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Adam (guest)
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| 06/03/2008 1:39 PM |
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Is it common/expected to see crossed markets on ARCA (bid >= ask)? I am seeing this happen quite frequently, even after ensuring that I have processed every incoming message in the right sequence with no gaps. In general, I will see a buy or sell message exactly at the market (bid == ask), and then more on that same side, without a cancel on the opposite side.
For example, I will get a market state like the following (at a given price):
bid ask message
--- --- -----------
0 0 buy 100 (#1)
100 0 buy 100 (#2)
200 0 buy 200 (#3)
400 0 cxl #1
300 0 cxl #3
100 0 sell 100 (#4)
100 100 *** sell 100 (#5)
100 200 sell 200 (#6)
100 400
etc...
The market crosses over this price at the ***, but that last outstanding order never seems to be cancelled. I am operating under the assumption that I should just cancel out any orders on the "wrong side" of the market, assuming the newer ones are on the right side. |
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Lydia
Posts:68
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| 06/09/2008 4:39 PM |
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Adam,
Thank you for your inquiry. We are working on your question and will respond shortly.
Regards,
Lydia |
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Nolan (guest)
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| 06/26/2008 7:00 PM |
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| In my experience with the ARCA book, I am used to seeing about 50 such occurrences thoughout the day, where a single "occurrence" means that a symbol becomes crossed, then becomes uncrossed. I have seen the same behavior on other ECN's, but to a lesser extent. |
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MattG (guest)
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| 11/10/2008 3:26 PM |
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Is there any update on this, preferably directly from ARCA?
I too am seeing occasional crossed/locked markets, consistent with the poster above. What usually happens is that the bid will be greater than or equal to the offer for less than a second.
I am sure my internal database is correct, as I check it against the interval-based refresh feed. For all but these handful of cases, my internal order book is consistent with the refresh feed.
My *guess* is that is has to do with how ARCA's internal system and/or how the updates are dispersed, but I can't validate this.
Here's one example: on October 22, at 10:00:39, symbol=AAPL. Top bid is 99.37, top offer is 99.39.
Then I get message (line) sequence number 1367453, and source sequence numbers 20541 and 20542. Now the top bid is 99.37 and the top offer is also 99.37. This state persists until message sequence number 1367621, source sequence numbers 20623 through 20631. Top of book is then: 99.37 x 99.39.
All that takes place in less than 1 second.
Any clarification from ARCA or other people saying "me too" would be much appreciated.
Thank you.
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