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Viewing User Profile for: Peter
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Joined: Jul 7, 2011 07:57 AM
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Peter has contributed to 2 posts out of 19683 total posts (0.01%) in 3,325 days (0.00 posts per day).

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Data and Content Support » Time&Sales - trades above ask/below bid Aug 17, 2011 02:52 AM (Total replies: 5)

Any comment ?

Data and Content Support » Time&Sales - trades above ask/below bid Jul 7, 2011 08:05 AM (Total replies: 5)

Hello,

I see a lot of trades that occur above the ask or below the bid in the time&sales, but
how is this possible ? Normally this is not possible.

Here is a post from a NinjaTrader user (NecTecture) from NTSupport forum :
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Time for a real answer now

There is no possible trade ouside the bid/ask spread. Period. The exchange will always match the closest price (best bid/ask) and execute at that price, moving the bracket (bid/ask) if there is not enough to match the order.

That being said, trades outside bid/ask are basically a data transfer issue. Because they do not say the trade happened outside bid/ask, but it happened outside bid/ask KNOWN TO THE COMPUTER.

This can be because of bad data sources (example: IB updates bid/ask with all other info only x times per second, so in the meantime a trade CAN happen outside), or because of the way the information is handled on the side of the data provider. I am not even aware whether the exchange GUARANTEES (like: always) that bid/ask moves will be under all conditions (fast market) published in proper order. Especially not during the execution of ONE trade.

Example:

I want to buy 100 ES. there is an offer of 50 at 1000, 75 at 1000.25.

My trade will thus execute 50 at 1000, 25 at 1000.25.

Practically, depending on granularity.... the exchange MAY Publish "trade 50 at 1000, new best bid is 75 at 1000.25, trade 25 at 1000.25, new best bid is 50 at 1000.25", OR it may decide to publish "trade 50 at 1000, 25 at 1000,25, new best bid is 50 at 1000.25". The later is less data.... but it means that part of the trade happens outside bid/ask on the client side, although technically naturally it happend within the at that time valid bid/ask spread.

Plus the data provider may optimize (not Zen-Fire/Rithmic, but some others may just decide to).

So, at the end, you talk of data granularity issues here, possibly even at the exchange.
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http://www.ninjatrader.com/support/forum/showthread.php?p=236616
Post #7


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