Would like to get some feedback on some strange behavior I'm seeing on Lightspeed platform. At exactly 7 and 8 am every day, one or more of the biggest gappers goes nuts- volume jumps from 2-5K/min to 50k +, and price shoots up a dollar or more. The price action jumps up and down very actively. The trades look real. They shown on L2 and Time and Sales. Non of this crazy activity shows on my TD Ameritade charts, or in my Sterling trading sim, or on any other data source I can find. If I try to catch this price move, I can't. I can't sell at that high price... Lightspeed tells me these are real trades from dark routes or "alternate networks", and these trades are "real" This activity lasts for 1 minute. And the price always returns back to where it it "was". I say "was" because the price returns to where it agrees with all other data sources. And this whole crazy thing happens again at 8am. I've been trading for a year so still consider myself a rookie. This whole thing looks to me like more of a data glitch of some sort and that this cascade of trades isn't even real, especially because this doesn't show up on any other system I have access to. Can anyone help me understand this?
Such trades may be dark pool trades that are reported delayed, sometimes from a day ago. But why do you ask people to theorize and speculate instead of providing specific examples that others can look at, and compare to the data they may see outside of LightSpeed?
I'd be happy to provide data. That's not a problem. Want to see if anyone else has seen this as well. I see it every day. A buddy of mine that also trades sees it too. The exact same moves on the same symbols at the same times. Perhaps others do too. Maybe on other platforms. This may have nothing to do with a particular platform, and more to do with data feed subscriptions or something. Perhaps this is a well known phenomenon that is easily explained. And if so,, supporting data is unnecessary. In your experience would spurious dark pool data arrive predictably each day at specified times, for particular short durations? Seems odd to me. But maybe that's the nature of the beast? For me? I'm gonna just avoid taking trades during these short periods if I see unexpected ultra-excessive volume and gigantic price moves. But would love to understand it better if possible. I mean: I'm trying to make a living doing this. It would nice to more completely understand the nature of the thing I am relying on to make my living.
I see it every day too, and I know why how some of them happen, but you may be seeing different stuff than me or anyone else. So you’re wasting everyone’s time by talking theories while being the only one who knows what you’re discussing. That’s like talking to yourself while making everyone else guess what you’re taking about. I actually never understand why people ask questions and then want everyone else to make bunch of guesses and assumptions, and hope to guess what they see. Come on, if you want to be a trader then be professional and don’t force others to do more work than you did by looking at your screen. Is it so difficult to copy and paste here whatever it is that you’re looking at?
Guru- 1- Settle down. No need to light your hair on fire, or worse: mine. 2- Would a picture of the chart be necessary? Or are you just asking for a symbol time and date? Symbol is ZYNE Time 8:00-8:04 am yesterday
I found them in my data/tapes from my data provider, so in terms of seeing them, I do. In terms of what they are, my system's internal filters automatically marked them as suspected of being delayed dark pool trades, though there is no way to verify this for sure. The bid/ask around 8:00 - 8:04 was in the range of $6.50-$6.79, while those trades were in the range $7.16- $7.50 (could be wider, as I didn't look at all the data). There were also some trades above $7 earlier around 7:00 to 7:30 that seem valid, so those dark pool trades that came later could've been traded 30 minutes earlier. There was one more suspect delayed dark pool trade at 8:55 am, showing @$7.60. Bear in mind that my broker, IB (and probably many others) also shows those suspect dark pool trades after 8 am, without being able to filter them out: In some cases it is possible that such trades actually happened at that time, as there is no way to tell for sure. But there are enough such cases that aren't valid real-time trades to conclude that you're seeing and referring to those bad ones. See, it's much easier when looking at specific examples
BTW, out of curiosity I checked and just for today I'm seeing over 20000 minutes (across different symbols) with pre-market dark pool trades, with any of them potentially being delayed or suspicious in some way. "Minutes" because I store the data summarized by minute, so it could be 100s of thousands of such trades. Who knows how much of those are total trash.
This is great info Guru. Thanks for the info. If you or others don't mind: I wanted ask a few questions so I can further understand this. - Any comments on the purpose of delayed darkpool trade info flooding into the data stream? Is there a purpose? Or maybe just a glitch? I mean if someone is taking the time to cause this to happen there must be a functional reason, right? Obfuscation? Information? OTOH- is it just some mindless bot doing some sort of data management housekeeping? I'm just wondering why this might be occurring so I can plan accordingly. - why are my other data sources (Sterling, TD Ameritrade, Yahoo Finance ...) not showing this activity while LS does? It is a matter of what data stream I have subscribed (or not subscribed) to? I have not subscribed to the full set of data sources available from current vendor so surprised if I would be seeing "advanced" data. I'm thinking that many platforms filter this stuff out while others do not? -Any thoughts about why these flurries of activity would happen exactly 7 and at 8 am? I mean really, you could almost set your watch by it. And why for just for less than 5 minutes? And why start and stop so abruptly? Seems like random dark pool activity spikes, (like any spikes) would normally be based on each symbol's situation, which, other than things like opening and closing bell, halts and major announcements, would not happen at particular exact times. Are many dark pool trades entered into the system in batches perhaps at specific times? Maybe this has already been discussed in this forum: and if so, I don't mean to waste anyone's time. A pointer to that thread would be most beneficial. Thanks all.
Possibly someone else may know more about those, as I don’t have good answers either. But: Re: 1-3 My guess would be the same reason that some enterprise websites (like banking, phone companies, etc) and brokers are inaccessible at night - they run database backups and reports, which slows down their systems. I do the same internally and schedule various processes at night. Your computer may also get backed up at night, or download updates at night. Similarly, possibly dark pools summarize and submit their data once an hour. Although I think they’re required to submit data in real-time during market hours, so not sure if they really need to delay it pre-market and after-hours. Your other guesses may be just as good as anyone else’s. Re: 2. I just looked at Yahoo chart and I see the same bad data on Yahoo Finance and now cannot trust that you actually checked the data at all the brokers you’ve mentioned. Yesterday I also checked and showed the screenshot of my broker (IB) showing the same bad data on their charts. So I haven’t found any confirmation that what you’re saying is true. I may add the Yahoo screenshot later, as I can’t insert it right now from my phone.