Why is eSignal missing some irreg trades?

[bfry5282]

My RealTick ticker tape showed an 85,000 share irregular trade well below the market in INTC.

eSignal showed nothing.

What could be the explanation for eSignal's missing such a significant irregular trade? This bothers me.

I have the basic nasdaq feed, so do I need even more?

Thanks!

[AndyS]

Hi Bfry,

I need a couple pieces of information if possible in order for our QA people to look into this further. Could you tell us from the Realtick ticker precisely when that trade took place? Also, could you tell us the trade volume and price of the trades that direct preceded and followed the trade in question?

If you could answer that, we'll be able to expedite the research in this matter.

Thanks,
Andy
eSignal Support

[bfry5282]

Well, I'm sorry, but I can't give you that specific information. What I was looking for is some reason why RealTick would report an irregular trade which eSignal cannot see. Would you claim in general that RealTick was wrong, and that it was a bogus trade?

If I am able to get more specific info, I will post it, so you can do the reserach. I understand it needs to be specific.

For example, is there something about internal ARCA/ARCAX activity which RealTick might be able to report, which is not reflected in the general data feed? I'm speculating here, of course.

In general, what could be responsible for this discrepancy, which I see frequently?

Am I missing subscription to some key data feed?

[JayF]

This is the first I've heard of any discrepancy between our feed and RealTick's, so I wouldn't be able to comment on it (I believe Andy's also in the same boat as well.) In order for our QA Team and/or Feed Engineers to track this down, we would need the details Andy mentioned.

As you mentioned, the occurs frequently. Could you take a screenshot of the next one or two you see, and forward it onto us? Email might be the best way for this one, so feel free to drop me a direct email on this if you like.

[ScottJ]

Let me add one possible idea here. It's tough to speculate without the facts but it's possible that this 85,000 block was sent out of sequence. If the trade was reported late, we wouldn't neccesarily insert it into our time and sales as it could cause a false spike ( if the market had since moved price-wise ). We would simply adjust the total volume and the high/low if applicable.

Since we don't serialize each trade/quote, we can't easily go back in time and insert old trades.

As Jay indicated, if you can get us a specific example and preferrably on the day or the day after it occurs, we can research more precisely what the issue was.

Thanks.

[bfry5282]

RealTick showing irreg trades below market

OK, I'm not well-equipped to get you screenshots, but here's Intel (INTC) at roughly 13:20 today 12/1/2003, showing irregular trades significantly below the market which eSignal does not see. I sampled it down and resizes it, and hope you'll be able to see something. Coudn't show you my entire RealTick screen.

RealTick's ticker tape shows them as irregular trades in the 100 share range, and colors them purple because they are irregular, rather than the usual red/green/white.

On the next post, I hope to give an eSignal screenshot of the same time interval and you'll have to trust me that these are absolutely not present in the data feed, as I do a Tick by Tick analysis of any spiking data, and it would show up guaranteed.

TIA.

[bfry5282]

eSignal missing irreg trade data

OK, the graph shown has MA(1) blue on the Low, and MA(1) blue on the High. It is in streaming live mode, on INTC today at roughly 13:25. These two MA(1)'s in themselves would show spikes, high or low, but they do not. This corresponds to the interval shown on the RealTick graph in the immediately previous post. Sorry the rightmost scale is cropped off, but the 33.74 price level is on the bottom of the upper graph, and downspikes should extend down to that level.

Ignore the overlay, which is a trade count custom indicator for each 1s interval. I had to crop the heck out of this, and reduce colors to get it under the max kb image size -- sorry -- so you don't see the timescale, but it's the same one.

Also, I do a custom EFS spike tick analysis in real time, which I had to crop out of the image. Sorry for the other stuff overlaying the graph, but the data should clearly show the blue MA(1) on the Low, spiking down to the bottom of the visible graph, and it doesn't because the data is not there.

Either RealTick has access to additional trade data, or eSignal or my subscription is somehow missing data.

I see this frequently, and I am concerned because my trading relies heavily upon realtime Tick Spike Analysis custom EFS routines, and I would like to get ALL the data relevant to that analysis.

TIA.

[ScottJ]

Do you know Realtick's definition of an "irregular trade"? That would help us understand what they are tagging and let us look at the raw stream coming from the exchange.

Thx

[JayF]

After doing some side-by-side comparisons, the "Irregular Trades" in Realtick is the equivelant to an out of sequence trade for other data providers, which is essentially a trade sent by the exchange. At this time, eSignal processes Out of Sequence trades by updating the High or Low as needed and adds it to the Volume, but we ignore the price and don't print it to T&S or the chart, because they can create spikes showing an out of market trade.

[bfry5282]

Please include them in your data stream

I just thought an irreg trade was a "Form T" transaction (I think that's the terminology, mostly seen in pre/post market)?

That's all I know, and I am well aware that trade reporting and trade executions are both delayed as much as possible, as part of MM"s strategy to confuse daytraders. This is why the existence of those trades is so important to me, and why I believe eSignal should include them in the data stream.

Can you include them in the data stream which is accessible to EFS?

[bfry5282]

EFS data filter hook?

I've been wanting to control data filtering for sometime now, on streaming real-time data, and eSignal doesn't support that. Furthermore, there's no way to write a user-defined filter. Just thinking about how that might work, why can't there be a new built-in function for the preMain() section, which allows an EFS routine to "hook" into the raw data stream?

Also, with regard to this thread, the raw data stream would be enhanced by including all ticks, including out of sequence or irregular ticks, rather than what JayF described earlier as eSignal's behavior. There should be a way to switch on this behavior, so existing users wouldn't see anything different, unless you decide you want to handle the data stream differently, but I can see that this capability would be for advanced users.

Maybe in preMain() define a setDataFilter(...some options...).

An EFS routine which invoked this in preMain() would have it's main(...) invoked *before* data arrived at the chart, and before any other EFS routines or built-ins were invoked, thus having control of the data stream within the scope of an individual chart.

This routine would have the ability to call a routine in main() which would suppress the tick from reaching charting or built-ins using ignoreTrade(), or change tick price/volume by calling setTradePrice(newPrice), setTradeVolume(newVolume), which would propogate the new info to further EFS routines and to the chart with the new values as normal.

Just a few ideas which would be very useful to me. For example, using a Parabolic SAR is messed up by errant ticks, and such a routine would smooth them out, for an individual chart via a user-defined filter, as it would be called before any built-in studies were called and could filter the data.

[JayF]

Re: Please include them in your data stream

Originally posted by bfry5282
I just thought an irreg trade was a "Form T" transaction (I think that's the terminology, mostly seen in pre/post market)?

I believe the Realtick term "Irregular Trade" includes Form T trades as well as other non-regular trades such as Sold (Out of Sequence trade), and Average Price.

[JayF]

Re: EFS data filter hook?

Originally posted by bfry5282
Just a few ideas which would be very useful to me. ...

I'll pass these along to our Development Team to consider for future releases. Thanks for the suggestions! If you have any further suggestions, please feel free to email them direct at [email protected]

[bfry5282]

Please commit to incorporating this missing data

I'd like to see a commitment that this information which is currently missing from the eSignal feed, will be incorporated in the feed, please.

TIA

[bfry5282]

Example from the QQQ's

For example, at about 13:35 today, when the prevailing price was about 35.11 in the QQQ's, RealTick showed a large trade in excess of 35,000 shares at 35.28. This information is totally missing from eSignal's feed. This happens very frequently, and so eSignal is providing an inaccurate feed, IMHO.

I think this is a big problem, and I would like to see a remedy.