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»Forums Index »Archive (2017 and earlier) »Data and Content Support »ISO orders on options not always showing as 0x3d trade condition
Author Topic: ISO orders on options not always showing as 0x3d trade condition (4 messages, Page 1 of 1)

Larry jag
-Interested User-
Posts: 31
Joined: Dec 28, 2015


Posted: Feb 24, 2016 12:16 PM          Msg. 1 of 4
I have recently started analysis from my end on intramarket sweeps for option exchanges (trade conditions=0x3d).
From what I have read on the topic and from the exchange and regulation documentation, once an order is
sent with this code as an ISO order, all resulting trades should be reported with this trade condition
(since there is almost a guarantee to fill because the book is sweeped accross all exchanges)

So looking at SBUX on FEB-23, I see a trade which I believe was sent to the exchange as a ISO order
(intramarket sweep order), the trade results don't show each reported trade with the 0x3d trade
condition in iqfeed. Here is the data I have (historical tick, using CEO command):

SBUX1720A60,HTT_10_SBUX1720A60,2016-02-23 10:09:12.513,4.9,1,1,4.85,4.95,17162907,C,13,45,
SBUX1720A60,HTT_10_SBUX1720A60,2016-02-23 10:09:31.704,4.85,5,6,4.8,4.9,17296825,C,18,20,
SBUX1720A60,HTT_10_SBUX1720A60,2016-02-23 11:04:24.736,4.92,10,16,4.85,4.95,33720319,C,88,45,
SBUX1720A60,HTT_10_SBUX1720A60,2016-02-23 11:08:36.912,4.9,1,17,4.9,5.0,35187012,C,18,20,
SBUX1720A60,HTT_10_SBUX1720A60,2016-02-23 11:09:30.120,4.9,19,36,4.9,5.0,35485583,C,18,20,
SBUX1720A60,HTT_10_SBUX1720A60,2016-02-23 13:20:51.104,5.25,1,37,5.15,5.3,59617450,C,26,20,
SBUX1720A60,HTT_10_SBUX1720A60,2016-02-23 13:33:12.535,5.14,6,43,5.05,5.2,61693366,C,17,45,
SBUX1720A60,HTT_10_SBUX1720A60,2016-02-23 13:33:12.535,5.14,4,47,5.05,5.2,61693367,O,17,45,
SBUX1720A60,HTT_10_SBUX1720A60,2016-02-23 15:13:09.230,5.0,4,51,4.95,5.05,76226759,C,9,20,
##### ISO order was execute HERE (99.99% sure it was ISO)
##### note that trade conditions show 01,20,and the last 3 trades for this order finally show 0x3D
SBUX1720A60,HTT_10_SBUX1720A60,2016-02-23 15:33:06.478,5.15,18,69,5.05,5.15,79400601,C,88,01,
SBUX1720A60,HTT_10_SBUX1720A60,2016-02-23 15:33:06.478,5.15,14,83,5.05,5.15,79400602,C,88,01,
SBUX1720A60,HTT_10_SBUX1720A60,2016-02-23 15:33:06.478,5.15,8,91,5.05,5.15,79400603,C,88,01,
SBUX1720A60,HTT_10_SBUX1720A60,2016-02-23 15:33:06.478,5.15,5,96,5.05,5.15,79400603,C,88,01,
SBUX1720A60,HTT_10_SBUX1720A60,2016-02-23 15:33:06.478,5.15,4,100,5.05,5.15,79400604,C,88,01,
SBUX1720A60,HTT_10_SBUX1720A60,2016-02-23 15:33:06.478,5.15,1,101,5.05,5.15,79400605,C,88,01,
SBUX1720A60,HTT_10_SBUX1720A60,2016-02-23 15:33:06.478,5.15,1,102,5.05,5.15,79400605,C,88,01,
SBUX1720A60,HTT_10_SBUX1720A60,2016-02-23 15:33:06.478,5.15,79,181,5.05,5.15,79400608,C,108,20,
SBUX1720A60,HTT_10_SBUX1720A60,2016-02-23 15:33:06.478,5.15,28,209,5.05,5.15,79400610,C,108,20,
SBUX1720A60,HTT_10_SBUX1720A60,2016-02-23 15:33:06.478,5.15,77,286,5.05,5.15,79400612,C,108,20,
SBUX1720A60,HTT_10_SBUX1720A60,2016-02-23 15:33:06.478,5.15,56,342,5.05,5.15,79400613,C,108,20,
SBUX1720A60,HTT_10_SBUX1720A60,2016-02-23 15:33:06.478,5.15,118,460,5.05,5.15,79400614,C,108,20,
##### last 3 trades showing 3d are below.
SBUX1720A60,HTT_10_SBUX1720A60,2016-02-23 15:33:06.481,5.15,556,1016,5.05,5.15,79400674,C,13,3D, <-- 3d=ISO now showing up
SBUX1720A60,HTT_10_SBUX1720A60,2016-02-23 15:33:06.481,5.15,19,1035,5.05,5.15,79400675,C,17,3D,
SBUX1720A60,HTT_10_SBUX1720A60,2016-02-23 15:33:06.484,5.15,16,1051,5.05,5.15,79400772,C,17,3D,

