putting together this story, was it a buy or a sell

Discussion in 'Order Execution' started by Sky123987, Dec 18, 2007.

  1. In the following chart attached, I have recorded every quote and every trade. Thanks to Spec who informed us that there is a delay when trades are published compared to when quotes are published. Because of this we now have to put together a puzzle of exactly what happened to order to know what happened.

    As you can see at 7:49:12:031 hours:min:sec: milliseconds
    there were 2 trades that occured for 100 shares. The question is way it a buy or a sell? was the ask hit or the bid?

    At first I thought the ASK was lifted because there are 2 trades for 100 shares at the same time. also at time 74911390 you see 200 shares offered @ 103.37, but you would expect to see offer increase to 103.38 if the trade occured there, but instead it decreases to 103.36.

    Then you see @ 74906437 there is 200 shares bid @ 103.37, then you see only 100 shares bid at 103.37 and then you 0 shares bid a 103.37... but here is what is not adding up!!!!! you see the first removing at 06:453 and the second removal at 11:062 that is roughly 5 seconds difference that the shares were removed, however the 2 trades we get are the SAME time.

    So the question is... could the 2 trades be published at the same time but really be 5 seconds apart?

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  3. The first print is a sell hitting the bid 103.37 @74910453, putting the next bid price to 103.34. The second print is "tag along" print. If you had trade condition on the grid you'd see that the second print had either @ (regular sale print) or F (ISO).

    Welcome the tape reading world :)
  4. don't have condition on my data feed... geez if I'm really going to get into I have to get a good data feed