Hi,

I was wondering what it meant when the last traded price is outside of the reported bid/ask for a tick... would you know how this occurs, or is this an error?

For example, on 10-14-2011 at 16:41:02 on QQQ there was about 450 trades in between 16:41:02 and 16:41:03.

I see that sometimes the last price is outside of the bid/ask spread, for example:

tickId = 1081585 time=2011-10-14 16:41:02.000 last=58.24000000 size=100 -totalVol=65109307 bid=58.19000000 ask=58.23000000
1081591 2011-10-14 16:41:02.000 58.25000000 500 65110407 58.19000000 58.23000000

etc.

Is there a lag between the reported bid/ask spread in the data feed or should it be accurate?

Thanks,

Steve

Here's another tick that looked weird, where the last price was almost $1 over the ask:

tickId=1082079 date=2011-10-14 16:41:07.000 last=59.35000000 size=2000 totalVol=65240372 bid=58.19000000 ask=58.41000000

Hello Steve1986,

We are asking our Market Data Services to look into this and will get back to you.

Thanks for asking.

Steve1986,

A trade can be outside the bid ask range and it’s occurrence is not that uncommon since the exchange has 2 feeds, one for trades and the other for bid/ask. The one mentioned about a dollar off between the trade and bid/ask range occurred during the extended hours trading which the exchange inserts these as form T trades from trades from earlier in the trading day.

Because of the high volume, this is a normal occurrence for the QQQ, SPY and DIA during the extended hours trading. It happens with others also, but these 3 are the main ones. Of course, we deliver the data as it comes from the exchange and the exchange usually corrects its own errors with a trade delete message.

Thanks again.

Okay, thanks for the explanation.