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» Time&Sales - trades above ask/below bid
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| Author | Topic: Time&Sales - trades above ask/below bid (6 messages, Page 1 of 1) |
 Peter -Interested User- Posts: 2 Joined: Jul 7, 2011 |
Posted: Jul 7, 2011 08:05 AM
Msg. 1 of 6
Hello,
I see a lot of trades that occur above the ask or below the bid in the time&sales, but how is this possible ? Normally this is not possible. Here is a post from a NinjaTrader user (NecTecture) from NTSupport forum : --------------------------------------------------------------------------------------------- Time for a real answer now There is no possible trade ouside the bid/ask spread. Period. The exchange will always match the closest price (best bid/ask) and execute at that price, moving the bracket (bid/ask) if there is not enough to match the order. That being said, trades outside bid/ask are basically a data transfer issue. Because they do not say the trade happened outside bid/ask, but it happened outside bid/ask KNOWN TO THE COMPUTER. This can be because of bad data sources (example: IB updates bid/ask with all other info only x times per second, so in the meantime a trade CAN happen outside), or because of the way the information is handled on the side of the data provider. I am not even aware whether the exchange GUARANTEES (like: always) that bid/ask moves will be under all conditions (fast market) published in proper order. Especially not during the execution of ONE trade. Example: I want to buy 100 ES. there is an offer of 50 at 1000, 75 at 1000.25. My trade will thus execute 50 at 1000, 25 at 1000.25. Practically, depending on granularity.... the exchange MAY Publish "trade 50 at 1000, new best bid is 75 at 1000.25, trade 25 at 1000.25, new best bid is 50 at 1000.25", OR it may decide to publish "trade 50 at 1000, 25 at 1000,25, new best bid is 50 at 1000.25". The later is less data.... but it means that part of the trade happens outside bid/ask on the client side, although technically naturally it happend within the at that time valid bid/ask spread. Plus the data provider may optimize (not Zen-Fire/Rithmic, but some others may just decide to). So, at the end, you talk of data granularity issues here, possibly even at the exchange. ---------------------------------------------------------------------------------------------------------- http://www.ninjatrader.com/support/forum/showthread.php?p=236616 Post #7 |
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Peter -Interested User- Posts: 2 Joined: Jul 7, 2011 |
Posted: Aug 17, 2011 02:52 AM
Msg. 2 of 6
Any comment ?
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Stan S -DTN Guru- Posts: 256 Joined: Apr 13, 2006 
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Posted: Aug 17, 2011 07:41 AM
Msg. 3 of 6
Hi Peter,
The exchanges send us 2 data feeds, 1 for quotes (bid & ask) and 1 for trades. That is why you see what appears to be trades outside the bid & ask. The 2 feeds are due to the huge amount of data being sent, 1 feed may not be able to handle all the data. I hope this helps. Stan S What we do today, determines how people remember us forever. Be the positive force in someone life. |
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Jojojo -Interested User- Posts: 10 Joined: Nov 10, 2013 |
Posted: Nov 10, 2013 12:08 PM
Msg. 4 of 6
Has this behaviour been synchronized until today? Or are there trade-ID's which correspond to bid/ask ID's or sth. like this?
regs Jojo |
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DTN_Tim Walter -DTN Guru- Posts: 1238 Joined: Apr 25, 2006
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Posted: Nov 11, 2013 09:54 AM
Msg. 5 of 6
Hello,
Several exchanges still employ this model and we may see more following suit in the foreseeable future as volumes have continued to climb. Tim |
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Jojojo -Interested User- Posts: 10 Joined: Nov 10, 2013 |
Posted: Nov 21, 2013 05:14 AM
Msg. 6 of 6
See here (unfortunately in german)
File Attached: CEF_core.pdf (downloaded 2609 times) |
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