Price data vs Actual data

[Anonymous]

Pretty much every day now I’m missing one or two trades that come up in my exploration, the problem is not Limit = Low (which happens of course), it’s when the low price of the day, was never actually traded during trading hours.

So of course it comes up as a fill when it’s not. It’s not just in the Norgate data, Yahoo/Google shows a daily low that’s not on the daily chart.

This used to happen maybe once a month, now its pretty much daily. eg in last 2 days – SYNT and NC.

For info I have an average turnover filter of $2M – so not exactly tiny stocks, and I have seen it on stocks with over $10M average turnover.

I’m not sure if some way of reporting sales has changed? But it’s definitely an issue for backtests/systems now.

[Nick Radge]

What was your buy level on SYNT?

Have you spoken to IB?
Have you looked at time and sales data?

[Anonymous]

SYNT on 21/12;
Limit 24.50

Open was 24.83, reported low 24.16, a check of a daily chart or actual trades on Nasdaq shows not trades at this (low) level.

I haven’t contacted IB yet was just seeing if anyone had noticed this also, as it just seems to have started happening. I will contact them tonight though.

[Nick Radge]

Read this thread.

https://edu.thechartist.com.au/kunena/amibroker-setup/308-nyse-normal-market-hours-request.html

[ScottMcNab]

Time and sales seems to indicate you were in the running for a fill…
open on Island at 9.30:00 at 24.83 which satisfies IB smart routing
200 at 24.25
1600 at 24.16
neither of these had yellow flags

Only time I had similar when I quizzed IB they told me it was because my order was an odd lot and therefore in a separate book and I was not entitled to a fill…haven’t seen it again though

[Anonymous]

thanks Scott. Where do you get your info from – I just used Nasdaq website time and sales data. But a couple of things on that – sorry if a dumb question –

– but is there a way of seeing time and sales further back than previous day, I can’t see any way to select another date?
– and what do you mean yellow flagged?

[TrentRothall]

Have you looked on IB time and sales?

In TWS go to analysis tools (i think) and it’s in there

[ScottMcNab]

Kerry O’Keefe wrote:

thanks Scott. Where do you get your info from – I just used Nasdaq website time and sales data. But a couple of things on that – sorry if a dumb question –

– but is there a way of seeing time and sales further back than previous day, I can’t see any way to select another date?
– and what do you mean yellow flagged?

As Trent mentioned…time and sales selected from inside TWS… under analytical tools…then enter stock and select time and date want to look at ..i select from chart by right clicking at bottom right of screen ( I look at chart of 1 min bars and click on bar interested in…most often the open or the low)…can look back at previous days

if there is a yellow flag beside the trade, it indicates (I think…I am pretty crap at this share stuff) that the trade was not one that you could have actually taken (when you move your mouse over the yellow flag it comes up with a better explanation…green flags are up ticks and red flags down ticks)

[Author]

Posts