LSE data - handling of special trades

[wmorton]

Hi all,

I'm a relatively newcomer to eSignal and primarily rely on it for end of day UK stock data (LSE).

I've noticed a couple of instances lately whereby large wicks exist - well outside the daily trading range. I've checked other data sources and both the LSE website and Yahoo for example mirror the eSignal data. Bloomberg on the other hand does not. Take a look below at yesterday's example with DVO (Devro PLC)

Bloomberg: Range 322.40 to 329.0



Yahoo: Range 305.93 to 329.0 (low on plot reflects Bloomberg data however)



When trawling through the daily trades (LSE website) I notice that the low of 305.93 is a one-off "Ordinary Trade" labelled "Delayed Publication Request".



This appears to be a special trade and represents trading activity that, as a non-professional trader, I would not be able to participate in. What it does do, however, is impact on my system trading signals quite dramatically.

Is it eSignal's policy to capture every trade, normal or otherwise? Probably wishful thinking, but It would be great if there was a way to filter our these type of trades?

OK, I look forward to responses back on my first post

Cheers,
wmorton

[eostrom]

Finding out more information about this. I will post again once I have it. Thank you

[wmorton]

Are you able to give me a timeframe to have my query answered? If not then I will have to revert back to phone support and try my luck there.

Thanks.

wmorton

[eostrom]

So far we have not been able to see trades with the qualifier that you speak of. So we are having some trouble identifying them. The flag "Delayed Publication Request" does not appear in the feed. When you see these trades on a time and sales within eSignal are you seeing a condition come through as well?

[Dosnoris]

Another example of a trade with a special condition, this time esignal did not record the trades.The end result being incorrect daily volume



Symbol - RBS-LON Esignal Volume 10,571,048 vs LSE 41,079,688 this is a massive difference

[Dosnoris]

Can someone at Esignal pls explain how you handle negotiated trades (trades with special conditions)??. These type of trades seem too be ignored causing incorrect volume data

[eostrom]

Looking a bit deeper into this. I will update with more information

[Dosnoris]

tnx Eric, It's good to have you back.

[eostrom]

It looks like we have found an issue that might be causing this. We plan to have this fixed on July 1st however due to the trades being extremely different in volume and price in a lot of cases, these will not be processed on the charts. They will show up in time and sales though.

[Dosnoris]

How will this affect custom chart efs that focus on volume? not having the correct volume on charts is kind of a deal breaker as i could be basing my trading decisions on incorrect data on the charts. Will this be fixed so they are processed on charts?

below is an example - refer to the red down arrows on both charts

Esignal Chart



Another Data Provider Chart



The difference in volume is huge (30 million shares all negotiated trades) stock declined 17%+ following that.

[eostrom]

We are still looking into this to see if there's something we can do. I will let you know when I have further information. Thank you