Why is eSignal missing some irreg trades?

[bfry5282]

Michael, I think the tone of your post is a bit dismisive.

I think that in trading of Nasdaq equities, which is specifically what we're talking about here, allocation of trade volumes at given prices levels is a major determinant of how price will move, especially when large players (Market Makers) are involved, who exercise powerful influence over price movement.

It is basic to the whole idea of how support and resistance levels develop.

If it can be determined that "smart money", i.e. MM's with larger volumes, have placed trades with a particular bias, outside the prevailing market, then aggregate price movement in the near term *may* be partially determined, due to the resources which MM's have at their disposal.

I'm not saying that these "average trade" prices are MM behaviors, but they are usually large aggregate interests, at the very least, who are willing to trade at a particular price. Delays are an issue, and any large trading outfit would like to delay reporting its behavior until it's "all over". That can be seem all the time by analysis of the tape in QQQ, INTC or other volume stocks.

I'm just asking that the volume be reported, and that it be reported at the "average price" at which it was executed. Is that really unreasonable? The alternative is what we have now, where a market price is given a huge volume from one of these "average price" trades, but the price is completely wrong.

If you want to educate me on trade types, start a new thread. I'm always willing to learn.

[michaelm]

Forgive my tone if it seemed dismissive. There's no question that analyzing price/volume...heck, analyzing stocks, is a real task. My point is to convey that there is more to stock prints than meets the eye, sometimes. How eSignal handles Nasdaq market data isn't wrong. They must conform to proper reporting procedures per each exchange, which they do, and are monitored and periodically audited (I presume) for reporting quality and standards.

I will leave you with just one stock print scenario which some may not be aware of. Say a broker has come into the INTC pit at the CBOE, with an order to sell 20,000 April 35 calls. The LMM and other MMs in the pit will be somewhat freaked, but will want make the trade, and may try to tie it to stock. Say the LMM takes 50%, and the remainder is divided up amongst other MMs who make the best bid. The LMM will hedge with 1 million, or so, shares of stock. If this stock is tied to a negotiated price, then not until the trade is confirmed will the the Broker and LMM say "print it" to the book staff and clerk. Sometimes the stock is executed secondarily, or anonymously via Instinet, etc. At any rate, to see a large print, or "avg price" trade, that is away from the current market price and time may be due to this scenario, which may or may not give me an indication of where the stock is going the next tick, minute or 30mins based on that print.

I, by all means, encourage each trader to find their system, and plan, to trade. Good luck in your endeavors.