stock777 Posted November 13, 2018 Report Share Posted November 13, 2018 Noticed this. Using the ameritrade feed , odd lots show as printing at the last ROUND lot price, not the actual price of the trade as shown on the IB t&s feed. Is this an ameritrade issue or something MT is doing. Quote Link to comment Share on other sites More sharing options...
Jerry Medved Posted November 14, 2018 Report Share Posted November 14, 2018 Not quite sure what that means. Keep in mind that the default TD Ameritrade datafeed is aggregated, so each row may represent more than one trade. You can turn on Tick quotes but then the trade sizes that are reported do not include odd lots. Not something we can do anything about. Quote Link to comment Share on other sites More sharing options...
stock777 Posted November 14, 2018 Author Report Share Posted November 14, 2018 I'll give an example Last round lot of XYZ trades at $12.20. That is what shows as the last price 43 shares trade at $12.15 . I see this actual trade price on IB's t&s stream, using their platform. Last price is still reported as 12.20 , as an odd lot doesn't change the last reported print the same 43 shares show on the Ameritrade t&s, but with the last price of 12.20 , NOT the real trade price of 12.15. So, was wondering if Ameritrade is failing to report the real price , and using the last price, OR is MT not picking up the 12.15 somehow. Quote Link to comment Share on other sites More sharing options...
Jerry Medved Posted November 14, 2018 Report Share Posted November 14, 2018 if default, the data is aggregated. MT for every quote, MT just stores the LAST, BID, ASK and the change in volume from previous. You would need to understand how the data is sent. If selecting TICK Streaming, MT gets the TIME_SALE requests, which returns every trade and merges it with the default datafeed, since the default one is what has stuff like bid/ask, high/low, etc. TICK data does NOT include odd lots. In your case, I am pretty sure what you describe is the default data - not TICK data. Well, the LAST at the time the volume changed (in your example) was 12.20. There is no way for us to know that it was traded at 12.15. This works as intended. Quote Link to comment Share on other sites More sharing options...
stock777 Posted November 14, 2018 Author Report Share Posted November 14, 2018 (edited) Nope. Getting tick data from Ameritrade I see the odd lot sized data in the tick stream, so they must be sending it. It compares exactly with the odd lot data in IB's stream size wise, but not price. If it would help , I can do a screen shot showing this at work Edited November 14, 2018 by stock777 Quote Link to comment Share on other sites More sharing options...
Jerry Medved Posted November 14, 2018 Report Share Posted November 14, 2018 But the last price is whatever the current LAST is for the quote. In your example that would be 12.20 Quote Link to comment Share on other sites More sharing options...
stock777 Posted November 14, 2018 Author Report Share Posted November 14, 2018 What Im saying is , IB is able to report the actual last price 12.15 Are you saying Ameritrade reports the size of the odd lot , but not the real price ? Quote Link to comment Share on other sites More sharing options...
Jerry Medved Posted November 14, 2018 Report Share Posted November 14, 2018 IB has a completely separate datafeed for T&S keep in mind that MT is basically creating the T&S from the Level I quotes. Quote Link to comment Share on other sites More sharing options...
stock777 Posted November 14, 2018 Author Report Share Posted November 14, 2018 (edited) I know IB feed is separate I assumed that since the amtd feed was showing the lot size , that there should be a matching price to go with it . Still not clear on why that isnt the case. Are you saying they increment the volume without an attached price ? Edited November 14, 2018 by stock777 Quote Link to comment Share on other sites More sharing options...
Jerry Medved Posted November 14, 2018 Report Share Posted November 14, 2018 48 minutes ago, stock777 said: Are you saying they increment the volume without an attached price ? Yes. You yourself said that odd lot trades do not update the last on the stock. that is all that you are seeing. Quote Link to comment Share on other sites More sharing options...
stock777 Posted November 14, 2018 Author Report Share Posted November 14, 2018 Just wanted to make sure it wasnt something that could be fixed. Makes sense that if they only update the volume, you would not know the new price. Quote Link to comment Share on other sites More sharing options...
Jerry Medved Posted November 14, 2018 Report Share Posted November 14, 2018 exactly. different sources send stuff differently. Ones that send all details are usually sending every tick. IQFeed, QuoteMedia. Quote Link to comment Share on other sites More sharing options...
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