Yesterday (11/30/2011) IWM's low of the day is reported by HDT as 69.6486. Using HIT on 1-minute intervals over regular trading hours, the LOD is 72.15. I was monitoring it interactively for most of the day and am quite certain it never came close to 69.65. Even for an hour before and after RTH, the HIT 1-minute lows don't show anything close to 69.65.

I have not found documentation that explicitly says over what time of the day HDT reports daily data. Is it RTH? If so, why is yesterday's LOD so far off? If not, what are the hours HDT reports on?

(BTW, Yahoo's LOD also is 69.65; must be from the same source)

Thanks,

-Mike

Mike, we have tracked the low price to being an Average Price trade. Normally that type of trade doesn't set a last price (we are investigating why it did in this case). Relating this to your other post, the volume for this trade would have been sent through in an 'o' message but you wouldn't have recieved this price in the streaming feed either (and it doesn't exist in ticks currently).

To answer your actual question, the daily data should account for trades that apply to RTH.

Hello Mike,

After further digging, we need to clarify a little. The trade in question that set the low for the day was not an Average Price Trade, as Steve earlier mentioned (and we first thought). The trade was executed at 69.6486 but not reported through the system at the time of trade. It was inserted later by the exchange with a trade condition of “out of sequence”. Because it is out of sequence it is not displayed as a last and does not get into history. It was a valid trade and the exchange deems it capable of setting the low for the day.

In general, when you see these odd situations, but the highs and lows of various data sources agree, there is usually a valid exchange-based reason.

Hi Todd,

Thanks for the update, but this just really doesn't sound right, does it?

Looking at the minute data for 11/30/11 the LOD is 72.15. This transaction is at 69.6486, 3.47% lower than any other recorded trade during the day for a high liquidity instrument. No other data source that I've looked at (not in an exhaustive fashion though) has the 69.6486 price even being approached during the day.

Is it possible that the "out of sequence" meant it was from a previous day? The prior two days were certainly in that price range. If so, then the DTN HDT results are really unreliable as they would be mixing trade data across different days if such out of order trades occur. As of today HDT is still reporting 69.65 low for 11/30/11.

-Mike
Edited by mklein9 on Dec 27, 2011 at 04:27 PM

Hi Mike,

Yes, it is possible that the "out of sequence" trade came from another day.
DTN and other data vendors report the out of sequence trade as it comes from
the exchange - it is not something that we are at liberty to alter.