The Bid size and the ask size
- Thread starter Sky123987
- Start date
You have to look at bid_exchange field or whatever is provided by your feed (N is NYSE).
To my best knowledge, there is no such thing as "cumulative size" on bid or offer disseminated by exchange or any feed provider/broker.
spec,
on your activ financial when you are downloading or recording what happened do you have a valid order of events that happened...
This is what happens with my data provider and it's really annoying trying to sort through the corrections
This is what will happen
1. 20.50 * 20.55
2. then a sell market order comes in for 100 shares
3. now reads 20.50 * 20.56
however...
what my data provider records is this...
1. 20.50 * 20.55
2. now reads 20.50 * 20.56
3. then a sell market order comes in for 100 shares
with activ financial do you get the correct sequence of events?
Thanks
on your activ financial when you are downloading or recording what happened do you have a valid order of events that happened...
This is what happens with my data provider and it's really annoying trying to sort through the corrections
This is what will happen
1. 20.50 * 20.55
2. then a sell market order comes in for 100 shares
3. now reads 20.50 * 20.56
however...
what my data provider records is this...
1. 20.50 * 20.55
2. now reads 20.50 * 20.56
3. then a sell market order comes in for 100 shares
with activ financial do you get the correct sequence of events?
Thanks
Assuming you meant a buy order...
NYSE HYBRID always disseminated a new quote before the print (because those are essentially two different feeds, and it always takes some time to clear the trade. NYSE is still one of the slowest when it comes to trade execution.
So the right sequence is
Code:
20.50 x 20.55 1 x 1
20.50 x 20.56 1 x 10
1s20.55 <- here comes our buy orderPrint can be delayed as much as couple seconds, that why pure T&S reading is useless.
If your provider gives you different sequence, run away from it as fast as you can...
An NBBO quote must be cumulative... otherwise it would be pretty meaningless.
Since there is no "official" NBBO quote...
Each professional quote vendor compiles one from all the top liquidity centers.
One year ago you could still trade stocks with an NYSE quote...
Today...
The primary quote I watch is the Thomson NBBO quote...
And the secondary quote I watch is the Thomson NYSE quote.
That's all I need to see to do my 500 trades/day.
Without the Thomson NBBO quote I would be SCREWED.
That's why I know that people trading stocks off IB data or similar... are SCREWED.
No, NBBO is not cumulative. Its price/size/time priority based quote.
Every exchange posts NBBO, but regional exchanges/ECNs usually do not, so your feed provider calculates NBBO from the latter ones.
spec,
does ACTIV ALWAYS give it in that sequence
most of the time I see it in
20.50 x 20.55 1 x 1
20.50 x 20.56 1 x 10
1s20.55 <- here comes our buy order
but some of the time i see it
20.50 x 20.55 1 x 1
1s20.55 <- here comes our buy order
20.50 x 20.56 1 x 10
however I could be reading it wrong
also what have you seen in the max delay from the change in the quote to the trade coming.
Thanks for all your help
This is the right sequence (at least for NYSE).
Keep in mind that the picture maybe something like this in the fast moving market:
20.50 x 20.55 1 x 1
20.50 x 20.56 1 x 10
[30 other quotes]
1s20.55 <- here comes our buy order
NBBO size is cumulative at the best price.
That's the only thing I could possibly have meant with my post.
Also...
The assumption that your broker's routing algorithm...
Will respect any priority...
Or even hit the NBBO...
Is basically laughable.
Maybe 80% of the time if you're lucky.
You are NEVER entitled to the NBBO...
Only "best execution"...
And it takes 50 pages to explain what constitutes "best execution"...
But it's basically a transparent way for brokers to make more money on your order.
This will show L2 and NYOB montage quotes with share sizes and prices.
There are several "hidden liquidity pools" as well.
http://www.redi.com/forms/algo720.pdf
Don