Time & Sales - Bid/Ask Matching

[DionysusToast]

Hi

I have seen what I think is a discrepancy on the Time & Sales. This occurred on 9th June.

First - here's the Time & Sales:



The Symbol is NYSE D. Replay files are attached for this period.

As you can see - the prints at 9:42:54 are colored green which is my "At Ask" color.

I have an indicator looking at this data and the output is as follows:

6/9/2011 9:42:49 AM Bid  : 47.74 Ask 47.75 Last : 47.74 Qty : 100
6/9/2011 9:42:49 AM Bid  : 47.74 Ask 47.75 Last : 47.74 Qty : 100
Ask  : 47.74
Bid  : 47.73
Bid  : 47.74
Bid  : 47.73
Bid  : 47.74
6/9/2011 9:42:50 AM Bid  : 47.74 Ask 47.74 Last : 47.74 Qty : 100
6/9/2011 9:42:50 AM Bid  : 47.74 Ask 47.74 Last : 47.74 Qty : 100
6/9/2011 9:42:50 AM Bid  : 47.74 Ask 47.74 Last : 47.74 Qty : 100
6/9/2011 9:42:50 AM Bid  : 47.74 Ask 47.74 Last : 47.74 Qty : 200
6/9/2011 9:42:50 AM Bid  : 47.74 Ask 47.74 Last : 47.74 Qty : 100
Bid  : 47.73
6/9/2011 9:42:51 AM Bid  : 47.73 Ask 47.74 Last : 47.74 Qty : 100
6/9/2011 9:42:51 AM Bid  : 47.73 Ask 47.74 Last : 47.74 Qty : 100
6/9/2011 9:42:51 AM Bid  : 47.73 Ask 47.74 Last : 47.74 Qty : 300
Ask  : 47.73
6/9/2011 9:42:54 AM Bid  : 47.73 Ask 47.73 Last : 47.73 Qty : 100
6/9/2011 9:42:54 AM Bid  : 47.73 Ask 47.73 Last : 47.73 Qty : 100
6/9/2011 9:42:54 AM Bid  : 47.73 Ask 47.73 Last : 47.73 Qty : 100
6/9/2011 9:42:54 AM Bid  : 47.73 Ask 47.73 Last : 47.73 Qty : 100
6/9/2011 9:42:54 AM Bid  : 47.73 Ask 47.73 Last : 47.73 Qty : 100
6/9/2011 9:42:54 AM Bid  : 47.73 Ask 47.73 Last : 47.73 Qty : 500
6/9/2011 9:42:54 AM Bid  : 47.73 Ask 47.73 Last : 47.73 Qty : 100
6/9/2011 9:42:54 AM Bid  : 47.73 Ask 47.73 Last : 47.73 Qty : 100
6/9/2011 9:42:54 AM Bid  : 47.73 Ask 47.73 Last : 47.73 Qty : 100
6/9/2011 9:42:54 AM Bid  : 47.73 Ask 47.73 Last : 47.73 Qty : 100
6/9/2011 9:42:54 AM Bid  : 47.73 Ask 47.73 Last : 47.73 Qty : 100
6/9/2011 9:42:54 AM Bid  : 47.73 Ask 47.73 Last : 47.73 Qty : 100
6/9/2011 9:42:54 AM Bid  : 47.73 Ask 47.73 Last : 47.73 Qty : 300
6/9/2011 9:42:54 AM Bid  : 47.73 Ask 47.73 Last : 47.73 Qty : 100
6/9/2011 9:42:54 AM Bid  : 47.73 Ask 47.73 Last : 47.73 Qty : 100
6/9/2011 9:42:54 AM Bid  : 47.73 Ask 47.73 Last : 47.73 Qty : 100
Bid  : 47.72
6/9/2011 9:42:54 AM Bid  : 47.72 Ask 47.73 Last : 47.73 Qty : 100
6/9/2011 9:42:54 AM Bid  : 47.72 Ask 47.73 Last : 47.73 Qty : 100
6/9/2011 9:42:54 AM Bid  : 47.72 Ask 47.73 Last : 47.73 Qty : 100
Ask  : 47.74
Bid  : 47.73
Bid  : 47.72
Ask  : 47.73

This is from the onmarketdata object.

Note that the bid & ask values above are from the bid/ask events.

As we can see, we had both bid and ask set to 47:73 for a short period. What I would like to know is how did NinjaTrader Time & Sales determine that these trades were At Ask as opposed to At Bid?

It appears to me that in fact, it is impossible to determine which or does it lean towards the one that changed most recently if Bid = Ask?

If it really is indeterminate - shouldn't we just use the "Between" color when bid = ask?

Thanks

Pete

[NinjaTrader_Bertrand]

Thanks for the report Pete, we will look into it and get back to you.

[DionysusToast]

Thanks Bertrand - I'd appreciate it.

[DionysusToast]

Any answer on this one?

I know I haven't made this out as a big issue but it is quite important.

[NinjaTrader_Bertrand]

Hi Pete, I'm sorry for the late update - we looked into and it would lean towards the most recent changed one - I can understand why you would like it using the in-between color instead and have forward this as enhancement suggestion.

[DionysusToast]

Can you be more specific Bertrand?

If Bid moves up to the Ask - will we see prints at ask or at bid.
Same for when Ask moves down to the bid...

Many thanks

Pete

[NinjaTrader_Austin]

Pete, I'll have Bertrand get back to you tomorrow with clarification.

[DionysusToast]

Any luck with this guys?

It appears that what we have when Bid = Ask is simply to use the condition of the previous print, regardless of whether Bid moved up to the Ask or the Ask moved down to the Bid.

Muchos gracias

[NinjaTrader_Bertrand]

Pete, apologies for my late reply to you : your observations are correct, there can be no distinction the made, it would use whatever last color condition printed / hit.

[kalalex]

Pete, apologies for my late reply to you : your observations are correct, there can be no distinction the made, it would use whatever last color condition printed / hit.

Does this mean I can't rely on NT's T&S for tape reading?

[DionysusToast]

No Kalalex - you can still use it for tape reading because this is fairly rare.

Certainly you wont see this in futures.

[kalalex]

No Kalalex - you can still use it for tape reading because this is fairly rare.

Certainly you wont see this in futures.

Thanks for clarifying.....