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Conditions "Out of Sequence" and "Filtered from Chart" in Tradestation T&S
Started:October 26th, 2013 (10:52 AM) by Maisie Views / Replies:544 / 1
Last Reply:October 26th, 2013 (10:52 AM) Attachments:1

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Conditions "Out of Sequence" and "Filtered from Chart" in Tradestation T&S

Old October 26th, 2013, 10:52 AM   #1 (permalink)
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Conditions "Out of Sequence" and "Filtered from Chart" in Tradestation T&S

Can someone please put me out of my misery and explain how the volume gets calculated for trades which post with conditions "Out of Sequence" and "Filtered from Chart"? I have called Tradestation trade desk and they don't know. I've posted in their forum, no answer. I've emailed the nq exchange, no answer. I've tweeted about it and only got one mysterious reply: "I could tell you, but you wouldn't believe it".


In my attempt to become an
ace tape reader, I have put up a workspace with 3 tapes. One which has all the T&S on the SPY which is obviously too fast too read. Except on these crazy midget volume days. 2nd one which filters for > 10,000 share trades and the third, filters > 100K. This tape is where it gets crazy. Since I started doing this I have noticed sweeps at prices which are not on the volume at all in the matrix. IE no trades took place at that price that day. None. Not in pre market, not during the day. Zero. Trades which obviously, had to have gone off the previous day, when price was at that level. And I am not talking about small trades here. Sweeps totalling tens of millions of shares, which in some cases would really change the volume picture on the day. All I want to know is, where does it get counted when printing the volume bar on the daily chart? Yesterday's price = yesterday's volume? Or is it, today's print = today's volume? Because if it's the latter, WTF is anyone doing paying attention to volume bars anymore. These prints are in the 4 decimal places, thus I assume they are algo trades which went off on dark pools and then got reported later. It's my understanding the dk pools have 90 seconds to report to the "consolidated feed" or whatever the heck it's called. I am not here to say Oh Terrible HFT, they are not following the Rules. Whatever. I just am trying to figure out, what do these trades mean for price. What is the meaning of them.

Any insights much appreciated. Here is a relatively recent example.

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Old October 26th, 2013, 10:52 AM   #2 (permalink)
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