Obviously not real time, but I think you already figured that out. The truth is that you will never know unless you are monitoring the ATSes. They don't have to report the prints ASAP and have many excuses why it may be reported late. I already pointed out an example to you of how it was done under the specialist system. In those cases, the transactions were negotiated and completed some time before actually being reported. Sometimes it was kept within the market and sometimes outside.
I think this is being made more complicated than it is. I trade with dark liquidity everyday. In all of my trades, the trades are reported to the tape immediately. Thus, some trades are reported as soon as they happen. You called the dark books and were told they sometimes report the trades late to the tape. Thus, some are reported late and marked as such. On a graph, these trades will show up when they hit the tape along with their corresponding volume.
I think the real question here is HOW can you trust the current short term immediate volume bar ie: 5min as being accurate ?
"...a member firm will seek to execute as much of the order as possible during the trading day.... Any portion not filled will be reported after hours. Members typically execute the unfilled balance of orders, AFTER the US consolidated tape is closed. In london, over the counter market, where trades ARE NOT reported in real time." http://www.sec.gov/rules/sro/nyse/2008/34-57213.pdf I.e. don't expect transparency in bid-ask depth OR trade executions. straight from the S.E.C.
It amazes me that any of us can make money in this business with this type of nonsense. Good thing we have the government protecting us and making sure it's a level playing field (well sorta level). Like driving a car with 3 wheels
When trades are reported out of sequence, they have a flag that indicates that the trade might be out of sequence. You can filter this trades in most charting systems to avoid having an erroneous spike in your chart... By filtering out such trades in the tape you might lose some volume but at least the price will be correct. Ceteris paribus, this shouldn't affect your trading since everyone else is trading off the same information.
I think he was simply asking about transparency. As trading intentions and executions become more and more invisible, the small retail trader has not only less visibility, but less liquidity to trade into. There are even many companies opting to execute trades overseas for even less transparency. What it also does is approach a completely distorted view of footprints (i.le. price information and volume), the only weapons for the under informed trader to utilize. I don't see this as a benefit to the small investor as the SEC promotes, rather it is reducing the already un-level playing field. However, it does help institutions hide their intentions, although even they are wondering what is going on behind the curtains (are they getting the best fill or being front run in a different manner).