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CL today - interpretation of tape / time and sales data

  #11 (permalink)

Texas, USA
Trading Experience: Advanced
Platform: X_TRADER Pro, Custom
Broker/Data: NxCore
Favorite Futures: Futures, Spreads
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Posts: 224 since May 2014
Thanks: 531 given, 493 received

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Thanks Hulk, so are you saying that there is a likelihood of trades taking place but not being reported by the tape?

Thats the only possibility I can think of. Technically, if its a spread order fill, it should not be reported on the outright tape. What I am saying is that the uptick/downtick calculation maybe incorrectly taking spread fills into consideration.

So lets say the CLH8/CLJ8 spread is trading at 0.15 x 0.16. CLH8 outright is trading 58.96 x 58.97 and CLJ8 is trading 58.80 x 58.82 Someone buys the spread and lifts the offer at 0.16, this results in the order getting filled at buying CLH8 at 58.97 and selling CLJ8 at 58.81. During this time, it is possible that CLH8 never trades at 58.97 ourtright so your tape is correct in not showing a trade taking place at 58.97.

But, it is possible that the program that computes the trade direction (relative to the previous trade) on the outright tape of your trading client, incorrectly considered the spread fill at 58.97 as an uptick and then marked the rest of the trades at 58.96 as downticks.

I will try and confirm this Monday when the market opens.

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