Are highlights in Time and Sales dark pool orders

[tenny1886]

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.

follow the bid ensuing that (short or long) and also observe the price level of those bids . Place a stoploss of 1.25 and you will make money, as it reveals the range the price will travel. i have used it for sometime to get good points. hey we gotta eat too.

 

[dvrkbxy]

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.

very informative, LS does have a special window to display the sale conditions so I guess I'll try defining the rest of these terms, there's like 30 lol

 

[comagnum]

I see this also using several different brokers - time and sales outside of the current NBBO. I am pretty sure these are off-exchange (dark pools or ATS) reporting trades that executed earlier.

These trades are sent over Alternative Display Facility(ADF) or Trade Reporting Facility(TRF) under regulatory oversight of FINRA.

There are 2 TRFs - NYSE & Nasdaq, they can report the trade to either one or split it between the two.

 

[dvrkbxy]

I see this also using several different brokers - time and sales outside of the current NBBO. I am pretty sure these are off-exchange (dark pools or ATS) reporting trades that executed earlier.

These trades are sent over Alternative Display Facility(ADF) or Trade Reporting Facility(TRF) under regulatory oversight of FINRA.

There are 2 TRFs - NYSE & Nasdaq, they can report the trade to either one or split it between the two.

so in your time and sales, do you see TRF listed as the exchange in the print? I only ever see ADFN in LS.

also we should keep in mind that since the dark pool trades are delayed, its unlikely that they would be so close to the NBBO since it is constantly changing. these prints are often just outside the NBBO, so I think a sweep might be likely in those cases, as another poster said. However, I do sometimes see huge prints far away from the NBBO, and those I am pretty certain are dark pool trades.

 

[Robert Morse]

dvrkbxy,

What do you hope to get out of this?

 

[comagnum]

yea - I see TRF listed as the exchange. The point I was trying to make this is not something unique to only LS.

Tradestation

 

[dvrkbxy]

dvrkbxy,

What do you hope to get out of this?

Well man, all we ever do as traders comes down to an educated guess, it's all we got. The more information I can extrapolate from the tape will make me a better tape reader. You don't think identifying a hidden order is a valuable skill to a tape reader? I do.

 

[Robert Morse]

Well man, all we ever do as traders comes down to an educated guess, it's all we got. The more information I can extrapolate from the tape will make me a better tape reader. You don't think identifying a hidden order is a valuable skill to a tape reader? I do.

IMO, a deep dive into where that trade occurred does not create alpha. The size of the trade and price has more value to me than if it was an ATS vs Dark pool or any other information about that trade. It might help to know if it were part of a pair with options, warrants, another equity or a fixed income symbol-but you won't get that from the tape.

 

[dvrkbxy]

IMO, a deep dive into where that trade occurred does not create alpha. The size of the trade and price has more value to me than if it was an ATS vs Dark pool or any other information about that trade. It might help to know if it were part of a pair with options, warrants, another equity or a fixed income symbol-but you won't get that from the tape.

Yea I hear ya, I don't come from the perspective that any one little piece of information creates alpha. I'm coming from the perspective that many different variables together allow me to reach a certain thesis. The tape is just one of them. And it's like i'm staring at this damn thing every day, I should at least fully understand what I'm looking at. lol