Price resolution in Nasdaq stream?

[bfry5282]

This is a question about price resolution.

I trade Intel, and expect to find prices between penny spreads, e.g. 32.0018, rather than 32.00.

First of all, has anything changed in the data feed which would limit the precision to the nearest penny?

What precision can I expect? What affects the precision of trade pricing? I thought I was getting pricing in the tenth of a cent range, in my analysis, but was I just imagining things? ;-)

TIA

[bfry5282]

Could be my fault...

I may have manufactured additional precision through a moving averaging process in my EFS. Thinking about it, I suspect that's what's happened, and that there are no changes to the data feed at all...

Please confirm best precision I can expect to see in the data feed.

TIA

[JayF]

Make sure you have Show Full precision for Price checked in File --> Preferences

We don't do any rounding in the datafeed at all, so if a price is sent in a precision of thousandths, we'll show it.

[bfry5282]

OK, full precision was checked

Thanks. Well, just updated to 7.5 release 1, and I see that full precision was checked. So, I assume it's in effect, and the INTC stream is simply not producing fractional pricing, as I would have expected it to do.

Still a bit puzzled and wondering why I'm simply not seeing the fractional penny pricing which I strongly suspect should be there, especially with Intel.

Any further ideas on this, or am I just expecting too much?

For example, with Tick Downloader, should I see better precision than 0.01 routinely on INTC? What factors affect the precision of pricing outside of eSignal?

Thanks for the explanation. I'll let you know if things change.

[bfry5282]

Tick downloader a very few thousandths

OK, I looked closer and I did actually see prices which were in the thousands, but they always seemed to be 32.899 or 32.891 (very near the penny), and there didn't seem to be prices like 32.894, 32.895, distributed between the penny marks. Maybe this just doesn't happen, and I'm all wet about this whole issue.

I know this is very unscientific of me but it seems there ought to be lots more fractional penny (i.e. thousands) trade prices in a stock as active and liquid as Intel.

Can someone reassure this poor trader?

TIA

[michaelm]

bfry5282,

Are you trading in tenths, hundreths or thousandths of a penny in INTC?
Could you explain further the issue?

[Natalie]

Re: Tick downloader a very few thousandths

Originally posted by bfry5282
OK, I looked closer and I did actually see prices which were in the thousands, but they always seemed to be 32.899 or 32.891 (very near the penny), and there didn't seem to be prices like 32.894, 32.895, distributed between the penny marks. Maybe this just doesn't happen, and I'm all wet about this whole issue.

I know this is very unscientific of me but it seems there ought to be lots more fractional penny (i.e. thousands) trade prices in a stock as active and liquid as Intel.

Can someone reassure this poor trader?

TIA

The reason for getting prices like bid $32.891 or ask at prices like $32.899 is that a trader is using the 1/10th of a penny to take the inside bid/ask. i.e. 1/10th less (or more) than the previous best bid/ask. they may do this using 1/100ths of a penny instead of 10th's of a penny. They have no reason for giving away 3/10ths or 4/10ths or even 1/2 a penny when they can do it with a single 10th or 100th...

It is merely a device to move inside the spread (especially when the spread is tight)- nothing more...

Kind regards

Natalie

[bfry5282]

Retraction and testimonial: eSignal is GREAT !!!

Sorry to have called into question the data feed. I was wrong.

First of all, I'd like to say that eSignal's data feed is fine, exactly as claimed. I didn't see what I was expecting in INTC, but only because that's how it trades.

By wwitching over to the QQQ's, my sub-penny intrabar volume analysis routines show prices distributed well between the penny spread.

My EFS routines are seeing resolutions into the range of $0.0005 in the QQQ's in tick replay $playback mode, which is exactly what I wanted. I can set them to categorize (round) price histograms at any level of resolution, and I wouldn't normally look at such a fine level of detail, BUT eSignal provides it !!!

So, sorry I called into question this great data feed, and this fabulous realtime analysis development platform.

