Not on the BId or the Ask
- Thread starter erd0c
- Start date
ACTIV Financial. Those guys are really good - the feed is awesome, I'd say one of the best on the street in terms of accuracy and latency.
Keep in mind that NYSE quotes and NYSE trades are two different feeds, so you basically have to reconstruct the tape in order to see what happened.
34.06 x 34.07 9 x 2
34.07 x 34.08 2 x 3
2s34.07
34.06 x 34.08 4 x 3
Could you tell if the last print was buy or sell?
That's why Time & Sales window doesn't always tell you the truth about order types, and misleads you by showing the wrong color... :eek:
34.06 x 34.07 9 x 2
34.07 x 34.08 2 x 3
2s34.07
34.06 x 34.08 4 x 3
Could you tell if the last print was buy or sell?
That's why Time & Sales window doesn't always tell you the truth about order types, and misleads you by showing the wrong color... :eek:
If you were referring to my "sweep" example (not sure)...but I have recorded many of these events temporarily, just to be sure, in the early days (few months ago) of the hybrid sweeps. We use Goldman Sachs RediPlus system, which also has a price ticker, and when I was researching, I used the TrackData Time and Sales software, which tracks every trade including "as-of's" and errors....so, this does happen quite often, allowing us to profit from the events when trading our "children" stocks (the handful that we act as "surrogate specialists" for).
FWIW,
Don
Quote from speculatus:
Keep in mind that NYSE quotes and NYSE trades are two different feeds, so you basically have to reconstruct the tape in order to see what happened.
34.06 x 34.07 9 x 2
34.07 x 34.08 2 x 3
2s34.07
34.06 x 34.08 4 x 3
Could you tell if the last print was buy or sell?
That's why Time & Sales window doesn't always tell you the truth about order types, and misleads you by showing the wrong color... :eek:
Uh, the last print was a buy and a sell, as are all prints....am I missing something here? A trade involves a buy and a sell, right?
Don
Quote from Don Bright:
Uh, the last print was a buy and a sell, as are all prints....am I missing something here? A trade involves a buy and a sell, right?
Don
Don:
You know as well as I do, he was trying to ask if the trade was a "HIT" or a "TAKE"!
In this case, it occured on the bid or a hit, resulting in the bid dropping.
This thread reminds me of the old Marx Brother's skit, "Who's on first............."
Enjoy the weekend!
surdo
Of course, every transaction involves a buy and a sell LOL The question was who initiated the last print: a buyer or a seller?
But the last print was a buyer (and he was aggressive):
1. The buyer did take 2 lots @34.07 at the offer and stepped to the offer price 34.07 (plus tick bid).
2. The new quotation 34.07 x 34.08 2 x 3 was disseminated from the exchange.
3. The trade was printed on the tape.
This is the reality of NYSE Hybrid. The new quotation is always disseminated before the print (due to quote and clearing systems work in parallel).
All T&S windows I've seen so far just look at the very last quotation and make decision about the side of the last trade, and this is plain wrong for NYSE (AFAIK for NASDAQ as well). One can see a quote and the trade hitting that quote being separated by a couple of dozen quotes and up to 3 seconds apart in a fast-moving market...
The bottom line is: you cannot read the NYSE tape by the naked eye on T&S and Quote windows anymore, you need a program to analyze the feed and print the tape for you.
But the last print was a buyer
(and he was aggressive):1. The buyer did take 2 lots @34.07 at the offer and stepped to the offer price 34.07 (plus tick bid).
2. The new quotation 34.07 x 34.08 2 x 3 was disseminated from the exchange.
3. The trade was printed on the tape.
This is the reality of NYSE Hybrid. The new quotation is always disseminated before the print (due to quote and clearing systems work in parallel).
All T&S windows I've seen so far just look at the very last quotation and make decision about the side of the last trade, and this is plain wrong for NYSE (AFAIK for NASDAQ as well). One can see a quote and the trade hitting that quote being separated by a couple of dozen quotes and up to 3 seconds apart in a fast-moving market...
The bottom line is: you cannot read the NYSE tape by the naked eye on T&S and Quote windows anymore, you need a program to analyze the feed and print the tape for you.
Don,
The very last thing I want is to let your feed/execution platform mislead you. If the seller hits the bid at 34.40 with the size all the way down to 34.35, the very next bid quote from NYSE would be 34.34 (unless the seller didn't take the whole level at 34.35). This bid can be immediately lifted by algos/autobots, or the seller would immediately step down and you won't notice it - you know NYSE Hybrid can print a couple of dozen quotes within a second for stocks that trade even within 1M shares per day. I do believe (based on my tape observation) that it's very dangerous to send any order just after the sweep - you don't really know which side is going to narrow the spread unless you've already spotted the aggressive side.
That's why I only trade NYSE listed stocks - I can interpret almost every print, and they only thing I have before my eyes when I'm trading is my application output that prints the tape exactly how it appears in real-life: deciphed quote-by-quote, print-by-print.
Every quote and every print matters...
LOL yeah I know!!