Pretty simple:
1. I place a buy order in the spread.
2. I watch the bid subsequent to placing my order.
I use two quote systems, Intersat and Datek, to verify.
I expect that, after a reasonable amount of time for
order entry, that the bid will not drop below my bid
unless I have gotten a fill.
If the bid prints below my bid, and I did not get
a fill, then I consider that my order was not represented.
If the bid does not print below my bid, or if I get
filled, then I consider that my order was represented.
In this case, the bid dropped several times subsequent to
my order.
As I stated previous, the order was recorded by Datek
at 15:49:35. Here is the time and sales that I have
through Intesat from that time forward.
As you can see, the bid printed at 16 7/8 on four
occasions subsequent to that.
(In the chart below, "1" is bid, "2" is offer, "0" is trade.)
3:40 PM 5 16.875 1
3:40 PM 5 17.3125 2
3:50 PM 31 17 1
3:50 PM 55 17.25 2
3:50 PM 50 17 1
3:50 PM 55 17.25 2
3:51 PM 50 17 1
3:51 PM 5 17.1875 2
3:51 PM 1 16.875 1
3:51 PM 1 17.4375 2
3:51 PM 50 17 1
3:51 PM 5 17.25 2
3:51 PM 500 17.1875 0
3:51 PM 1 16.875 1
3:51 PM 1 17.5 2
3:52 PM 50 17 1
3:52 PM 55 17.25 2
3:52 PM 5 16.875 1
3:52 PM 5 17.3125 2
4:03 PM 50 17 1
4:03 PM 55 17.25 2
4:04 PM 5 16.6875 1
4:04 PM 5 17.375 2
4:04 PM 5 16.875 1
4:04 PM 5 17.3125 2
4:07 PM 1 17 1
4:07 PM 1 17.25 2 |
