Not on the BId or the Ask

Discussion in 'Order Execution' started by erd0c, Jul 9, 2007.

  1. erd0c


    How do I interpret a trade that occurred "neither on the bid or the ask" ?

    And what does outside the bid mean?

  2. Surdo


    If the spread is wider than one tick a trade might occur between the spread. This is not exactly a revelation.
  3. erd0c


    Ah!, This IS a revelation.


    But it doesn't mean outside the spread?
  4. Outside the spread would be above the ASK or below the BID.
  5. I may be wrong, but I cannot recall any trade on NYSE below bid or above offer. You can see trades inside of the spread, and that may be price improvements by the specialist (very seldom these days though) or odd lot trades.
  6. rayl


    Or a late print or a large block (though the latter will occur less after NMS sets in).
  7. Well, I agree that late prints can be outside of the current spread by definition.

    But in order to cross a large block outside of the current quotation on NYSE, the floor broker has to take all the current liquidity (included specialist and floor broker's reserve size) up to clean-up price, so technically he sweeps the NYSE book and then prints the reminder at the clean-up price (at the newly established level I quotation).
  8. jessie


    In futures, on occasion, a trade is carded outside the bid/ask if it is one leg of a spread.
  9. You'll see this quite often since the hybrid system took effect. I keep bids below the NYSE bid, and offers above the NYSE offer. When the Specialist "sweeps" I often get filled, even though the NYSE bid and offer did not change. On our system, the quote line changes color.

    For example: NYSE 34.40 x 34.44. I have a 34.34 bid. The quote changes colors (indicating a sweep), I get filled at my price, and the 34.40 never goes away. I'm not really a scalper, but I'll go ahead and hit the higher bid sometimes, heck why not?

  10. I think it depends on your market data feed, and I'm pretty sure that your feed (or your eyes) simply misses a lot of quotes. In your example it was just price refresh by some algo, and it was so quick you missed the bid quote at 34.34.

    The feed I'm using is very good and I know I don't miss any single quote. Here is the sample output from my custom built "NYSE ticker tape" app that illustrates the sweep and shows that the print is always at or within the spread:

    15:53:15 34.06 x 34.07 8 x 2
    15:53:16 34.06 x 34.10 8 x 2
    15:53:16 34.06 x 34.10 9 x 2
    15:53:16 34.06 x 34.10 9 x 3
    15:53:16 34.06 x 34.10 9 x 16
    15:53:16 34.07 x 34.10 1 x 3
    15:53:16 34.07 x 34.10 1 x 2
    15:53:16 2s34.07 B7=/0+
    15:53:16 1s34.08 B8/+ b/sw
    15:53:16 1s34.09 B9/+ b/sw
    #10     Jul 13, 2007