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sawtooth500

Executions between the BBO

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sawtooth500

Check the screenshot of $ROKU, this is on the morning of 5/8/20. 

In my time and sales tapes on the right, there are a lot of transactions in black, meaning they are in between the bid and ask. How is that possible? At this moment the BBO is 128.31/128.56 – And there are multiple transactions for 128.49 at the top of the tape. If I were to enter a market buy for 100 shares at this time, it would execute at 128.56 and be a green entry on the tape, or a market sell at 128.31 would execute as a red entry on the tape. If I put a buy limit 100 shares at $128.49, then you’d see a $128.49 at 100 share bid on the montage, and then let’s say someone sold their shares to fill my limit order then that would be an execution at the bid, resulting in a red 100 on the tape.

If my understanding of all the above is correct, then how are all of those transactions in between the spread generated?

ROKU Spread.png

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