Quick Data Question

[a0-0b]

Probably showing my ignorance here but ...

So far i've only used what i'd call "period" data (i.e. 1min and 1hr etc) which is OHLC and volume (don't get the open interest thing though). I also get Level II data where you get the bid/ask prices from players together with volumes each player is offering at that price. I think i also get Level I data which is the inside bid/ask (and volume?), but i don't get "tick data" which only seems to have a single price value (and volume). Is that the bid or ask?

 

[oatman]

Tick is the trade.

 

[a0-0b]

Tick is the trade.

So how do i know if it's buy or sell? Ok, silly question, for someone to buy, someone else had to sell, so it's both, but how do i know if it happened on the bid or ask price? I'm guessing i don't!

Here's an example of the data i get when i look at tick - is this normal:

<Date> <Time> <Price> <Size>
20031206 14:19:11 124 78603

Another quick question for the Level II guru's. Is it possible to fill an order not on the inside? i.e. if the current inside prices are 170/171 and someone has a market order @ 173 can it be filled before the others?

 

[Trader333]

If you are using Level II direct access then yes this is possible because you just click on a quote that is at that level and transact directly with the MM at that price. The only issue would be the quantity of stock you wished to trade at that price may be more than they wish to trade. If you are using SMART order routing then you should get filled at the 173 price or better.


Paul

 

[Jerry Medved]

Tick data - it would depend on what software and datafeed you are using. QuoteTracker (http://www.quotetracker.com ) for example lets you see time & sales which shows all trades. As for charts, it has "Tick" charts, which base the candlesticks on the # of bars per candle instead of a fixed time period. You can also have it show a line chart that will show all trades.

buy/sell - on the QuoteTracker Raw Data window (T&S) QT highlights the LAST price in red if its at or below the bid and green if its at or above the ask