Bid = Ask, but no execution?

Discussion in 'Order Execution' started by MorganSys, May 7, 2005.

  1. Looking at Esignal tick data for AFFX, I see many instances where the bid = the ask, but there is no subsequent trade... any ideas why?


    Date Time Price Size Bid BidSize Ask AskSize
    5/6/2005 6:43:41 48.01 1 48.03 1
    5/6/2005 6:43:41 48.03 1 48.03 1
    5/6/2005 6:43:41 48.03 1 48.04 1
  2. tntneo

    tntneo Moderator

    this happens when several exchanges (including ECNs) are involved.
    in that case bid might equal ask but not on the same exchange => no fill
  3. Ahh
    Should have thought of that.

    Thanks very much!

  4. Bsulli


    the 6:43 times doesn't say if it was am or pm. In the case of am if the bid ask equal and both are market makers they don't have to honor the quote until a few minutes before the open.