0

How to understand the trade price and volume exists when ask price and volume are 0 but bid ones exist? I can't understand what happens under such condition? And also why sometimes bid price is higher than ask price? Thanks

LuckyBBB
  • 1
  • 1
  • 2
    You might want to mention what country/exchange you are looking at and what your source for tick data is (Taq, other). Someone who is familiar with your data can better tell you what is going on. – nbbo2 Nov 28 '23 at 08:32
  • Bid cannot be higher than Ask - unless its a multi-exchange feed or data is erroneous. Moreover of Ask and Ask Size are showing 0, it could simply be that the stock/instrument on the "upper" circuit/price range. in this scenario, there are buy "limit" orders which are filled by incoming aggressive sell orders and trades happen. I agree with @nbbo2 that we need more information on the source. – shoonya Nov 29 '23 at 00:49

1 Answers1

0

There are orders that do not go to the orderbook. For example, if "Time In Force" of the order is "Immediate Or Cancel", the order gets filled only when there's a matching price. Now, suppose orderbook is empty but someone is continuously shooting IOC orders. When a new order arrives and matches with IOC then trade happens and nothing shows in orderbook. It is also possible that someone is trying to intercept orders before they appear in orderbook.

What you see in the orderbook is just a fraction of what is happening/could happen behind the seen. Designated Market Makers have certain privileges that other participant do not have, so you should look that up.

Bid price cannot be higher than ask price (by definition if a market marker is present a trade should happen). If it happens, probably there's some technical issue (data feed, UI, or out of order mismanagement either by server or client).

quantinho
  • 444
  • 1
  • 13