I have seen what I think is a discrepancy on the Time & Sales. This occurred on 9th June.
First - here's the Time & Sales:
The Symbol is NYSE D. Replay files are attached for this period.
As you can see - the prints at 9:42:54 are colored green which is my "At Ask" color.
I have an indicator looking at this data and the output is as follows:
6/9/2011 9:42:49 AM Bid : 47.74 Ask 47.75 Last : 47.74 Qty : 100 6/9/2011 9:42:49 AM Bid : 47.74 Ask 47.75 Last : 47.74 Qty : 100 Ask : 47.74 Bid : 47.73 Bid : 47.74 Bid : 47.73 Bid : 47.74 6/9/2011 9:42:50 AM Bid : 47.74 Ask 47.74 Last : 47.74 Qty : 100 6/9/2011 9:42:50 AM Bid : 47.74 Ask 47.74 Last : 47.74 Qty : 100 6/9/2011 9:42:50 AM Bid : 47.74 Ask 47.74 Last : 47.74 Qty : 100 6/9/2011 9:42:50 AM Bid : 47.74 Ask 47.74 Last : 47.74 Qty : 200 6/9/2011 9:42:50 AM Bid : 47.74 Ask 47.74 Last : 47.74 Qty : 100 Bid : 47.73 6/9/2011 9:42:51 AM Bid : 47.73 Ask 47.74 Last : 47.74 Qty : 100 6/9/2011 9:42:51 AM Bid : 47.73 Ask 47.74 Last : 47.74 Qty : 100 6/9/2011 9:42:51 AM Bid : 47.73 Ask 47.74 Last : 47.74 Qty : 300 Ask : 47.73 6/9/2011 9:42:54 AM Bid : 47.73 Ask 47.73 Last : 47.73 Qty : 100 6/9/2011 9:42:54 AM Bid : 47.73 Ask 47.73 Last : 47.73 Qty : 100 6/9/2011 9:42:54 AM Bid : 47.73 Ask 47.73 Last : 47.73 Qty : 100 6/9/2011 9:42:54 AM Bid : 47.73 Ask 47.73 Last : 47.73 Qty : 100 6/9/2011 9:42:54 AM Bid : 47.73 Ask 47.73 Last : 47.73 Qty : 100 6/9/2011 9:42:54 AM Bid : 47.73 Ask 47.73 Last : 47.73 Qty : 500 6/9/2011 9:42:54 AM Bid : 47.73 Ask 47.73 Last : 47.73 Qty : 100 6/9/2011 9:42:54 AM Bid : 47.73 Ask 47.73 Last : 47.73 Qty : 100 6/9/2011 9:42:54 AM Bid : 47.73 Ask 47.73 Last : 47.73 Qty : 100 6/9/2011 9:42:54 AM Bid : 47.73 Ask 47.73 Last : 47.73 Qty : 100 6/9/2011 9:42:54 AM Bid : 47.73 Ask 47.73 Last : 47.73 Qty : 100 6/9/2011 9:42:54 AM Bid : 47.73 Ask 47.73 Last : 47.73 Qty : 100 6/9/2011 9:42:54 AM Bid : 47.73 Ask 47.73 Last : 47.73 Qty : 300 6/9/2011 9:42:54 AM Bid : 47.73 Ask 47.73 Last : 47.73 Qty : 100 6/9/2011 9:42:54 AM Bid : 47.73 Ask 47.73 Last : 47.73 Qty : 100 6/9/2011 9:42:54 AM Bid : 47.73 Ask 47.73 Last : 47.73 Qty : 100 Bid : 47.72 6/9/2011 9:42:54 AM Bid : 47.72 Ask 47.73 Last : 47.73 Qty : 100 6/9/2011 9:42:54 AM Bid : 47.72 Ask 47.73 Last : 47.73 Qty : 100 6/9/2011 9:42:54 AM Bid : 47.72 Ask 47.73 Last : 47.73 Qty : 100 Ask : 47.74 Bid : 47.73 Bid : 47.72 Ask : 47.73
Note that the bid & ask values above are from the bid/ask events.
As we can see, we had both bid and ask set to 47:73 for a short period. What I would like to know is how did NinjaTrader Time & Sales determine that these trades were At Ask as opposed to At Bid?
It appears to me that in fact, it is impossible to determine which or does it lean towards the one that changed most recently if Bid = Ask?
If it really is indeterminate - shouldn't we just use the "Between" color when bid = ask?
Thanks
Pete
Comment