As to why anyone would care about such fine resolution, MM's and large traders' intentions are clearly shown by exactly where they place their trade volumes, often inside the spread; and seeing inside the spread, plus seeing the distribution of such intra-spread trades provides information on their intentions.

Thanks for a great product !!! I couldn't survive with out it !!!

[Scientist]

Re: Re: Tick downloader a very few thousandths

Originally posted by Natalie
The reason for getting prices like bid $32.891 or ask at prices like $32.899 is that a trader is using the 1/10th of a penny to take the inside bid/ask. i.e. 1/10th less (or more) than the previous best bid/ask. they may do this using 1/100ths of a penny instead of 10th's of a penny. They have no reason for giving away 3/10ths or 4/10ths or even 1/2 a penny when they can do it with a single 10th or 100th...

It is merely a device to move inside the spread (especially when the spread is tight)- nothing more...

Kind regards

Natalie

LOL! That's very typical behaviour on the really tight (small size, high liquidity) Naz issues.

It is actually a little more than just a device to move further inside the spread. Part of all this action is super-volume scalpers on ISLD shaving the inside bid/ask with invisible iceberg orders, which you can't even see. The orders only scroll through as they get filled, and as soon as this happens, the next lot rolls through, ultra-fast. This can cost you quite a bit if you're a high-volume type few-cents-a-time scalper, so you always need to be on the watch for that - and make sure you make plenty use of it yourself...

Happy New Year!
Scientist.

[Natalie]

Re: Re: Re: Tick downloader a very few thousandths

Originally posted by Scientist
LOL! That's very typical behaviour on the really tight (small size, high liquidity) Naz issues.

It is actually a little more than just a device to move further inside the spread. Part of all this action is super-volume scalpers on ISLD shaving the inside bid/ask with invisible iceberg orders, which you can't even see. The orders only scroll through as they get filled, and as soon as this happens, the next lot rolls through, ultra-fast. This can cost you quite a bit if you're a high-volume type few-cents-a-time scalper, so you always need to be on the watch for that - and make sure you make plenty use of it yourself...

Happy New Year!
Scientist.

LOLOL Fancy finding you here!

Yes - you are of course completely right, and this applies to those prop/institutional traders whose cost of trading is about 0.1-0.2 cents per share round trip, which of course means they can scalp mercilessly inside the penny. I wasn't going to get into that though...

indeed!

Warm regards

Natalie

[Scientist]

Re: Re: Re: Re: Tick downloader a very few thousandths

Originally posted by Natalie
LOLOL Fancy finding you here!

Yes - you are of course completely right, and this applies to those prop/institutional traders whose cost of trading is about 0.1-0.2 cents per share round trip, which of course means they can scalp mercilessly inside the penny. I wasn't going to get into that though...

indeed!

Warm regards

Natalie

LOL! Small world, isn't it? Pure coincidence strikes another time.

Talking of prop traders whose cost is 0.1-0.2c / share; Cost? Are you kidding? Those high-volume scalpers actually get ECN rebates for liquidity provison! Some traders trade all day long just to get the rebates. That's pure LP'ing - And in that profession, every 1/10 cent counts indeed. And then there's people out there who seriously try to make money scalping this way with IB...

Merry 2004,
Scientist

[Natalie]

Re: Re: Re: Re: Re: Tick downloader a very few thousandths

Originally posted by Scientist
LOL! Small world, isn't it? Pure coincidence strikes another time.

Talking of prop traders whose cost is 0.1-0.2c / share; Cost? Are you kidding? Those high-volume scalpers actually get ECN rebates for liquidity provison! Some traders trade all day long just to get the rebates. That's pure LP'ing - And in that profession, every 1/10 cent counts indeed. And then there's people out there who seriously try to make money scalping this way with IB...

Merry 2004,
Scientist

Yeah. In some cases (institutional), the efect is that the exchange actually end up paying them to trade. Between the rebates, and the fact that the institution is self clearing (and the back office costs involved are not very large at all by comparison to the turnover) all they have to do is make sure they don't lose and simply keep a balanced book, although it does help when they can fractalise the envelope as well and weight it...

A great 2004 to you as well.

Natalie