Hi

I've been going back and forth with a client over the amount of trades "between" the bid offer based on the IQFeed level 1 feed from BM&F Bovespa. That has involved discussions with the exchange.

Let me show an example.



This screen shot is from the exchange.

As you can see from the book, we have 8 offers at 3122.50 totaling 45 contracts.

On the right, we see on the audit trail, a buy side order come in for 50 hitting into 3122.50. So the transactions took place at the offer price of 3122.50.

Bovespa explained that a buy order (ID 74261032171) come in on 11:11:51.366 and consumed eight sell orders (ID 74261031869 until 74261032159).

After that, there remained 5 lot of original buy order. Then a sell order (ID 742610312175) come in and consumed it.

Now we look at the data from IQFeed (using Ninja).



We can see a couple of things.

1 - when the order came in @ 22.50, the bid/ask according to IQFeed is 22.5/23. It's as if the bid/ask got updated before we got the order message and not vice-versa. So what should have been "at ask 22.50" is shown at bid 22.50

2 - We can see the top order on time & sales is reported between the bid/ask when Bovespa are saying otherwise.

We've been through a lot of these scenarios over the past weeks and I think there is a glitch in the data which is causing both between trades that are not between as well as trades reported at bid that are really at ask.

I would not be reporting this if I had not gone through it with my client and also had him walk through the trades with the exchange.

Is this something you could take a look at?

Thanks

Pete
Edited by pedro01 on Jun 9, 2015 at 11:24 PM

Hello Pete, I have forwarded your questions to our Market Data Services Dept. for further investigation. As soon as we hear back from them tomorrow we will let you know what we find out.

Thanks.

---

Curtis Thompson
support@iqfeed.net
support@dtniq.com
support@prophetx.com
Trading Markets Customer Service
1-800-397-7000

Pete
I have sent a email to your email address with some information and questions on some material needed to help resolve this issue.

Hi

I replied to your emails but didn't get any further responses.

Could you give me an update please?

Cheers

Pete

Pedor01

I apologize for the delay. My data department could not verify conclusively the data your displaying. Is there any way you can give us more current data that we can work with on our end?
We need more information. Anything you can give us to help.
Thank you