Time & Sales window: Trade happening between Bid/Ask ?

[braincell84]

Hi,

I'm looking at my T&S lately and I can see some trades are occuring above the last quoted Bid and below the last quoted Ask. How is this possible?

Is it that somebody placed a limit order which was filled immediately before the Ask/Bid quotes were updated?

Or is it that something is lagging behind, like the feed, my connection, or whatever?

Thanks

[braincell84]

Here is an example of the T&S window.

You can see this:

Bid: 566.56
Ask: 566.83
Trade: 566.80 and 566.82

Date      	Time       	Exchange	Type 	Price 	Size	Sequence ID	Condition	
12/08/2011	06:06:58 PM	NASD    	Trade	566.83	100 	786021     	         	
12/08/2011	06:06:58 PM	PSE     	Trade	566.83	100 	786019     	         	
12/08/2011	06:06:58 PM	PSE     	Trade	566.82	100 	786018     	         	
12/08/2011	06:06:57 PM	NMS     	Ask  	566.83	2   	22226653   	         	
12/08/2011	06:06:53 PM	BSE     	Ask  	566.83	1   	22222870   	         	
12/08/2011	06:06:51 PM	NASD    	Trade	566.80	500 	785832     	         	
12/08/2011	06:06:51 PM	BSE     	Ask  	566.83	2   	22221350   	         	
12/08/2011	06:06:50 PM	NMS     	Bid  	566.56	3   	22220950

[ScottJ]

Can you gives us the symbol in question and what time zone these time stamps are in?

Thx

[braincell84]

The symbol posted here is GOOG and the time zone is CET (GMT +1).

6:06 PM is 12:06 Eastern Time in the US.

Was this just an off chance perhaps? I will keep looking in the future and let you know if it persists, but this was going on all day I noticed, from when the markets opened.

[braincell84]

Any news on this?

Should I conclude that the tick data and time and sales are both snapshots, and not truly real time, or is it something else?

[ScottJ]

Trades are never "snap shots" but bid/ask updates can be paced (called conflation) depending on the service you have.

Here's what a screenshot of GOOG today looks like:

If there is an issue, it's much better to contact our support team directly rather than use these forums for any real-time data questions.

Thanks.