Bid = Ask, but no execution?

M

MorganSys

Looking at Esignal tick data for AFFX, I see many instances where the bid = the ask, but there is no subsequent trade... any ideas why?

Thanks,
Morgan

Date Time Price Size Bid BidSize Ask AskSize
5/6/2005 6:43:41 48.01 1 48.03 1
5/6/2005 6:43:41 48.03 1 48.03 1
5/6/2005 6:43:41 48.03 1 48.04 1
 
this happens when several exchanges (including ECNs) are involved.
in that case bid might equal ask but not on the same exchange => no fill
 
the 6:43 times doesn't say if it was am or pm. In the case of am if the bid ask equal and both are market makers they don't have to honor the quote until a few minutes before the open.

fwiw

Bsulli
 
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