Sometimes you see prints below the bid for example and almost always b/a ask downtick to that level very shortly after. Does that mean that currently displayed inside bid is no longer "real" and people started hitting one level below? Also sometimes you see crossed markets with bid > ask. That shortly resolves with either bid or ask backing off to a non-crossing position. How do you know which is "real"? You look at prints right?
If there are no ECNs on the inside, then the prints are where the real market is. If there are ECNs on the inside, if the print is small, then it is insignificant, if the print is >=25000, it could signal institution order flow in the direction of the print.
traderkay =) the nazdaq is a fragmented marketplace.. there are a really quite a few reasons that you will see prints outside the inside quote.. 1.) Someone used soes or selectnet to hit a market maker outside the inside quote. 2.) Somone trading on an ECN hit a bid or ask outside the inside quote. 3.) The trade was made between a market maker and one of his "pay for order flow accounts". It is not uncommon for a MM to fill an online brokers order slightly outside the market. 4.) A market maker wishes to sell stock and is sitting on the bid with only 100 shares showing and simultaneously hitting the bids below his bid. The market maker knows that he can tie up other traders orders in selectnet while he scoops up the shares slightly below. The reverse is true if he is trying to buy. 5.) The trade was reported late. and on and on.. hope this helps.. -qwik
Crossed and crossed and locked markets can be the result of pent up demand/supply and ambition (and hopefully not an error) They can be great indicators of the short term supply and demand relationship. Imagine a champagne cork being released. Ask why this may be occurring? What just happened? Have things happened very fast? Is price traveling? They will resolve themselves, if a high demand scenario, the second and third inside markets are usually thin (a few hundred shares on either side) with wider spreads, (greater than 10 cents). With resolution (of the locked or crossed market), a momentary trend is often in place. That in and of itself can ignite a buying spree. A self fulfilling prophecy if you will. It is particularly easy to accelerate a stocks momentum right after releasing the "cork" The last price is key to watch when a crossed or crossed and locked market corrects itself, if it travels with a little follow through, the above relationship can unfold. There are also time when the markets simply uncrosses/unlocks and no frenzy follows. The aforementioned represents my opinions and experience. I hope this helps. -Hoyler
aldrums.. you are correct, soes executes against the inside quote.. it is possible though for someone to enter a soes market order when only an ecn is at the inside quote.. that order is held in que for 90 seconds for a market maker to appear at the inside quote.. if during that time, the ecn order is filled and the participant using the ecn refreshes the quote, the ecn moving away would trigger the soes order to execute against the nearest market maker at the next level down.. this is one possibility for seeing trades go off just outside the inside market.. -qwik
Another possibility is that the order is larger than that which is available at the inside price and the MM is directing it to a specific ECN or other MM for quantity NEAR the inside prices. (This may have already been posted in a slightly different way.) You may also find "cleanup prints", where a MM who's been working a big order (for a client) to a certain side finishes the order, then will take the last few blocks on the other side for himself. The inside Bid/Ask may still be valid for the quantities posted but the reserve makes this number almost always useless.