Ryan
-Interested User-
Posts: 14
Joined: May 17, 2012
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Posted: Sep 24, 2014 11:57 AM
Msg. 1 of 6
I'm using HTD to request tick data on SPY. I've copied a continuous portion below:
2014-09-23 09:30:00,198.4300,100,4601873,198.4300,198.4300,4305,0,0,C 2014-09-23 09:30:00,198.4400,100,4601973,198.4300,198.4300,4306,0,0,C 2014-09-23 09:30:00,198.4100,333382,4935355,198.4200,198.4300,4318,0,0,C 2014-09-23 09:30:00,198.4300,500,4935855,198.4200,198.4300,4321,0,0,E 2014-09-23 09:30:00,198.4300,500,4936355,198.4200,198.4300,4322,0,0,E 2014-09-23 09:30:00,198.4300,500,4936855,198.4200,198.4300,4323,0,0,E 2014-09-23 09:30:00,198.4300,500,4937355,198.4200,198.4300,4324,0,0,E 2014-09-23 09:30:00,198.4400,100,4937484,198.4200,198.4300,4326,0,0,C 2014-09-23 09:30:00,198.4400,200,4937684,198.4200,198.4300,4327,0,0,C
1. TickID on line 2 is 4306 and on line 3 in 4318. However, the Last Size on line 3 equals the change in the Total Volume between lines 2 & 3. So is this an aggregation of trades? If so, how is it determined that those trades should be aggregated.
2. Between lines 7 & 8 TickID 4325 is missing and the volume is not accounted for. The Total Volume increased by 129 between lines 7 & 8, but the Last Size in line 8 is 100. TickID 4325 is not in the rest of that day's data.
a. I've seen terms "implied trade" / "non-last-qualifying" used elsewhere in this forum, but I'm not sure how/if "implied trade" applies to equities and I really can't find the term "non-last-qualifying" outside of iqfeed. If this is the reason for the unaccounted for volume above, can you direct to a more substantial definition of "non-last-qualifying" (an exchange generated document perhaps)?
b. If I was watching / recording SPY in real-time, would I find these 29 shares with a TickID of 4325?
Much appreciated, Ryan
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