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»Forums Index »Archive (2017 and earlier) »Data and Content Support »Real time ticks showing traded price well below bid price

Author	Topic: Real time ticks showing traded price well below bid price (4 messages, Page 1 of 1)
azurewelkin -Interested User- Posts: 2 Joined: Feb 14, 2015	Posted: Feb 14, 2015 10:52 PM Msg. 1 of 4 I noticed that occasionally a real time tick would update the last qualified trade price but it would be well below the bid price. This has happened multiple times during regular trading hours. An example involves DRI on 02/10/2015 (some tick data shown below), with multiple trading below $60 while the bid price stayed at $60.63. I can only think of three possibilities: 1) the bid price was inaccurate; 2) the trading price was inaccurate; 3) very unlikely situation where all bids above $60 were canceled, the trade happens, and then all bids were re-entered. I am most inclined to believe in 1). Can anyone investigate this? Thanks. Time Stamp,Last,Last Size,Total Volume,Bid,Ask,TickID,Basis For Last,Trade Market Center,Trade Conditions 2015-02-10 10:21:17.464,59.9900,3200,128410,60.6300,60.5100,292849,C,7,3D, 2015-02-10 10:21:17.464,60.6400,100,128510,60.6300,60.5100,292850,C,26,01, 2015-02-10 10:21:17.464,60.6300,69,128579,60.6300,60.5100,292851,O,25,3D87, 2015-02-10 10:21:17.464,60.6300,100,128679,60.6300,60.5100,292852,C,5,3D, 2015-02-10 10:21:17.464,60.6500,100,128779,60.6300,60.5100,292853,C,11,47, 2015-02-10 10:21:17.464,59.9500,4,128783,60.6300,60.5100,292854,O,7,3D87, 2015-02-10 10:21:17.464,59.9400,1400,130183,60.6300,60.5100,292855,C,7,3D, 2015-02-10 10:21:17.464,59.9100,100,130283,60.6300,60.5100,292856,C,7,3D,
DTN_Stephen -DTN Guru- Posts: 453 Joined: Aug 22, 2014	Posted: Feb 17, 2015 03:18 PM Msg. 2 of 4 The Best Bid and Offer was crossed during this time frame and the trade did occur in the $59.4200 range with no bids in the $59.00 range. The Quote and Trade feeds from the exchange are separate feeds and we can only faithfully display what the exchange sends. This trade was also an Intermarket sweep, which would explain how it traded at $59.4200. Stephen Shockey \| Telvent DTN LLC \| Trading Markets \| United States \|Customer Service Technical Support Email: support@iqfeed.net Edited by DTN_Stephen on Feb 17, 2015 at 03:18 PM Edited by DTN_Stephen on Feb 17, 2015 at 03:18 PM
azurewelkin -Interested User- Posts: 2 Joined: Feb 14, 2015	Posted: Feb 18, 2015 01:19 PM Msg. 3 of 4 Thank you. I am confused by what would cause the Best Bid and Offer to cross? Does it mean that there could be a stale quote from one of the exchanges, or is it something that can happen when there is an Intermarket sweep order?
DTN_Stephen -DTN Guru- Posts: 453 Joined: Aug 22, 2014	Posted: Feb 19, 2015 01:21 PM Msg. 4 of 4 When the order book is part of a matching engine, orders are matched as the interest of buyers and sellers can be satisfied. When there are orders where the bid price is equal or higher than the lowest ask, those orders can be immediately fulfilled and will not be part of the open orders book. If this situation remains, due to an error or a condition of the market, the order book is said to be crossed. Stephen Shockey \| Telvent DTN LLC \| Trading Markets \| United States \|Customer Service Technical Support Email: support@iqfeed.net