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» pre-open Total Volume
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| Author | Topic: pre-open Total Volume (4 messages, Page 1 of 1) |
 jacknsa -Interested User- Posts: 10 Joined: Nov 1, 2017 |
Posted: Dec 22, 2017 09:56 AM
Msg. 1 of 4
Dec 15 was a triple-witch options expiration day and we noticed some unusual trades. Unfortunately I wasn't logging the real time quotes but I'm trying to understand the trade flow from a historic HTT. Can you help me understand the trades at 08:34:41 and 09:07:00? In particular, note that "Total Volume" at 09:05:10 seems to be less than at 08:34:41 and then catches up at 09:07:00.
Thanks. HTT,MCD,20171215 000000,20171215 235959,,040000,093000,1,TESTREQUEST,10 TESTREQUEST,2017-12-15 04:06:22,173.2900,108,108,171.2000,173.2900,808464434,0,0,E, TESTREQUEST,2017-12-15 07:26:46,173.5800,100,546,173.1500,173.6300,808465714,0,0,E, TESTREQUEST,2017-12-15 08:13:34,173.5800,100,695,173.1500,173.6300,808466225,0,0,E, TESTREQUEST,2017-12-15 08:34:41,173.1400,285,34722,173.2500,173.6300,808539464,0,0,E, TESTREQUEST,2017-12-15 09:05:10,173.6200,100,1136,173.5000,173.6300,808466770,0,0,E, TESTREQUEST,2017-12-15 09:07:00,173.1400,33742,34891,173.2000,173.7500,808661586,0,0,E, TESTREQUEST,2017-12-15 09:23:58,173.6900,122,35122,173.5300,173.7000,808469826,0,0,E, TESTREQUEST,2017-12-15 09:24:59,173.5300,138,35304,173.1500,173.5300,808470089,0,0,E, TESTREQUEST,2017-12-15 09:29:30,173.9400,300,35654,173.5900,173.9800,808464456,0,0,E, TESTREQUEST,2017-12-15 09:29:35,173.9800,100,35854,173.6100,174.0000,808464433,0,0,E, TESTREQUEST,2017-12-15 09:29:45,174.0000,100,35954,173.8000,174.1800,808464735,0,0,E, TESTREQUEST,2017-12-15 09:29:46,174.1600,111,36065,173.8000,174.3500,808473429,0,0,E, TESTREQUEST,2017-12-15 09:29:46,174.2400,100,36173,173.8000,174.3500,808473648,0,0,E, TESTREQUEST,2017-12-15 09:29:46,174.3400,100,36454,173.8000,174.3500,808473651,0,0,E, TESTREQUEST,2017-12-15 09:29:46,174.3400,281,36754,173.8000,174.3500,808473666,0,0,E, TESTREQUEST,2017-12-15 09:29:46,174.3400,400,37154,173.8000,174.3500,808473667,0,0,E, TESTREQUEST,2017-12-15 09:29:46,174.3400,400,37554,173.8000,174.3500,808473668,0,0,E, TESTREQUEST,!ENDMSG!, |
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DTN_Tim Walter -DTN Guru- Posts: 1238 Joined: Apr 25, 2006 
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Posted: Dec 22, 2017 10:42 AM
Msg. 2 of 4
Good morning, Around 9:01 we received a deletion that was sent for a trade of 33472 shares that was originally sent at 08:32:37.827174. It then appears a similar trade was sent at 9:07 by the exchange. The total volume is the currently reported volume at the time of the trade, and that is what caused this apparent overlap.
Tim |
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jacknsa -Interested User- Posts: 10 Joined: Nov 1, 2017 |
Posted: Dec 26, 2017 06:48 AM
Msg. 3 of 4
Thanks for the quick reply. I'm trying to determine what the real-time "Q" feed would have looked like and how we can detect in real-time when something like this happens in the future. I assume we would have gotten normal "E" records for the 08:32:37 and 09:07:00 events but what would we have gotten for the 09:01 deletion? Do you happen to have saved traces of the "Q" feed for that time period?
Jack |
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DTN_Tim Walter -DTN Guru- Posts: 1238 Joined: Apr 25, 2006
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Posted: Dec 27, 2017 08:35 AM
Msg. 4 of 4
We apply these items to our historical data upon reciept, so you can identify them in history by when the volume crosses, like in your case, but there is not a message in the level one data feed to help you process these situations real-time. It is something I will escalate to our product management to try and bring attention to on your behalf for future development.
Tim |
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