ES traders: Above Ask/Below Bid

[TheStudent]

Question to the ES traders out there,

Does anyone watch the T/S for Above Ask and Below Bid ticks?

I assume those indicate stops being hit (although stops can be hit at other times as well, ie necessary but not sufficient condition)

Any thoughts?

 

[phoenix_rising]

This isn't possible on globex. Execution is always at best bid/ask.

 

[TheStudent]

Quote from phoenix_rising:

This isn't possible on globex. Execution is always at best bid/ask.

phoenix,

You're probably right. I'm looking at feeds from Tradestation.

They print Below Bid and Above Ask ticks - which could simply reflect out of order prints.

 

[ArchAngel]

Quote from TheStudent:
I'm looking at feeds from Tradestation. They print Below Bid and Above Ask ticks - which could simply reflect out of order prints.

It's probably a timing issue rather than real below bid/above ask trades, e.g., a series of trades hit the ask (let's say 1120) and burn the available volume and then a trade execution comes down the pipe @ 1120.25 before the ask on the datafeed's L1 quote got refreshed (so it looks like an above ask trade because of timing impedence).

 

[TheStudent]

Thanks for setting me straight - Tradestation's notation is misleading then.

Quote from ArchAngel:

It's probably a timing issue rather than real below bid/above ask trades, e.g., a series of trades hit the ask (let's say 1120) and burn the available volume and then a trade execution comes down the pipe @ 1120.25 before the ask on the datafeed's L1 quote got refreshed (so it looks like an above ask trade because of timing impedence).

 

[demonet]

Quote from ArchAngel:

It's probably a timing issue rather than real below bid/above ask trades, e.g., a series of trades hit the ask (let's say 1120) and burn the available volume and then a trade execution comes down the pipe @ 1120.25 before the ask on the datafeed's L1 quote got refreshed (so it looks like an above ask trade because of timing impedence).

I never knew that execution on Globex could only take place at the BBid and BAsk. Many times while watching eSig's time and sales, you will see a series of trades at say 1120, then several large trades (my filter is set for >= 10) at above ask or below bid (execution price of 1120.50 or 1119.75 for instance), and then trading at 1120 resumes again. Often these trades signal a forthcoming small (or big) spike in the direction of the trades in question (i.e. spike up if the trades were above ask).

This type of trading activity doesn't seem like it would be a "timing" issue...I had always thought that this was some institutional stop loss or other program dictating these trades (at above ask or below bid).

Could it possibly be something else?

 

[phoenix_rising]

Globex uses FIFO execution and is a single point of transaction (no multiple ECNs, etc.). There really isn't anyway to execute outside the market (unless you've figured out a way to hack Globex). If someone throws a "market" order out for more size than is on the best bid/ask, then it will fill-through to the next level. Then, depending upon how fast the new limit orders come in and at what price, it might look like trades executing outside of the market I suppose.

 

[sp_daytrader]

some systems show when someone places a bid to buy below the market or an offer to sell above, these can be as far away from the current price as the person wants to place them, but most are within one or two points, and some systems do not distingush between this and a trade.