reconcile tick data vs trade prices

saminny · September 13th, 2013, 4:55 pm

Hello,I am trying to identify state of order book when an order was executed at a certain trade price.However, I'm unable to find the trade price in the order book top of book data.The top of book data has every single tick in it, not sampled. So it appears best prices never actually reached that trade price. When could this happen? The only reason I can think of is missing ticks but I am told data is complete.thanks.Sam

xpatagon · September 13th, 2013, 5:26 pm

Is it a market with high frequency trading? If so, it is probably orders getting placed and filled within the latency window of the data reading process. Is it even possible to have unsampled tick data in a market with HFT?

saminny · September 13th, 2013, 7:19 pm

the tick by tick data is sent by exchange. Could the exchange skip a few ticks?

taylan · September 14th, 2013, 6:26 am

It's probably OTC trades. Some exchanges register these trades on the wire, and this might result in trade prices within bid-ask spread