NYSE Normal Market Hours – Request

[Nick Radge]

Hi everyone,
I would like to start logging any missed fills on the NYSE that appear in the Norgate OHLC data but didn’t trade during normal trading hours on the NYSE.

Norgate insist their data is purely normal market hours but I have had trades previously that traded either outside normal hours or traded as off-market yet appeared in the OHLC data.

If I can ask anyone that ‘misses’ a fill to:
(a) check time and sales via their TWS to check time and quantity. If you can’t see the trade, then use the IB Chat > Trade Query service for direction
(b) send the data to me or log in here so I can report back to Norgate.

Thanks

[Anonymous]

First paragraph of your post seems like you’re asking for non-fills, then second pararaph seems to be talking about fills out-of-hours?

Have had the former but not the latter?

[Nick Radge]

If you have TWS set to “Normal Market Hours” then you will not get a fill outside.

So what I’m asking is that if you DO have TWS set to Normal Market Hours, and you see a fill in Amibroker but not in real time, I’ like to know if that was a trade outside normal market hours that appears in the data.

[Nick Radge]

Here’s the response from Norgate which helps explain…

Quote:

We publish what is known as “Consolidate Tape” data, which includes trades taken from all exchanges and ECNs. As long as it’s a “last sale eligible” trade (which is a little complex, but it basically is a trade that is performed during regular trading hours, that is not delayed reported/block trade etc.) then it affects OHLC. Volume extends to pre- and post-market trading too, per the Consolidated Tape Association rules.

I can’t see anything particularly strange about NYSE:PEG on Friday other than it had a range a bit wider than normal. It opened on NYSE at $43.93 and the opening trade was $43.63 on the consolidated tape.

So the PEG trade occurred last week. There was a standing bid at $43.90 which was not filled, even though the data low suggested $43.63. That low print was either an off-market trade or it was traded pre-market.

It was not traded in normal market hours.

My point here is that these don’t happen that often, but they do happen and I’m asking Norgate if they’re able to supply just ‘normal market hours’ data.

[Nick Radge]

Response again from Norgate on PEG trade:

Quote:

Normal trading hours are 09:30:00.000 through 16:00:00.000. These times are exchange-independent.

For a NYSE security, the Designated Market Maker can open the security for trading on NYSE at any time thereafter. Some times they open up trading on NYSE several minutes later, but there can be hundreds of trades that have occurred on other stocks in the meantime. A similar mechanism applies for NYSE American.

Unless the NYSE DMM opens the stock for trading at 09:30:00.000 then the open price will be from another exchange if it trades prior to the NYSE Open.

In contrast, all Nasdaq, and NYSE Arca securities opens for trading at 09:30:00.000.

$43.63 was the first traded price (159 shares traded) at 09:30:00. There were a several odd-lot trades that occurred (under 100 shares) and there were also 100 share trades at $43.92, $43.93, $44.01 and $43.97 until the
NYSE opened at 09:30:18 (volume 31290).

One day we may offer primary-exchange-only data (which would just show NYSE trades for PEG) but this is not something that will happen in the short term.

[JulianCohen]

It looks like someone was getting a pretty shit fill at 43:63 on the sell side!

[ScottMcNab]

This is something I used to see more in R1000 but occurred last night in SP500…was in trading hours (250 shares 3 sec after open)(was not a spread or special trade)…would also be avoided with primary exchange only data….this has to be impacting backtests on MRV systems

[ScottMcNab]

Found this on a post today…would be interesting if could compare results of a basic MRV between Wealth Labs and Norgate to see if any difference….calling all coders out there

[JulianCohen]

One thing I have noticed since switching from an MOC on S&P 500 to the Russell 1000 is that a couple of times I have had missed fills on a stock that opens unusually low and then trades again at or near its previous close within a minute. I checked with IB and this is due to private trades going through that are not off market so are included in Norgate’s data.
Their reply when questioned about this was :

“The trade in question was reported as being executed off exchange. Executions reported as “D” FINRA-ADF (alternative display facility) are trades between one Broker Dealer and another Broker-Dealer not on a listed exchange. You can not direct route an order to “Finra-ADF”. The executions are reported to comply with Finra’s trade reporting requirements. These are reported to Time and Sales as completed trades and IB customer orders can not participate in these completed executions.”

Thus you get a fill in backtest but not in reality. I doubt it accounts for more that 1% of CAGR although I am monitoring it. It would not stop me trading the system, it’s just part of doing business I guess

[RobGiles]

I got a fill Friday night on my MOC system that was higher than the backtest fill. Details as follows:
1. Limit order on BBT @ 45.84
2. Market opened lower @ 45.64, which is where I got filled
3. However, NASDAQ opened at 44.62, which is where Norgate data, hence my backtest, reported the fill.

The explanation from IB was:

“Your order is configured to work during regular trading hour only. Our smart routing system does not consider a market to be open until the primary exchange posts their opening indication. When Nasdaq reports their executions to the consolidated tape prior to 09:30 est, each report is flagged as “pre market”. At 09:30:00 any Nasdaq trades that occur are reported to the consolidated tape without the pre market indicator. This causes 3rd party quote reporting (Bloomberg, ILX, Reuters, etc) to see the first of these prints as “opening” prints when, in reality, they are not. “

I thought I understood what they were talking about but now I have NFI what the above all means.

[JulianCohen]

it means “bugger off I’m busy”

[RobGiles]

Haha…..yeah or “its you again you annoying little (insert preferred adjective). Why don’t you a) just ‘know’ all this already or b) go away”

[RobGiles]

Seriously though, have you (or anyone else) seen fills better than NYSE fills on another exchange where the open is lower? Clearly this will affect my BT results. I’m assuming its not material, but I’ll keep an eye on it.

[Anonymous]

Along the same lines Rob – occasionally have missed trades where the low of the day is significantly lower than the open/close price. (ie O/C/H all within a few cents and low is dollars lower)

Searching the market hours trades you can’t find any trades that executed at that low price.

Of course these are the trades that show the biggest wins on backtests – so something to take into account.

I made a watchlist when I was back-testing MRV of trades I saw like this and excluded them from future backtests.

Although I’d say in my MRV universe I still get one of these trades every 2 weeks or so. I keep a record of all trade issues, and if it becomes to much of a problem I may have to change things. Kind of annoying!

[JulianCohen]

Rob Giles wrote:

Seriously though, have you (or anyone else) seen fills better than NYSE fills on another exchange where the open is lower? Clearly this will affect my BT results. I’m assuming its not material, but I’ll keep an eye on it.

yesterday I got this on IONS

My fill from IB was at 58.00 on the open and in two systems for the same stock.

When I get a fill that I question I often ask IB, just to make sure that I’m not doing something wrong really, but mainly I log it so I can see where my system differs from reality and then move on. Since I’ve been logging them I found a small error in my code which I corrected, but mainly I have found trades like this, that are in my favour. Most by 0.01 cents but twice this month I have had trades where it was more than that, like in this case.

Swings and roundabouts really.

[Author]

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