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» Problems with Times & Sales data
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| Author | Topic: Problems with Times & Sales data (4 messages, Page 1 of 1) |
 arturo didonna -Interested User- Posts: 22 Joined: Oct 10, 2008 |
Posted: Nov 23, 2008 01:08 AM
Msg. 1 of 4
Hi.
I am working with option Times & Sales using the QCollector software. I noticed that often it is not possible to figure out if the exchange was made on the bid or on the ask. As an example, please have a look at transactions made at 10:00:34 on April 2009 call 32.5 on Target (TGT). The first of these transactions consists of 800 pieces that are reported to be exchanged at 4.64, whereas the bid was 4.35 and the ask 4.55! Similarly, the other transactions at this time don't make any sense because of the inconsistent figures of last, bid and ask prices. I was wondering if there was any fix to this problem with Times and Sales data. Thanks in advance. Arturo |
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arturo didonna -Interested User- Posts: 22 Joined: Oct 10, 2008 |
Posted: Nov 23, 2008 01:17 AM
Msg. 2 of 4
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File Attached: CropperCapture[8].jpg (downloaded 1425 times) |
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arturo didonna -Interested User- Posts: 22 Joined: Oct 10, 2008 |
Posted: Nov 28, 2008 02:11 PM
Msg. 3 of 4
Is there any reason why my question is not being answered? Wrong forum? Wrong question?
Thanks. Arturo Edited by arturo didonna on Nov 28, 2008 at 02:12 PM |
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DTN_Jay_Froscheiser -VP, Product Operations- Posts: 1746 Joined: May 3, 2004 
DTN IQFeed/DTN.IQ/DTN NxCore |
Posted: Nov 28, 2008 09:16 PM
Msg. 4 of 4
In looking at your T&S dump, I don't see anything out of the ordinary for options. With stocks (or options in this case) that aren't very liquid you will see quite a few trades that occur outside of the bid or ask price. What you are seeing is actual data coming from the exchange, so there really isn't anything we can fix.
Jay Froscheiser DTN - Trading Markets |
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