Should not all trades starting from 15:33:06.478 show 0x3d?
From the tick trades, it looks like a sweep order was entered AFTERwards, but I find it hard to
believe because of the 3ms time difference between the other orders.

-------------------------
Another example (other way around):
ISO order was entered for NMBL, and trade conditions do show 0x3D. BUT if you look further below,
the trades start to be reported as 0x20 within 1ms of the original fill.

NMBL1618C7.5,HTT_10_NMBL1618C7.5,2016-02-23 11:07:08.769,0.45,15,15,0.2,0.45,46339033,C,18,3D,
NMBL1618C7.5,HTT_10_NMBL1618C7.5,2016-02-23 11:07:08.769,0.45,1,16,0.45,0.45,46339034,C,18,3D,
NMBL1618C7.5,HTT_10_NMBL1618C7.5,2016-02-23 11:07:08.769,0.45,2,18,0.45,0.45,46339034,C,26,3D,
NMBL1618C7.5,HTT_10_NMBL1618C7.5,2016-02-23 11:07:08.769,0.45,21,39,0.45,0.45,46339034,C,108,3D,
NMBL1618C7.5,HTT_10_NMBL1618C7.5,2016-02-23 11:07:08.769,0.45,45,84,0.45,0.45,46339035,C,108,3D,
NMBL1618C7.5,HTT_10_NMBL1618C7.5,2016-02-23 11:07:08.769,0.45,85,169,0.45,0.45,46339035,C,88,3D,
NMBL1618C7.5,HTT_10_NMBL1618C7.5,2016-02-23 11:07:08.769,0.45,54,223,0.45,0.45,46339036,C,108,3D,
NMBL1618C7.5,HTT_10_NMBL1618C7.5,2016-02-23 11:07:08.769,0.45,56,279,0.45,0.45,46339037,C,108,3D,
NMBL1618C7.5,HTT_10_NMBL1618C7.5,2016-02-23 11:07:08.769,0.45,21,300,0.45,0.45,46339037,C,26,3D,
NMBL1618C7.5,HTT_10_NMBL1618C7.5,2016-02-23 11:07:08.769,0.45,76,376,0.45,0.45,46339038,C,88,3D,
NMBL1618C7.5,HTT_10_NMBL1618C7.5,2016-02-23 11:07:08.769,0.45,50,426,0.45,0.45,46339038,C,88,3D,
NMBL1618C7.5,HTT_10_NMBL1618C7.5,2016-02-23 11:07:08.769,0.45,46,472,0.45,0.45,46339039,C,88,3D,
NMBL1618C7.5,HTT_10_NMBL1618C7.5,2016-02-23 11:07:08.769,0.45,15,487,0.45,0.45,46339040,C,26,3D,
NMBL1618C7.5,HTT_10_NMBL1618C7.5,2016-02-23 11:07:08.769,0.45,36,523,0.45,0.45,46339040,C,108,3D,
NMBL1618C7.5,HTT_10_NMBL1618C7.5,2016-02-23 11:07:08.769,0.45,10,533,0.45,0.45,46339040,C,108,3D,
NMBL1618C7.5,HTT_10_NMBL1618C7.5,2016-02-23 11:07:08.769,0.45,10,543,0.45,0.45,46339042,C,88,3D,
NMBL1618C7.5,HTT_10_NMBL1618C7.5,2016-02-23 11:07:08.769,0.45,15,558,0.45,0.45,46339043,C,26,3D,
NMBL1618C7.5,HTT_10_NMBL1618C7.5,2016-02-23 11:07:08.769,0.45,11,569,0.45,0.45,46339044,C,108,3D,
NMBL1618C7.5,HTT_10_NMBL1618C7.5,2016-02-23 11:07:08.769,0.45,25,594,0.45,0.45,46339050,C,12,3D,
NMBL1618C7.5,HTT_10_NMBL1618C7.5,2016-02-23 11:07:08.769,0.44,15,609,0.45,0.45,46339050,C,5,3D,
NMBL1618C7.5,HTT_10_NMBL1618C7.5,2016-02-23 11:07:08.769,0.45,10,619,0.45,0.45,46339050,C,5,3D,
NMBL1618C7.5,HTT_10_NMBL1618C7.5,2016-02-23 11:07:08.769,0.45,51,670,0.45,0.45,46339053,C,12,20, <-- not 3d
NMBL1618C7.5,HTT_10_NMBL1618C7.5,2016-02-23 11:07:08.770,0.45,10,680,0.45,0.45,46339068,C,18,3D,
