I've been going back and forth with a client over the amount of trades "between" the bid offer based on the IQFeed level 1 feed from BM&F Bovespa. That has involved discussions with the exchange.
Let me show an example.
This screen shot is from the exchange.
As you can see from the book, we have 8 offers at 3122.50 totaling 45 contracts.
On the right, we see on the audit trail, a buy side order come in for 50 hitting into 3122.50. So the transactions took place at the offer price of 3122.50.
Bovespa explained that a buy order (ID 74261032171) come in on 11:11:51.366 and consumed eight sell orders (ID 74261031869 until 74261032159).
After that, there remained 5 lot of original buy order. Then a sell order (ID 742610312175) come in and consumed it.
Now we look at the data from IQFeed (using Ninja).
We can see a couple of things.
1 - when the order came in @ 22.50, the bid/ask according to IQFeed is 22.5/23. It's as if the bid/ask got updated before we got the order message and not vice-versa. So what should have been "at ask 22.50" is shown at bid 22.50
2 - We can see the top order on time & sales is reported between the bid/ask when Bovespa are saying otherwise.
We've been through a lot of these scenarios over the past weeks and I think there is a glitch in the data which is causing both between trades that are not between as well as trades reported at bid that are really at ask.
I would not be reporting this if I had not gone through it with my client and also had him walk through the trades with the exchange.
Is this something you could take a look at?
PeteEdited by pedro01 on Jun 9, 2015 at 11:24 PM