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Strategies & Market Trends : DAYTRADING Fundamentals -- Ignore unavailable to you. Want to Upgrade?

To: Jon Tara who wrote (16902)	9/21/2003 4:50:30 AM
From: Joseph Silent	Read Replies (1) \| Respond to of 18137

Jon, Thanks. I think this terminology is a bit of a mess. I'm looking at some research on classifying trades and market direction. The idea is to try to be able to tell from a sequence of trades what is going on with the quote. So I used the words buy and sell in that sense -- buys make the ask (and bid) move up and sells make the ask (and bid) move down. Your last statement is precisely what I am asking: >> I recall, for example, a few years ago that it was quite typical for NASDAQ trade data to lag quote data by as much as a minute around the open. There is a stream of orders and, as a result, quotes change. That is what I meant by "trades trigger quotes". So you are confirming that in the listing, it may be common (usual?) to see a quote first and then the trades (even though it was these trades that caused that quote). 10 years ago, the quote printed first and then up to 5 seconds later, the trades that caused this quote were listed, according to some research I've seen. How much has this changed now? If one was looking at a stream of trades/quotes, would it be possible to tell? There is a cause and effect (hard as it may be to see) going on. I am trying to understand which comes first in the sequence (in time and sales) -- the quote and its associated trades or vice versa. I suspect the quote comes first and then the trades that were responsible for this quote. I don't know why, but it seems this way. When I dissect the data that a streamer gives (I've actually done this in software) I get a (B,A and last). I don't know what the last is referring to. Did it happen before the quote or after? The timestamp does not help because I don't know how they physically sequence. Quite puzzled. :) Thanks, Joseph