trades below bid price

[robbo]

Folks,
Attached is an image depicting the first 10 seconds of trading of a stock. I had several questions related to data integrity and interpretation.

1. Why are their trades outside the bid-ask spread?
2. When a new bid-ask point is issued - the volume in the info pane is the same as the previous trade. Is that correct? Why is their volume attached to a new bid-ask anyway?
3. The large number of trades outside the bid-ask spread seems to mostly occur in the early parts of trading in the day and not later on - any reason?
4. Ask is lower than bid for about first 5 seconds of trading - ie. up to 6:30:05 Pacific. Does that mean that the feed is about 5 seconds delayed? Is there another sync issue...

Thanks all - your help is much appreciated.
Rob

[michaelm]

do you also watch Level II and Time&Sales in IPIX during first 10 seconds?

Regularly trades are "printed" after beginning of trading session, but have occurred a couple, or serveral, seconds beforehand...not uncommon. I'd imagine someone has an ask that is lower and hasn't been updated, thus seeing ask below bid.
Definitely not an integrity issue...it's a start of trading session issue.

[DuaneG]

Hi Robbo,

In response to your questions,

Why are their trades outside the bid-ask spread?

This can happen at the open of the market as the bid and ask become crossed. The QA department checked the symbol and the screen shot you provided and saw that another data provider also displayed this trade that occurred during a crossed market. Other issues such as late reported trades by the exchange can also affect this.

When a new bid-ask point is issued - the volume in the info pane is the same as the previous trade. Is that correct? Why is their volume attached to a new bid-ask anyway?

The volume is only updated once a trade has been cleared by the exchange. If you could clarify when you are seeing the volume update with the change in the bid/ask it would help in formulating a response.

The large number of trades outside the bid-ask spread seems to mostly occur in the early parts of trading in the day and not later on - any reason?[

This is most likely due to the volatility that is seen at the open of market trading.

Ask is lower than bid for about first 5 seconds of trading - i.e. up to 6:30:05 Pacific. Does that mean that the feed is about 5 seconds delayed? Is there another sync issue...

We checked the servers during this time and did not see any synching issues. The data matched that of the other data providers that we constantly compare ourselves to. The data also matched what was noted at the exchange during that time.

[robbo]

volume

Gents,
Thanks for your replies ....
Whenever a trade is made, there is the attached volume - when you move the cross-hairs over the trade "point" in the tick chart, it shows the volume transacted at that trade.... in the summary pane.

When you move the cross-hairs over the bid or ask point, it also gives volume - that is what I was referring to.....
Robbo

[DuaneG]

Hi Robbo,

Thanks for the explanation. The volume that is being reported when you place your cursor over the bid/ask points of the tick chart is "remembering" the volume of the last executed trade. As a bid/ask does not have any volume data tied to it, it would be best if these points did not report any data at all. I'll send the suggestion over to the Product Development Team. Thanks for the post.