So actually got out of this trade on a trailing stop early this morning. Later on in the day while at work ,I pull up my charts to see whats going on and browse over to AAR-UN.TO to see how it was trading for the day after I got stopped. I was kind of shocked at what I saw. This type of stuff kind of interest me, I don't scalp and has little to do with the way I trade, but trying to wrap my head around how these algo's react together fascinates me. So I'll post a few charts and a pdf of an excel sheet I have of the tick data. It all happened within a second. The most interesting part was I decided to try out Amibroker's new plugin for IQFeed where they use their AUX1 and AUX2 fields to bring in bid/ask values for tick data. The bid/ask never changed yet the trades kept rolling in well below the bid. This is on the Canadian exchanges and sure most don't know much about how the Canadian exchanges are wove together, I sure don't and their isn't much online compared to U.S markets. So my trade was stopped out pretty much off the open at 5.62. It's not the most active stock out there but it does keep a tight spread as long as I've ever watched it. Here is a picture of a single tick chart showing the move. It traded in quite the range of lots, 100 - 3500 shares at one point. You'll even notice though later on theirs quite the weird block which traded at 80,000, which is pretty weird considering the daily volume was just shy of 950 000 :/ . (Off exchange trade I would Imagine?) Their should be an PDF attachment aswell , seemed like the easiest way to just save my excel file as a PDF to share on here. It's just a brief section of some of the data for the day. It's a crude spreadsheet as I couldn't figure out how to get a string formatted time into a column in the Amibroker analysis window(too late to work on that lol). So I have the time in hour/min/sec in one column, the second column is the microsecond at that point in time and then we have the trade, bid, ask, and volume at the time of that trade. IQFeed as far as I know doesn't block trades together, they send it how the exchange sends it. I'm kind of baffled by the bid/ask and the trade prices...... I may try and see if I can get something similar in the ninja trader demo I have sitting on my computer . I am thinking it could be something to do with the exchange lagging on the NBBO since this all did happen in less then a second.
Its not unusual for last trade to print above the inside Offer or below the inside Bid...happens all the time on CME for futures during periods of volatility. I am not sure of the matching process but its worth knowing that the inside Bid and Offer are not the only possible fill prices. The Open is definitely going to be susceptible for outside market fills.