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LULD indicator in latest Beta


timtrader
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I know you've been tweaking the LULD indicator for charts in some recent beta updates, but this most recent update looks like its actually made it worse.  I have the LULD indicator on a 15-second chart (0.25 minutes) which helps me see a fast moving stock that is about to halt.  Take a look at symbol "ATIF" for example today.  It never halted at all today, but both the high and low limit lines would indicate otherwise. 

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Yes here was the problem (as I said, LULD definitions from exchanges are 1. not "official", I can only find proposals and 2. are not written clearly)

See https://www.luldplan.com/   (this is one of the "simpler" explanations, there are others, more elaborate) the problem was with how I was interpreting the "Calculation of Price Bands" part - see the table.

My calculation was limiting the band width to 0.15 - because it was going off the previous close (which is 0.75) but I am pretty sure when they say "Symbols below $3.00" they actually mean current price (although the widths % calculations are still going off the previous close).

I will correct my code and it will be in next update.

 

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It is even worse. Current "real" LULD levels reported by the exchange  for ATIF are 20% from reference price. According to all the definitions I could find, that only applies to stocks that have previous close >0.75. ATIF's previous close was 0.5something. So how in the world are exchanges calculating LULD of 20% right now I have no idea.

Continuing to look, I took a look at a stock that is 0.4 currently and not moving so its previous close was also <0.75. Its current LULD levels are 0.25 and 0.55. Like - huh? That corresponds to 37.5% offsets - which is exactly HALF of what they are supposed to be (0.75%).

This is driving me nuts and there is no one to ask because it seems like I am the only one in the universe who is doing these calculations.

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Yeah, the only way I know for sure that a stock is about to halt is when I see the volume of the top aggregate price level of a Level II window increasing a lot and the price is no longer going higher (for a halt to the upside).  At that point it still sits for 2-3 seconds and sometimes lets you get in or out of a position, depending on what you want to do. 

It's certainly a nice feature and I'm sure many traders appreciate it....I sure do!

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I called Nasdaq and actually talked to someone who knows the rule there. He looked at ATIF and agreed with me that according to the rule as he understood it it should have been halted multiple times today and it wasn't. He will investigate and get back to me on it. Maybe there are some clauses to the rules that I (and apparently he) am not aware of.

It was a breath of fresh air to talk to someone "official" who knows the LULD rule though. I was starting to feel like vox clamantis in deserto.

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  • 2 weeks later...
On 8/30/2021 at 3:32 PM, timtrader said:

Wow....and all this because it was another thing that the SEC wanted to "FIX" in order to "HELP" us. 👿

 Markets are already in the hands of . lets just say, folks that are not 100% legit .  Without these halts , you would lose even more money .

Edited by stock777
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