Can FINRA TRF report off-exchange trading to SIP before 4AM?

M

martingale

I have a data vendor (which does not provide any support) feeding me such SIP trade data for AAPL on 3/1/22:

013416.450|165|1|D|103|@~T~I
014749.102|165|1|D|93|@~T~I
015650.512|165|1|D|104|@~T~I
015840.911|164.7|1|D|99|@~T~I
020441.128|164.7|1|D|108|@~T~I
020616.368|165|5|D|92|@~T~I
020616.368|165|15|D|105|@~T~I

where the first print reads: 1 share traded at 165 (reported by Finra) with tradeId 103 with condition codes (T for extended hours and I for odd-lot) at 01:34:16.450 (NY time)

I always thought that there could be no trading possible before 4AM (NY time). Have I been wrong? Or is the data feed wrong?
 
martingale said:
...

I always thought that there could be no trading possible before 4AM (NY time). Have I been wrong? Or is the data feed wrong?
More...

I have never heard of a raw datafeed being localized to a specific timezone.

They are usually GMT. So add five hours to get NY time.
 
I also considered the possibility that those Finra prints where left over from the previous day (w/ vendor messing things up and reporting on the next day). But that guess was proven false.
 
Here is another example, SPY on 2/23. This time, it is the original JSON under UTC time stamp:

trades {
SPY [
[0] {
c [
[0] " ",
[1] “T”​
],
i 79371804230221,
p 432,
s 150,
t “2022-02-23T06:06:39.912Z”,
x “D”,
z “B”​
},
[1] {
c [
[0] " ",
[1] “T”,
[2] “I”​
],
i 79371804167990,
p 432,
s 3,
t “2022-02-23T06:06:45.052Z”,
x “D”,
z “B”​
},
...​
 
Thank you. This seems relevant. But I still probably need to call TRF to truly understand this. Appreciate your help and insight.
 
"The Tape" (CTA and UTP plan) don't disseminate Trade Messages until 04:00.

See:
https://www.ctaplan.com/publicdocs/ctaplan/CTS_Pillar_Output_Specification.pdf
page 91.

So, any data prior to 4am is not "Tape" data.

This is not to say that those limit sets of trades didn't occur, but they are not disseminated by the Tape until 4am onwards.

In any case, they're probably not indicative of much other than "two parties wanted to trade an insignificant amount of stock at this price at this time when the stock exchange was not open."

Some would call it "noise."

PS - The tape doesn't report in JSON. Perhaps somebody else has converted it.
 
Last edited:
Thanks! This makes sense. I suspected that it was a vendor error all along.

It all but certain is. For FINRA trades, this vendor's timestamps start to differ from those of my other feeds, once before 9:30am or after 4pm. The further away from reg hours, the bigger the difference.
 
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