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CL today - interpretation of tape / time and sales data

  #12 (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

Hulk View Post
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.

I think you had it right in the first place. I gave too much thought to the problem and its unlikely it has anything to do with spreads.

I see the same thing in X_Trader that you did in your platform. When the bid/ask moves up and the bid gets hit, it gets identified as a downtick even when nothing trades at the ask. So if your example, when 58.96 was the ask, trades at the ask were being marked as upticks. Then the bid moved up to 58.96 for a short time and all trades at 58.96 were marked as downticks while it was bid.

Sorry I over-analyzed.

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