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»Forums Index »Archive (2017 and earlier) »IQFeed Developer Support »Bad Ticks In GME Tick History.
Author Topic: Bad Ticks In GME Tick History. (4 messages, Page 1 of 1)

Craig
-DTN Guru-
Posts: 326
Joined: Apr 16, 2010


Posted: May 13, 2022 09:54 PM          Msg. 1 of 4
Timestamps are my logging, this is a result of a HTT request for GME / 2022-05-12.

02:42:24.6289037 PM [T: 01]8,2022-05-12 10:14:26.637354,94.5300,49,1999898,94.5300,94.5400,808479821,O,28,87,
02:42:24.6289037 PM [T: 01]8,2022-05-12 10:14:26.637605,94.5300,100,1999998,94.5300,94.5400,812538422,C,12,01,
02:42:24.6289037 PM [T: 01]8,2022-05-12 10:14:26.639248,94.5300,51,2000049,94.5300,94.5400,894652466,O,19,87,

Error? ---> 02:42:24.6445037 PM [T: 01]8,2022-05-12 10:14:27.036153,94.5300,1,2000050,0.0000,500000.0000,894654025,O,19,87,

02:42:24.6445037 PM [T: 01]8,2022-05-12 10:19:36.068216,95.0000,25578,2025628,91.8400,94.8800,825374026,C,7,3F,
02:42:24.6445037 PM [T: 01]8,2022-05-12 10:19:36.068933,94.8800,1,2025629,91.8400,94.8800,826685254,O,11,87,
02:42:24.6445037 PM [T: 01]8,2022-05-12 10:19:36.070767,94.8750,2,2025631,91.8400,94.8800,1093751889,O,19,87,
02:42:24.6445037 PM [T: 01]8,2022-05-12 10:19:36.071810,94.8800,1,2025632,93.8000,94.8700,1093751890,O,19,87,

DTN_Gary_Stephen
-DTN Guru-
Posts: 400
Joined: Jul 3, 2019


Posted: May 19, 2022 02:20 PM          Msg. 2 of 4
When a tick error occurs, the exchanges will send a Trade Correction, and the history available via historical API lookup will be updated to reflect the correction. As of today, that tick is still in the history, so it's probably not an error.

What is it, then? The Ask Price of 500,000 is probably something I call a "token bid." Sometimes the market makers want to have an active Bid or Ask for a symbol, but don't actually want to buy or sell any of that symbol. So they set a ridiculously high ask, or a ridiculously low bid, that no one will ever try to execute. So this is probably a legit transaction. I'm not sure how this bid/ask could have resulted in a sale, but it is normal for outlandish bid/ask prices to show up on the Level 1 feed as just bid/ask offers.

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist

DTN_Gary_Stephen
-DTN Guru-
Posts: 400
Joined: Jul 3, 2019


Posted: May 19, 2022 05:44 PM          Msg. 3 of 4
I have some further information: GME experienced very volatile trading on May 12. The stock was halted 4 times during that day due to limit up/limit down restrictions. The trade you're asking about was the last trade before the first halt occurred. The bid/ask at the time of the trade, are not truly reflective of this trade. Trading resumed again 5 minutes later.

So this trade isn't exactly what I speculated, it was a unique situation. But the situation I described is common, especially in bid/ask offers that aren't also trades.

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist

Craig
-DTN Guru-
Posts: 326
Joined: Apr 16, 2010


Posted: May 19, 2022 06:23 PM          Msg. 4 of 4
OK - that is interesting! Thanks for the reply.
 

 

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