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»Forums Index »Product Support »Data and Content Support »Trade conditions
Author Topic: Trade conditions (12 messages, Page 1 of 1)

arturo didonna
-Interested User-
Posts: 18
Joined: Oct 10, 2008


Posted: May 5, 2018 04:12 PM          Msg. 1 of 12
I was watching yesterday the times and sales of the Septmember put 5 and call 20 on AKRX. At 11:11:12 there was a paired trade on them that was labeled with the code "27", which according to documentation stands for:
"27 SPRD Spread - Trade in Two Options in the Same Class (a buy and a sell in the same class)"

But in this case the two options are not in the same class, since one is a call and the other one is a call. Is this a mistaken report by iqfeed?
Thanks in advance.
Arturo


AKRX1821U5_0.txt
"time" "price" "volume" "size" "bid" "ask" "tick_id" "basis_for_last" "trade_market_center" "trade_conditions"
"1" 2018-05-04 11:11:12 0.5 5000 5000 0.45 0.9 72877805 "C" "108" "27"

AKRX1821I20_0.txt
"time" "price" "volume" "size" "bid" "ask" "tick_id" "basis_for_last" "trade_market_center" "trade_conditions"
"1" 2018-05-04 11:11:12 2 5000 5000 1.6 2 72877810 "C" "108" "27"

DTN_Tim Walter
-DTN Guru-
Posts: 1238
Joined: Apr 25, 2006


Posted: May 7, 2018 06:57 AM          Msg. 2 of 12
Good morning,

I tried to go back and look at this, but unfortunately we do not save that original message from the exchange for very long, just due to the volume of data that equity options have. I am fairly confident that was what we were sent by the exchange, since we do not have any code that inserts, deletes, or changes trade conditions.

I wish I could provide some more detail/evidence to support my claim, but if you continue to see issues let us know and we can try to do some additional debugging.

Tim

arturo didonna
-Interested User-
Posts: 18
Joined: Oct 10, 2008


Posted: Jun 16, 2018 05:46 AM          Msg. 3 of 12
Unfortunately, this kind of problem repeats itself and could be even bigger. Yesterday , the times & sales of AKRX July Put 12 AKRX1820S12, gives this exchange:


"6" 2018-06-15 13:11:02 1.25 3000 3026 0.95 1.15 132599051 "C" "108" "27"

So it is still a spread (SPRD) but there is no other leg of this spread in yesterday Puts. So I wonder what's going on and I would greatly appreciate a your investigation on this matter.

DTN_Tim Walter
-DTN Guru-
Posts: 1238
Joined: Apr 25, 2006


Posted: Jun 18, 2018 05:46 AM          Msg. 4 of 12
Happy to. I'll let you know what I can find.

Tim

DTN_Tim Walter
-DTN Guru-
Posts: 1238
Joined: Apr 25, 2006


Posted: Jun 18, 2018 06:23 AM          Msg. 5 of 12
Can you confirm your symbol please? I am not showing that strike as having ever traded.

Tim

DTN_Tim Walter
-DTN Guru-
Posts: 1238
Joined: Apr 25, 2006


Posted: Jun 18, 2018 06:58 AM          Msg. 6 of 12
Looking at the 12.5 strike, we found what I think you are looking at. I have escalated this for further research. I hope to have more on it later this week.

Tim

arturo didonna
-Interested User-
Posts: 18
Joined: Oct 10, 2008


Posted: Jun 18, 2018 07:20 AM          Msg. 7 of 12
Yes, it is indeed the 12.5 strike. Sorry for my mistake.
Edited by arturo didonna on Jun 18, 2018 at 07:21 AM

DTN_Tim Walter
-DTN Guru-
Posts: 1238
Joined: Apr 25, 2006


Posted: Jun 18, 2018 07:22 AM          Msg. 8 of 12
Great, thanks for the confirmation. We'll let you know what comes of it.

Tim

DTN_Tim Walter
-DTN Guru-
Posts: 1238
Joined: Apr 25, 2006


Posted: Jun 18, 2018 09:39 AM          Msg. 9 of 12
Hello again,

I think I am going to need to try and find some more instances of this to try and resolve this. Could you let me know how you are capturing these events and then I can do something internally to help me better understand what is going on.

Tim

DTN_Tim Walter
-DTN Guru-
Posts: 1238
Joined: Apr 25, 2006


Posted: Jun 18, 2018 09:52 AM          Msg. 10 of 12
Actually, we did find another like the one you mentioned and only the single trade was sent by the exchange. So we do not believe we are missing any data that the exchange has sent.

What conditions cause them to send or not send two trades (in the case of a spread) I can't answer. We have to assume what the exchange is sending is correct when it comes to the input. We will attempt to do what we can from this end, but resolving this issue will be an exchange level issue it appears. If we get anything else back I will keep you in the loop.

Tim

arturo didonna
-Interested User-
Posts: 18
Joined: Oct 10, 2008


Posted: Jun 18, 2018 11:42 AM          Msg. 11 of 12
Thanks, Tim. Could you please post the details of the trade you found?

DTN_Tim Walter
-DTN Guru-
Posts: 1238
Joined: Apr 25, 2006


Posted: Jun 18, 2018 05:22 PM          Msg. 12 of 12
Here is a few good ones and an example of one where the exchange appears to be incorrectly labeling them.

These are valid spread trades for today
AKRX1820S12.5: 09:43:47.395378 Tick ID: 12232821 Price: 1.12 Mkt: 13 Size: 30
AKRX1820S7.5: 09:43:47.395386 Tick ID: 12232822 Price: 0.17 Mkt: 13 Size: 30

AKRX1821I17.5: 10:51:16.008986 Tick ID: 52043408 Price: 3.95 Mkt: 16 Size: 8
AKRX1821I27.5: 10:51:16.008986 Tick ID: 52043408 Price: 0.95 Mkt: 16 Size: 8

AKRX1817T12.5: 11:38:03.690677 Tick ID: 73915981 Price: 2.08 Mkt: 9 Size: 11
AKRX1821U10: 11:38:03.690677 Tick ID: 73915981 Price: 1.67 Mkt: 9 Size: 11

This one was flagged as a spread trade from exchange but is actually a BWRT order with a single option leg and stock
AKRX1817H20: 12:57:26.558378 Tick ID: 104690555 Price: 2.10 Mkt: 13 Size: 3
AKRX: 12:57:26.585558 Tick ID: 1126 Price: 15.15 Mkt: Size: 300
 

 

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