again I assume there is some significance, but I have no idea what it could be.</p>\r\n<p>Any insight about these oddities would be useful. I don't know much at all about the mechanics of bond trading.</p>\r\n<p>&nbsp;</p>\r\n<p>&nbsp;</p>\r\n<p>&nbsp;</p>\r\n<p>&nbsp;</p>\r\n<p>&nbsp; </p>\r\n<p>&nbsp;</p>\r\n<p>&nbsp;</p>",
  "messages": [
    {
      "id": "8720",
      "postDate": "02/27/2012 20:12:08",
      "content": "<p>I've noticed some of the trades for a particular bond have the same price. They mostly seem to be trades at the exact same time, and usually with the same size of trade. I just wonder if there is a particular significance to them. I'm assuming they are related\r\n somehow, but I'm not clear how.</p>\r\n<p>Also, there are quite a few trade sizes of 5000001 and 1000001 when almost all the rest seem to be multiples of 1000. Again I assume there is some significance, but I have no idea what it could be.</p>\r\n<p>Any insight about these oddities would be useful. I don't know much at all about the mechanics of bond trading.</p>\r\n<p>&nbsp;</p>\r\n<p>&nbsp;</p>\r\n<p>&nbsp;</p>\r\n<p>&nbsp;</p>\r\n<p>&nbsp; </p>\r\n<p>&nbsp;</p>\r\n<p>&nbsp;</p>",
      "rawMarkdown": "",
      "votes": null
    },
    {
      "id": "8721",
      "postDate": "02/27/2012 20:27:30",
      "content": "<p>These are really good questions.</p>\r\n<p>1. &nbsp;Trades that are reported at the same or nearly the same time and/or at the same or nearly the same price and potentially at the same size certainly appear to us to be related. &nbsp;They might be examples of one seller or buyer doing business with multiple\r\n couterparties or more likely they are a dealer flipping a bond quickly for a small profit (or no profit - as sometimes brokers are willing to take no profit on a trade just to keep trades coming to them in the future). &nbsp;How you consider these cases is up to\r\n you, but I will say that we have noticed that the statistical impact of these grouped trades on future prices is different than if the same trades were not grouped.</p>\r\n<p>2. The reporting service that reports trade sizes is not required to report sizes over certain amounts. &nbsp;These amounts are (depending on the type of bond) 1MM or 5MM notional value. &nbsp;The amounts you are seeing are the indication that the trade in question\r\n is over that amount. &nbsp;You are welcome to use this information as you see fit, but potentially you should assume that the typical size of a &quot;larger than reporting limit&quot; trade is greater than the reporting limit&#43;1.</p>\r\n<p>-Dan</p>",
      "rawMarkdown": "",
      "votes": null
    }
  ],
  "comments": [
    {
      "id": 8721,
      "author_name": "danglaser",
      "author_url": "",
      "post_date": "02/27/2012 20:27:30",
      "content": "<p>These are really good questions.</p>\r\n<p>1. &nbsp;Trades that are reported at the same or nearly the same time and/or at the same or nearly the same price and potentially at the same size certainly appear to us to be related. &nbsp;They might be examples of one seller or buyer doing business with multiple\r\n couterparties or more likely they are a dealer flipping a bond quickly for a small profit (or no profit - as sometimes brokers are willing to take no profit on a trade just to keep trades coming to them in the future). &nbsp;How you consider these cases is up to\r\n you, but I will say that we have noticed that the statistical impact of these grouped trades on future prices is different than if the same trades were not grouped.</p>\r\n<p>2. The reporting service that reports trade sizes is not required to report sizes over certain amounts. &nbsp;These amounts are (depending on the type of bond) 1MM or 5MM notional value. &nbsp;The amounts you are seeing are the indication that the trade in question\r\n is over that amount. &nbsp;You are welcome to use this information as you see fit, but potentially you should assume that the typical size of a &quot;larger than reporting limit&quot; trade is greater than the reporting limit&#43;1.</p>\r\n<p>-Dan</p>",
      "votes": null,
      "replies": []
    }
  ],
  "raw_markdown_by_id": {
    "8720": "",
    "8721": ""
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  "source": "meta"
}