Below ask transactions on time and sales

[ngan82 1]

Hello,

I was using DAS in replay mode, loaded TSLA for 2/23/23 and was watching some transactions happen which I do not understand. Attached is the pic, where multiple transactions happen at 204.85, yet in the middle I see these below ask transaction happen at 203.85! That's a $1 difference, how is this possible?

Thanks.

Edited February 24, 2023 by ngan82

[paulbarbu 0]

Those are sell market orders filled below the bid (when you enter on  market sell orders basically you will get filled at the bid price or below) . You can change the colors for different fills in the settings.

I have been noticing something similar on some stocks as well , especially when reaching an important level (PDC / Cam pivot etc) where the price action might reverse ... the Time and Sales gets really flooded with 1 share sells below the bid but the stock/bid keeps moving up. Having multiple T&S and filtering them will help you ignore those (filter one to show only below 100 shares and another above 100s and maybe another greater than 1000 shares ) this way you can see what different size players are doing ... if you have a single T&S you will see only  dark red/pink or whatever color you have  for below the bid transactions and you might think that a lot of selling is happening but once you look at higher tiers transactions there may be quite some buying that will get flushed really fast and you being unable to notice it if you have a single T&S.

As to why is that happening , might be some form of distraction of  a MarketMaker or bigger player/ computers to distract from what is currently happening : flooding the T&S ( notice that those 1share transactions are at wired prices as well .. with lots of decimals / usually computers).

Edited February 27, 2023 by paulbarbu

[ngan82 1]

Interesting.. if they are sell market orders, shouldn't they be filled at the bid rather than below it? There could be slippage but this is a $1 difference showing up! Almost seems like some sort of delay in reporting these transactions, no?

[Martin D 29]

20 hours ago, ngan82 said:

Interesting.. if they are sell market orders, shouldn't they be filled at the bid rather than below it? There could be slippage but this is a $1 difference showing up! Almost seems like some sort of delay in reporting these transactions, no?

Yeah I mentioned it on the other thread on this topic. They're under the D in the exchange column (you can add it) which is a darkpool, darkpools don't have to report immediately and so will most likely be delayed transactions.

However, given the participants involved in a darkpools I can't see them being anything other than just clouding the tape and therefore I personally choose to remove them.

[ngan82 1]

3 hours ago, Martin D said:

However, given the participants involved in a darkpools I can't see them being anything other than just clouding the tape and therefore I personally choose to remove them.

How do you remove the dark pool reporting? I looked at the filters on T&S and not very clear what to configure:

 

[Martin D 29]

I got rid of DAS so I can't check exactly what I did but it's not that you want to get rid of darkpools entirely, they trade some serious size. 

I ran Thor's 3 tapes to filter different sizes and I remember debating between filtering out darkpools out of the <100 share tape and just filtering out all 1 share trades entirely. As I can't see what I did now, if you did go the darkpool out of the small tape option then you can add the exchange to your T&S and then there's an option to turn off the abbreviation somewhere, that should tell you which one of those is the one you need to filter. Definitely wouldn't go for filtering darkpools if you only run one tape though.

[Alastair 114]

22 minutes ago, Martin D said:

I got rid of DAS so I can't check exactly what I did but it's not that you want to get rid of darkpools entirely, they trade some serious size. 

I ran Thor's 3 tapes to filter different sizes and I remember debating between filtering out darkpools out of the <100 share tape and just filtering out all 1 share trades entirely. As I can't see what I did now, if you did go the darkpool out of the small tape option then you can add the exchange to your T&S and then there's an option to turn off the abbreviation somewhere, that should tell you which one of those is the one you need to filter. Definitely wouldn't go for filtering darkpools if you only run one tape though.

 

 

I agree ........... seeing what the dark pool did/doing is info that u need to create an edge ......this is what Paras teaches.  Its best to learn how to use the info in the T&S either to create an edge of stay out of the trade at that level.   IMHO.