I currently get NYSE OpenBook from two different sources. Once a stock has opened, one of my sources never shows a crossed market in OpenBook - the bid is always less than the ask. This makes sense because any orders that "reach across" are marketable, and should be held/handled by the spec, and never get to the book, right? The other source routinely shows crosses, perhaps as though it were showing marketable orders that have been entered and are awaiting being paired off by the spec. Is the second source whacked, and maybe just not processing messages in the right order, or is the first source purposely discarding any crossing quotes? Who do you get your OpenBook from, and which behavior does it exhibit? Reminder: I'm talking about normal trading conditions, once a stock is open, not imbalances or other unusual circumstances.
Alan, Your first source is IB. IB is wrong. For some reason they don't show the "real" NYSE OpenBook. They have programmed it so that they don't allow the bid to be greater than the ask. The reality is the bid is often > than the ask (your second feed is correct). This source will give you a better idea what really goes on at the NYSE (crooks). To confirm what I say - if you enter a limit order > than the ask (with no auto available) you will see it cross the market with your second feed. The second feed is much more useful than what IB shows as it will give you a better idea what the next tick will be. I have not addressed the issue with IB but perhaps I (you) should....... i.e. yesterday I was attempting to buy 1,000 shares of EK. The posted market (level 1) was 20.75 bid 20.77 ask. The market was upticking and there was only 100 shares offered thus no auto was available. There were several orders that were bidding above the ask (20.78, 20.79 and 20.80) and these bids were illustrated in my data feed. This gives traders a good idea where the next tick will be (20.80) even though the level 1 market was still offered at .77. The IB feed would not have displayed the bids greater than .77.