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»Forums Index »Archive (2017 and earlier) »Data and Content Support »Time and Sales - Trade Ordering
Author Topic: Time and Sales - Trade Ordering (3 messages, Page 1 of 1)

rcardare
-Interested User-
Posts: 5
Joined: Jun 8, 2011
Posted: Jun 8, 2011 10:04 PM          Msg. 1 of 3
I noticed that when trades come in at high frequencies the sales are reversed. For example I would see 2,87,1,1,3 in TOS and IQ feed would show 3,1,1,87,2. This only happens when a lot of fills take place at one given moment. I am using Ninja Trader to connect to both the IB and IQ feeds and base-lining against TOS. How can I verify which is correct? I don't notice this in the IB feed either. I attached an example and I have version 4.7.2.0 dated in 2010.
Edited by rcardare on Jun 8, 2011 at 10:11 PM


File Attached: salesordering.png (downloaded 1296 times)

DTN_Steve_S
-DTN Guru-
Posts: 2093
Joined: Nov 21, 2005
Posted: Jun 9, 2011 10:48 AM          Msg. 2 of 3
I don't believe this is a NT issue or an IQFeed issue.

I verified the ordering of the trades in that screenshot versus our internal storage (which rules out a NT problem) and also against another vendor (which gives evidence to this not being an IQFeed issue).

rcardare
-Interested User-
Posts: 5
Joined: Jun 8, 2011
Posted: Jun 9, 2011 05:53 PM          Msg. 3 of 3
Thank you for your verification.
 

 

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