completeness of download data

[Wat Tyler]

I’m a little confused by the downloaded tick data I am getting from esignal. It appears to not be complete.. .

I assume the data is given in the format:
Quote, date, time,bid, ask,bid size, ask size,
And when a trade occurs:
Trade, date, time, trade price, trade size.

Take the YM sample below for example:

Q,060314,144427,11152,11153,5,49, ,
T,060314,144427,11152,47,
Q,060314,144427,11151,11152,36,2, ,

The trade indicated is of 47 contracts at a price of 11152, but the preceding line indicates only 5 contracts bid at 11152.

Is there data missing or have I missed something?

[JayF]

Wat,

There are a few reasons why a trade size may be greater than what is seemingly available at that moment in time.

1. Out of sequence trades or quotes - It is possible to have a trade sent from the exchange that is not in sync with the current reported bid and ask. Likewise, it is possible to have an Bid/Ask update preceed the reporting of a trade as seen in the below.



2. Late trade report - This relates to #1, but sometimes a trade is sent from the exchange later than the fill took place.

3. Institution-sized fill - This happens on the equity markets much more often and typically after the regular market hours, but I thought it should be mentioned. Large institutions will often negotiate large orders and report them to the exchange after the market has left that price range.

Many of these issues will be improved once eSignal 8.1 is released as that version will support exchange time-stamps and sequence numbers. Until then time-stamps are created as we receive the trades and quotes from the exchange.

If you have any questions, please let me know.