When viewing tick history, is the Bid /Ask price that is presented along with each tick,

1) The Bid/Ask showing at the time of the trade execution
2) The Bid/Ask showing Pre trade

i.e if 4 are offered at 40 and 2 are offered at 40.01 and a trade that buys 6 at the market is entered, would the tick history show:
4 @40.00 with an Ask of 40.00 and 2 @40.01 with an Ask of 40.01
or
4 @40.00 with an Ask of 40.00 and 2 @40.01 with an Ask of 40.00

I suspect the latter which is how we get buys and sells above and below the reported bid / ask?

Thanks in advance,

smg

You are correct. The exchange doesn't always transmit a new bid/ask price our size with a trade message. Thus, the bid/ask information reported at the time of the trade is what was offered at the time the trade executed.

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Jay Froscheiser
DTN - Trading Markets

Hi Jay,
It is very interesting topic. I did some research this problem on your real time ticks a year ago and still confused.
Some times in trade message ("t" message) price outside bid/ask price - for example trade was above ask. I even look in information massages ("a","b") prior this trade message. but they do not post ask that equal trade price. I still see this type of trades 10-100 times per day

Jay, could you give more details?

Its not a problem with the feed (we only report what the exchange sends us). Trades can occur outside (between, above or below) the best bid or best ask.

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Jay Froscheiser
DTN - Trading Markets