Are highlights in Time and Sales dark pool orders

[dvrkbxy]

Hey guys! My time and sales window displays highlighted green/red prints, different from usual green/red prints which are ON the bid/ask.. these are defined as prints that take place "ABOVE the ask or BELOW the bid"

I assume that these are dark pool orders right? because otherwise this would be impossible.

I also attribute much of the white prints to dark pools as well.

 

[qlai]

I assume that these are dark pool orders right? because otherwise this would be impossible.

Usually quotes and trades come on different feeds and are not synched. Your provider then tries to consolidate these feeds into nice display as best as they can.

 

[dvrkbxy]

Usually quotes and trades come on different feeds and are not synched. Your provider then tries to consolidate these feeds into nice display as best as they can.

i'm not sure how this applies to the question

 

[qlai]

these are defined as prints that take place "ABOVE the ask or BELOW the bid"

If you see print above the ask, it does not necessarily mean that this print happened at the same exact moment in time.
For example:
Market:
#1 10.00x10.01 nbbo
#2 100@10.01 trade at ask
#3 200@10.00 trade at bid
#4 9.99x10.00 nbbo


Market Data (simoteneously):
Feed1: #1,#4
Feed2: #2,#3

Your software:
10.00x10.01
9.99x10.00
100@10.01 above ask!
200@10.00 at ask!

Usually you don't see this on slow moving stocks or during lunch when things are not moving as fast. I hope I am answering the right question

 

[dvrkbxy]

If you see print above the ask, it does not necessarily mean that this print happened at the same exact moment in time.
For example:
Market:
#1 10.00x10.01 nbbo
#2 100@10.01 trade at ask
#3 200@10.00 trade at bid
#4 9.99x10.00 nbbo


Market Data (simoteneously):
Feed1: #1,#4
Feed2: #2,#3

Your software:
10.00x10.01
9.99x10.00
100@10.01 above ask!
200@10.00 at ask!

Usually you don't see this on slow moving stocks or during lunch when things are not moving as fast. I hope I am answering the right question

interesting! So you believe these are mostly a latency/cross-quotation issue? It would make sense since I have multiple data subs for my lightspeed acct. However I do notice that a large number of these highlighted prints take place on ADFN exchange (a dark pool) and also, can come in large blocks split up and "sprayed" across ADFN, ARCA, NSDQ, indicating a hidden order

 

[Robert Morse]

Hey guys! My time and sales window displays highlighted green/red prints, different from usual green/red prints which are ON the bid/ask.. these are defined as prints that take place "ABOVE the ask or BELOW the bid"

I assume that these are dark pool orders right? because otherwise this would be impossible.

I also attribute much of the white prints to dark pools as well.

I believe ADFN are are dark pool and other third market prints that might be delayed.

 

[Robert Morse]

o you believe these are mostly a latency/cross-quotation issue? It would make sense since I have multiple data subs for my lightspeed acct. However I do notice that a large number of these highlighted prints take place on ADFN exchange (a dark pool) and also, can come in large blocks split u

No. The number of accounts you have does not have any effect on performance. And, the prints come from the data feed. ECNs and Exchanges generally put trades on the tape right a way but dark pools and Alternative Trading systems (ATS) are allowed more time to place trades on the tape.

 

[dvrkbxy]

No. The number of accounts you have does not have any effect on performance. And, the prints come from the data feed. ECNs and Exchanges generally put trades on the tape right a way but dark pools and Alternative Trading systems (ATS) are allowed more time to place trades on the tape.

So you're saying all of these prints are delayed prints or just the ADFN ones? how do you believe the BATS and ARCA prints occured above the offer in your picture?

ARCA/BATS don't offer alternative exchanges as far as I know, so these should not be delayed as such.

 

[qlai]

So you believe these are mostly a latency/cross-quotation issue?

I was just pointing out that it's possible to have this happen. You may be right about dark pools. Actually, ADFN is not only dark pools ... It's an Alternative Display Facility which allows any trades which happen outside of the Exchanges to be reported on consolidated tape (like internalized by broker or traded on dark pools). It's very useful when TnS displays all four sale conditions.
For example, ISO (Intermarket Sweep Order - sale condition F) will print outside of NBBO even though execution happened on the exchange.
Let's say you want to buy 1000 shares but Best Offer is only 500. The first 500 will/should execute at Best Offer, the other 500 may print at worse prices as it sweeps the available liquidity level by level. So that is more likely case of "above ask" example. As levels are cleared, the NBBO will update, but you are back to the race condition.

 

[Robert Morse]

So you're saying all of these prints are delayed prints or just the ADFN ones? how do you believe the BATS and ARCA prints occured above the offer in your picture?

ARCA/BATS don't offer alternative exchanges as far as I know, so these should not be delayed as such.

I have no idea I just know it is not our data feed, as we get it from the exchange SIP feeds and just display it. You can contact them and ask. Rule NMS applies but has exemptions. https://www.sec.gov/spotlight/emsac/memo-rule-611-regulation-nms.pdf.

I can tell you that the SEC/FINRA monitor for violations.