NMBL1618C7.5,HTT_10_NMBL1618C7.5,2016-02-23 11:07:08.770,0.45,82,762,0.45,0.45,46339068,C,9,3D,
NMBL1618C7.5,HTT_10_NMBL1618C7.5,2016-02-23 11:07:08.770,0.45,53,815,0.45,0.45,46339078,C,121,3D,
NMBL1618C7.5,HTT_10_NMBL1618C7.5,2016-02-23 11:07:08.770,0.45,134,949,0.45,0.45,46339083,C,16,3D,
#### no longer showing 3D - trade is only 1ms off of the 3D trade condition fill..
#### Also trade is at different trade market center from the original trade...making it highly suspect that
#### an HFT could jump the queue and fill it.
NMBL1618C7.5,HTT_10_NMBL1618C7.5,2016-02-23 11:07:08.770,0.45,31,980,0.45,0.45,46339090,C,5,20, <-- not 3d
NMBL1618C7.5,HTT_10_NMBL1618C7.5,2016-02-23 11:07:08.770,0.45,3,983,0.45,0.45,46339091,C,5,20,
NMBL1618C7.5,HTT_10_NMBL1618C7.5,2016-02-23 11:07:08.770,0.45,3,986,0.45,0.45,46339091,C,5,20,
NMBL1618C7.5,HTT_10_NMBL1618C7.5,2016-02-23 11:07:08.770,0.45,3,989,0.45,0.45,46339091,C,5,20,
NMBL1618C7.5,HTT_10_NMBL1618C7.5,2016-02-23 11:07:08.770,0.45,3,992,0.45,0.45,46339091,C,5,20,
NMBL1618C7.5,HTT_10_NMBL1618C7.5,2016-02-23 11:07:08.770,0.45,8,1000,0.45,0.45,46339091,C,5,20,
NMBL1618C7.5,HTT_10_NMBL1618C7.5,2016-02-23 11:07:08.771,0.45,1,1001,0.45,0.45,46339104,C,18,20,
NMBL1618C7.5,HTT_10_NMBL1618C7.5,2016-02-23 11:07:08.774,0.45,175,1176,0.45,0.45,46339259,C,13,3D,
NMBL1618C7.5,HTT_10_NMBL1618C7.5,2016-02-23 11:07:08.784,0.45,10,1186,0.45,0.45,46339373,C,26,3D, <--- this could be a new order given 11 ms after original.
NMBL1618C7.5,HTT_10_NMBL1618C7.5,2016-02-23 11:07:26.986,0.45,814,2000,0.2,0.5,46428914,O,13,45, <------ not part of the original order (I believe)

Thanks in advance.
Larry

Larry jag
-Interested User-
Posts: 31
Joined: Dec 28, 2015


Posted: Mar 1, 2016 03:42 PM          Msg. 2 of 4
Can someone please answer my question. It has been a while since I posted it.

DTN_Beth_Williamson
-Interested User-
Posts: 1
Joined: Apr 25, 2007


Posted: Mar 1, 2016 04:24 PM          Msg. 3 of 4
Larry jag,

We apologize for the delayed response. Our developers are currently investigating your issue. We hope to have an answer for you shortly.

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


Posted: Mar 1, 2016 04:54 PM          Msg. 4 of 4
Hi Larry,

My apologies for the delay. I sent you an email concerning this. It sounds like you did not get it though. I was not able to confirm the messages that we received from the exchange on the day you reported this so I was hoping to find another example of it, but as of yet, I had not. If you see one from earlier today or tomorrow, please pass it on and we will be happy to help with this.

Tim
 

 

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