Prints outside of the market

Discussion in 'Order Execution' started by syswizard, Jul 16, 2005.

  1. using the ever-so-fast and reliable Lightspeed with Nasdaq-traded equities, every once in a while, I see a "wild-and-crazy" print, usually of high volume come across several cents outside of the Best bid and ask.
    Can someone explain to me what causes this ?
    Is it possibly a case where these trades have a correct time-stamp, yet the ECN's are late in posting them to the electronic feed ? Since I can't "see" the timestamps, it's difficult to discern.
    Any help or explanation greatly appreciated !
  2. OTC prints, telephone trades.
  3. ig0r


    ...which in turn are printed electronically long after the trade is completed.

    On the other hand, stupid (or desperate) people do indeed hit orders far from the market - especially after hours, even on NYSE stocks. Case in point, had some orders in on PG after the close trying to get out of some of my position, sold like 600 at .75 on ARCA and bought it back right away on a .50 offer on ISLD. You have to remember that, especially after hours, a misclick buy/sell at market (or even an intentional one - many people have limited overnights) isn't that uncommon.
  4. Thanks all for the replies. This indicates a need to IDENTIFY and ignore these trades for the purposes of an AUTOMATED STOP LOSS feature for instance. These "late" prints could erroneously force an exit of an existing position when in fact, the "inside" price was far from the "print" price.

    Now, I am wondering how platforms like Tradestation 8 handle these "conditions" when the automated trading strategies are enabled ?

    Am I missing something here or can Tradestation (and other automated platforms) use logic to ignore these "late" prints by comparing the trade time-stamp to the current-time ? I.E. if the difference is more than 2 seconds, ignore the printed trade.
  5. alanm


    The timestamp is probably in-line with the order in which it appears on the tape, so that doesn't help. Sometimes, there is a 'Z' indicator to indicate it's a late posting. After-hours, though, you won't see the 'Z', only the 'T', along with all other trades, so that doesn't help. There are also other indicators which should be ignored - check your quote platform's documentation.

    Also keep in mind that, with listed stocks, prints outside the NBBO may indeed reflect where the actual market is. The ECNs commonly start racing through the other side of the market when it becomes apparent that the NYSE or AMEX is about to gap in that direction. I'd be interested to know how a bunch of people seem to determine this, BTW (or is it just the lemming effect?).
  6. And also remember you may have some of these trades busted. If you closed a position before the bust, you can get burned badly.


  7. Yes, I've seen this, BUT with liquid Nasdaq stocks, these one-sided prints are usually never more than 1 or 2 cents outside of the NBBO. With the "wild prints", I've seen them 5-10 cents outside of the current NBBO.
    It seems as though a threshhold of 2-3 cents should be used to "filter" the "wild prints" out to prevent an errant action from an automated strategy.