IB: how to filter out implieds trades mesages?

[shapiro121]

Hi,

I try to write a simple script to count how many lots traded from bid/offer side of the market.When using OnMarkeData function for MarketDataType == MarketDataType.Last, it looks like it catches also implieds trades (that is trades which have not actualy taken place, but the calendar spread traded in this contract and this event is reported as trade).
I am using Intereactive Brokers and made some tests in GC (gold) Nymex.

Have anyone the idea how to filter out those impliedes trades?

Below is a fragment of a code:

protected override void OnMarketData(MarketDataEventArgs e){
if (e.MarketDataType == MarketDataType.Last)
{
Print(e.Price.ToString()+" "+e.Volume.ToString());
return;
}
}

[NinjaTrader_ChelseaB]

Hello,

Thanks for your post.

I'd be happy to look into this. How are you able to tell which trades are implied trades?

Are these trades not showing in the Time & Sales window?

[shapiro121]

There are couple situations in which you can tell that the trades events weren't actual trades, but the trades report comes from another event, most often calendar spread traded in this contract.

E.g.
1. When the price reported is above the last known bid price and below the last known ask price (the trade price is somewher in the middle of the market) or;
2.When the price reported is below the last known bid price or
3.When the price reported is above the last known ask price.
4. Sometimes it also happen that the trade price reported is equal either to bid or ask price, and this is implied trade and not factual trade. Such situations are most tricky to handle.

Of course, above reasoning isn't always true, e.g.on very choppy market when a lot of things happen and there is mess with market data, then you can't be so sure whether these were implieds trades or not.However on a calm market with single trade event when one of the above condition (1,2 or 3) is met. Then in such situation you can be sure that this is implied trade.

I am looking for a way in which you can be 100% sure whether the trade event was actual one or not. The broker should tag actual trades and implied trades differently.

[NinjaTrader_ChelseaB]

Hello shapiro121,

Thanks for your reply.

Are you asking if the trades that are not exactly at the bid or the ask are still real trades?

There are trades that happen between the spread of the bid and the ask and these will still be real trades.

In the Time & Sales window its possible to color these trades a different color so that they stand out.

The different trades you can color are:

• Above ask
• At ask
• At bid
• Below bid
• Between

You can also color trades that are above a certain size, as well as the daily high and low.


Am I understanding your question right in that you are seeing trades that are between the spread as not real trades?