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»Forums Index »Archive (2017 and earlier) »Data and Content Support »How come BID > ASK ?
Author Topic: How come BID > ASK ? (3 messages, Page 1 of 1)

tamir
-Interested User-
Posts: 4
Joined: May 5, 2009


Posted: May 10, 2009 02:56 AM          Msg. 1 of 3
I am using IQFeed (via the XLQ C++ API) and I noticed that many times I get that the BID price exceeds ASK price.
(There is no change in the last update time so I guess these two prices belong to the same quote)

I provided the few following examples. All are within trading hours. I have hundreds of such examples. Nearly every stock has this phenomena at least once in a day.

BID ASK symbol last update time
6.51 6.5 SWHC 9:40:12
22.18 22.17 BRCM 9:54:15
26.29 26.28 ADBE 9:44:00
25.72 25.71 ADBE 10:22:32
25.55 25.54 ADBE 10:31:46


Tamir

Tamir

DTN_Steve_S
-DTN Guru-
Posts: 2093
Joined: Nov 21, 2005


Posted: May 11, 2009 04:07 PM          Msg. 2 of 3
Once in a while, it is possible that this sort of behavior can happen (the exchange will occasionally send values that don't make sense). However, if you are experiencing this as frequently as you say, I would suspect something else is wrong. Most likely data is getting "dropped" somewhere along the line.

Can you trap the occurances where this happens so we can get a timestamp as well as the data you recieve? Since we are talking about bids and asks, it would also be beneficial to have all of the bid/ask updates you recieved back until the most recent trade prior to the occurance. Also, can you give me an idea of how many symbols you are watching and what kind of symbols?

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


Posted: May 11, 2009 06:08 PM          Msg. 3 of 3
I think we covered this topic a long while back, with Tim, before Steve was running this show.

Level 1 quotes consoldate from various "regional" exchanges. Sometimes a glitch at a regional causes quotes to go stale, and as a result the level 1 qoute gets crossed. I had suggested at one time that DTN add some logic to detect "stale" quotes and discard them from being used in the compostite Level 1 quote, but my sugegstion was not adopted.

The solution I utilize is to work with regional quotes for the active exhange (or two or three) for the issues you follow rather than the Level 1 quotes. The regional exchange quotes rarely get crossed and if they do, they usually resolve instantly.

Hope this helps.
 

 

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