Аbove the ask or below the bid

[rocky9281]

Tape Reading

Yes, this is quite what it is like. The main problem for you (i.e. in a progfram) is though:

* you dont know the timing and the way the exchange publishes it (trades may be finished before updating the time and sales, so you get rades outside best bid / ask on the tape)
* Especially with US stocks the question is what your DOM consists of. The issue with many exchanges, all having their own DOM. A combined feeed may get ticks outside best bid / ask due to the price on another exchng beig a little differnt.

As such, basically, what you work against is always an approcximation of the real order book which only exists in the exchanges computers

Hi NetTecture, that was really helpful. Please help me with a couple of queries more.

1. Is this book good?

http://www.4shared.com/document/Vm8T..._Trading_.html

especially the second module (pg86-pg157).Please go thru the book (at least flip over the pages) and let me know your thoughts about this book. I'll wait for your reply.
--------------------------
2.I am attaching 2 screenshots. The first one is in black text.But actually they were all in red-every trade executed at bid-in a single price level.
The second one all green -every trade at ask-in a single price level.
Please tell me-does the first one tells to short immediately and the next one buy immediately?
--------------------------
3. Can you please direct me to some good resources like books, ebooks, websites etc, which may be relevant to my queries.

[NetTecture]

I want to know a few things about how the orders from the orderbook are executed and how are they printed on the tape.

Lets look at the hypothetical orderbook here-


BidaaaaaaaaaaaaaaaaaaAsk

[email protected]aaaaaaaaa[email protected]
[email protected]aaaaaaaaa[email protected]
[email protected]aaaaaaa[email protected]
[email protected]aaaaaaa[email protected]
[email protected]aaaaaaaa[email protected]



I wish to have a clear picture of some of the basics of order execution. Please help me by answering the following questions, with yes/no..

Q1. Any order to buy shares will invariably be directed to Ask side of 80 @ 100.10.

Q2. Until and unless Ask side of 80 @ 100.10 is exhausted, 70 @ 100.15 won't be traded.

Q3. Any order to sell shares will invariably be directed to Bid side of 50 @ 99.95.

Q4. Until and unless Bid side of 50 @ 99.95 is exhausted, 50 @ 99.90 won't be traded.

Q5. The region between Bid 50 @ 99.95 and Ask 80 @ 100.10 is called the inside region.

Q6. There is no bid AND/OR ask quote in the inside region.

Yes, this is quite what it is like. The main problem for you (i.e. in a progfram) is though:

* you dont know the timing and the way the exchange publishes it (trades may be finished before updating the time and sales, so you get rades outside best bid / ask on the tape)
* Especially with US stocks the question is what your DOM consists of. The issue with many exchanges, all having their own DOM. A combined feeed may get ticks outside best bid / ask due to the price on another exchng beig a little differnt.

As such, basically, what you work against is always an approcximation of the real order book which only exists in the exchanges computers

[NinjaTrader_Brett]

Hello,

This falls under more general trading education then tech support. Therefor I will leave this open for another member of our forum to answer. Or you can always check in with one of our third party trading educators as well.

http://www.ninjatrader.com/partners#Education

Let me know if I can be of further assistance.

[rocky9281]

Order execution basics

I want to know a few things about how the orders from the orderbook are executed and how are they printed on the tape.

Lets look at the hypothetical orderbook here-


BidaaaaaaaaaaaaaaaaaaAsk

[email protected]aaaaaaaaa[email protected]
[email protected]aaaaaaaaa[email protected]
[email protected]aaaaaaa[email protected]
[email protected]aaaaaaa[email protected]
[email protected]aaaaaaaa[email protected]



I wish to have a clear picture of some of the basics of order execution. Please help me by answering the following questions, with yes/no..

Q1. Any order to buy shares will invariably be directed to Ask side of 80 @ 100.10.

Q2. Until and unless Ask side of 80 @ 100.10 is exhausted, 70 @ 100.15 won't be traded.

Q3. Any order to sell shares will invariably be directed to Bid side of 50 @ 99.95.

Q4. Until and unless Bid side of 50 @ 99.95 is exhausted, 50 @ 99.90 won't be traded.

Q5. The region between Bid 50 @ 99.95 and Ask 80 @ 100.10 is called the inside region.

Q6. There is no bid AND/OR ask quote in the inside region.

[antyar]

Time for a real answer now

Thank you for exhaustive explanation, NetTecture. Now I have a clarity comprehension on this subject. Have a nice day.

[NetTecture]

Time for a real answer now

There is no possible trade ouside the bid/ask spread. Period. The exchange will always match the closest price (best bid/ask) and execute at that price, moving the bracket (bid/ask) if there is not enough to match the order.

That being said, trades outside bid/ask are basically a data transfer issue. Because they do not say the trade happened outside bid/ask, but it happened outside bid/ask KNOWN TO THE COMPUTER.

This can be because of bad data sources (example: IB updates bid/ask with all other info only x times per second, so in the meantime a trade CAN happen outside), or because of the way the information is handled on the side of the data provider. I am not even aware whether the exchange GUARANTEES (like: always) that bid/ask moves will be under all conditions (fast market) published in proper order. Especially not during the execution of ONE trade.

Example:

I want to buy 100 ES. there is an offer of 50 at 1000, 75 at 1000.25.

My trade will thus execute 50 at 1000, 25 at 1000.25.

Practically, depending on granularity.... the exchange MAY Publish "trade 50 at 1000, new best bid is 75 at 1000.25, trade 25 at 1000.25, new best bid is 50 at 1000.25", OR it may decide to publish "trade 50 at 1000, 25 at 1000,25, new best bid is 50 at 1000.25". The later is less data.... but it means that part of the trade happens outside bid/ask on the client side, although technically naturally it happend within the at that time valid bid/ask spread.

Plus the data provider may optimize (not Zen-Fire/Rithmic, but some others may just decide to).

So, at the end, you talk of data granularity issues here, possibly even at the exchange.

[NinjaTrader_Jason]

The trade listed at above ask is executed at a price above the ask price, while the other trade would be executed at the ask or bid price.

[antyar]

ok
For example, now agressive buying is occurring.
What is the difference between tape record marked above the ask and at the ask or at the bid?

[NinjaTrader_Jason]

I see, it indicates a trade occurred above or below the ask/bid price.

[antyar]

Hello antyar,

These numbers represent market depth; the amount of orders that rest on that particular price.

My quest. about situation on TAPE, no on DOM.
I understand trade is executed on ask when agressive buying is occurring or at bid when agressive selling. But I can't understand trade above the ask for example (for the buying) at the times and sales record in NT.

[NinjaTrader_Jason]

Hello antyar,

These numbers represent market depth; the amount of orders that rest on that particular price.

[antyar]

Hi all. What does it mean when I see marks on tape above the ask or below the bid?