Odd lot pricing

[stock777]

 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.

 

[Jerry Medved]

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.

[stock777]

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.

 

 

 

 

 

 

[Jerry Medved]

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. 

[stock777]

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

[Jerry Medved]

But the last price is whatever the current LAST is for the quote. In your example that would be 12.20

[stock777]

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 ?

[Jerry Medved]

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. 

[stock777]

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

[Jerry Medved]

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.

[stock777]

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.

[Jerry Medved]

exactly.  different sources send stuff differently. Ones that send all details are usually sending every tick. IQFeed, QuoteMedia.