Support Board
Date/Time: Mon, 21 Apr 2025 14:20:23 +0000
Post From: Time and Sales Above Ask or Below Bid
| [2025-03-10 18:57:38] |
| User512353 - Posts: 65 |
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My understanding is that an "above ask"/"below bid" record is produced when a market order quantity is larger than the sum of all quantities of the resting bids at the best current price level (and beyond, successively). Such a market order will take out all the resting orders at the current price level, and then continue filling resting orders at the next price level. Since multiple price levels are involved for that single market order, multiple T&S records must be produced. Of these records, those that represent fills involving resting orders beyond the current prize when the single market order was executed, would become "above ask"/"below bid" records. Is my understanding wrong? |