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cintrix

03/01/16 6:21 PM

#4362 RE: 85sticks #4361

I don't have my trading software open right now so I can't see but I am assuming you are saying that the print was way above the ask, right? Yeah, I have seen that a lot. Have heard T trades could be the reason, but in this case if the stock never traded that high today in the first place would cancel that out. There is this theory and I have no idea how valid it is:


There is no possible trade ouside the bid/ask spread. Period. The exchange will always match the closest price (best bid/ask) and execute at that price, moving the bracket (bid/ask) if there is not enough to match the order.

That being said, trades outside bid/ask are basically a data transfer issue. Because they do not say the trade happened outside bid/ask, but it happened outside bid/ask KNOWN TO THE COMPUTER.

This can be because of bad data sources (example: IB updates bid/ask with all other info only x times per second, so in the meantime a trade CAN happen outside), or because of the way the information is handled on the side of the data provider. I am not even aware whether the exchange GUARANTEES (like: always) that bid/ask moves will be under all conditions (fast market) published in proper order. Especially not during the execution of ONE trade.
http://ninjatrader.com/support/forum/showpost.php?p=117581&postcount=7