Ninja T&S Trades Above and Below the Market

January 6th, 2011, 03:50 PM

Using Time and Sales I regulary see prints showing trades that have taken place above and below the market, where price on the DOM has not yet traded. I sent an email to Ninja Support to explain how this is possible and they suggested I contact one of their 3rd party educators - simply not good enough really. So please can someone explain how Ninja's T&S can print prices where the DOM has not yet traded.

January 6th, 2011, 04:17 PM

I believe it has been covered in this thread:

Analysis and comparison on different data Feeds and Platforms for Bid/Ask Studies

Hi All,

I wil try here to do an analysis and comparation on different data feeds and platforms to perfom studies involving bid/ask data, like comulative bid/ask difference or delta bars and footprint like.

Luke.

P.s. Is not a simple work, and take …

Or in one of the various other NT threads.

But the summary, from what I recall, was that up until recently and with NT7 final, the Zen Fire connection was in fact filtered even though it wasn't supposed to be. Enough people finally convinced NT of this, and they asked Zen Fire then realized they were on the "wrong" server.

I believe the solution was to 1) make sure you have NT7 final, 2) delete the zen fire connection, 3) re-create the zen fire connection. All steps mandatory from my understanding to be put on the new server.

Mike

January 6th, 2011, 04:58 PM

Hopefully someone will correct me if I'm wrong, but I think those trades are an artifact of Ninja or zen-fire getting behind in reading the data. I don't think it's actually possible for a trade to occur above bid or below ask - I think the market just moved too fast for Ninja or zen-fire to keep up.

Ninja T&S Trades Above and Below the Market

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Ninja T&S Trades Above and Below the Market