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»Forums Index »Archive (2017 and earlier) »Data and Content Support »Transactions outside bid-ask spread...
Author Topic: Transactions outside bid-ask spread... (8 messages, Page 1 of 1)

wmnelson
-Interested User-
Posts: 4
Joined: Aug 22, 2007


Posted: Aug 22, 2007 07:17 PM          Msg. 1 of 8
I am wondering how it is that transactions can take place outside the bid-ask window. In particular, looking at the Time & Sales data for @ES# today (Aug. 22), there are numerous examples of transaction prices greater than the ask price around 19:08, when the price spiked. Is it possible the quoted bid-ask prices are perhaps a bit stale in very fast moving markets? Or perhaps the data is wrong?
If anyone knows the mechanics well enough to suggest how this can happen, please let me know. Thanks,

WN

Stan S
-DTN Guru-
Posts: 256
Joined: Apr 13, 2006


Posted: Aug 23, 2007 07:46 AM          Msg. 2 of 8
Hi WN,

I have turned your request over to our Market Integrity dept. to get an accurate answer. I have seen trades outside the bid & ask on different items before, but just a few and they are sporatic. When I get an answer from Market Integrity I will post it here.

Thanks for the question.
Stan

We could learn a lot from crayons: some are sharp, some are pretty, some are dull, some have weird names, and all are different colors but they all have to learn to live in the same box.

Stan S
-DTN Guru-
Posts: 256
Joined: Apr 13, 2006


Posted: Aug 23, 2007 10:34 AM          Msg. 3 of 8
Hi WN,

MDI compaired our time & sales data to other data feeds & the all match up. The trade data is correct. Trades out side the Bid & Ask ranger are unusual, but it does happen from time to time. If yo like I can email the time & sales comparison we have. Just drop me note 7 let me know.

Thanks for your patience while we looked this up.
Stan

We could learn a lot from crayons: some are sharp, some are pretty, some are dull, some have weird names, and all are different colors but they all have to learn to live in the same box.

nsolot
-DTN Guru-
Posts: 273
Joined: Sep 4, 2004


Posted: Aug 23, 2007 10:48 AM          Msg. 4 of 8
I have previously reported this for ES, NQ, and YM, but since it doesn't happen often it never got a high priority.

It appears that bid ask updates don't always make it into the streaming feed (i.e. Q messages) and as such trade prints appear outside the bid ask. This is confirmed by my second feed which shows a bid/ask change that IQ doesn't, at least in the Q messages.

This is again confirmed by pulling T&S data, and isolating the particular trade by volume print. T&S will report a different and usually correct bid/ask than what was rec'd in the Q message.

Stan S
-DTN Guru-
Posts: 256
Joined: Apr 13, 2006


Posted: Aug 23, 2007 11:21 AM          Msg. 5 of 8
Hi Nsolot,

Sorry for the confusion, but the Time & Sales data is accurate. We compaired it to Reuters Time & Sales and they show exactly the same data we have. There were simply trades made outside the Bid & Ask rang at that time, or trades made with out a bid or ask involved. Although somewhat rare is does happen from time to time. If you like I can email you the T&S compairason toi verify it.

THANKS
Stan S

We could learn a lot from crayons: some are sharp, some are pretty, some are dull, some have weird names, and all are different colors but they all have to learn to live in the same box.

nsolot
-DTN Guru-
Posts: 273
Joined: Sep 4, 2004


Posted: Aug 23, 2007 01:17 PM          Msg. 6 of 8
Let me give you an example:

Today at approx 9:34 AM EST IQ reported in the real time feed (not T&S) ES prints at 1475.25 (volume prints were 215235 , 215236, 215238 if you want to pull the T&S data for same).

The Q messages showed bid/ask of 1475.50x1475.75 so these trade prints were under the bid.

The same trades were reported via Interactive brokers feed, however at the same time they showed the bid/ask to be 1475.25x1475.50, so those trade prints (according to them) hit the bid.

While not impossible, I would be highly suspect of any trade prints on ES, NQ, and YM outside the bid/ask as these are fully electronic exchanges with only a single market. Trades on stocks outside the bid ask do not surprise me at all for a number of reasons.

skunk
-DTN Evangelist-
Posts: 249
Joined: May 7, 2004


Posted: Aug 24, 2007 10:40 AM          Msg. 7 of 8
Part of the problem is caused by the fact that the exchanges have two distinct feeds for quotes and trades and they are NOT synchronized. It is possible for for the "trade stream" to lag the "quote stream" when things get busy or vice versa -- which make bid/ask analysis "difficult".

Neil Brennan
-Interested User-
Posts: 38
Joined: Apr 13, 2007


Posted: Aug 25, 2007 06:22 AM          Msg. 8 of 8
It may be also be relevant that in "fast" markets (such as those we have encountered recently) DTN may not transmit some proportion of the messages that you would expect to see: http://forums.dtniq.com/index.cfm?page=topic&topicID=1620
 

 

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