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TITANIMUM

Registered: Sep 2011
Posts: 14

08-14-12 09:12 PM

I trade futures and options with IB, whenever I trade I check the time and sales off the legs if a combo is traded. Why is it often the case the time and sales don't match the trade prices shown at the time? for the individual legs, and much more often the whole combo time and sales. fortunately most of the time I am the beneficiary by a significant margin. eg other day by up to 40%!
but why is there this mismatch?

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Bob111

Registered: May 2002
Posts: 6404

08-14-12 10:55 PM

http://www.elitetrader.com/vb/showt...s&pagenumber=44

scroll down to clock issue. this question was floating around for atleast 5 years..they never explained

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TITANIMUM

Registered: Sep 2011
Posts: 14

08-15-12 06:57 AM

what other posts have been on this anomaly? could it be because of internal trading? hell,they can do all the internal trading they want, so long as l am the overall beneficiary! if l was getting fills which were worse overall, l change broker.

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RPEX

Registered: Apr 2009
Posts: 68

09-24-12 04:23 PM

sorry for bumping

But does anyone know of a 3rd party vendor which can show time and sales for all options on a given underlying. In fact "time & sales" as we know it is overkill, i just want the largest trades, it doesn't even have to be real time delayed would do.

I understand many people have been looking for this. Livevol is too expensive just for this, and the block trades site on the cme is rubbish, and TWS t&s has always been dodgy anyway - half the time even the prints on the charts are dodgy.

Cheers

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comintel

Registered: Jun 2008
Posts: 1077

09-25-12 02:42 AM

Maybe they just assign the legs arbitrarily when a spread order is executed?

Only the net value needs to be a market value.

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