Hi guys, I was analyzing a stock and came across this. Here in the market depth there is sell quantity 736 at a price of 196.7. still next moment the stock traded at 199 while the market depth at the next moment showed sellers willing to sell at a price of 197.5. Is it possible that shares are traded at a price different than the bid ask spread? Also are undisclosed quantity shares not reflected in market depth and are reported after the trade has taken place on those shares?
1. Undisclosed quantity shares won't reflect in the market depth. Isn't that the purpose of the feature? 2. While you receive a few ticks per second using the APIs, it might be possible that there are multiple other trades happening at the exchange. You need to be co-located at the exchange to access the same. Read more on this here.
@themohammedfaisal - The interesting point is the volume difference between these two instance is 732 (Column W mentioning volume). If you see the depth_sell_quantity_1 it is 736 at a price of 196.7. After the trade of 732 share, how can the price jump to 199.0 when there are people willing to sell the share at lower price. Are the undisclosed quantity share not shown in volume traded as well?
is this TBT data ? my assumption is that someone would have placed(here_modifed frm "buy limit "to "buy MKT price" )...If you have access to TBT data pls check or share the snap shot... there are bulk deals which we can see in EOD reports..
2. While you receive a few ticks per second using the APIs, it might be possible that there are multiple other trades happening at the exchange. You need to be co-located at the exchange to access the same. Read more on this here.
Are the undisclosed quantity share not shown in volume traded as well?