Fragmented Market Data

[RobinHood 10]

The SFE reports trades as component parts. Where 20 lots of 1 are in the queue, and a commercial trader hits them in a single trade, the SFE system reports 20 separate trades of 1 lot each... It needs to be assembled to be useful.

(http://www.camron.com.au/mainpage.htm)

 

This kind of data seems very important to me, makes a big difference if a monster is eating up 20 lots in one go over time, or 20 people eating one lot each.

 

How does one go about "constructing" it? My only guess would be time-based analysis of T&S but nothing out there seems to even mention any of this!

 

 

Are there any other such things I should be aware of about the order book & T&S before I spend all my time watching them?

[BlowFish 10]

You can not accurately. (Unless the exchange reports the extra information). presumably if the bid was70 and goes to 50 at the same time 20 x 1 lot orders are reported with an identical time stamp (all at the current bid) hit the tape it would not be un-reasonable to assume the scenario has taken place. Are you sure that is how things are reported? I am a wee bit sceptical it seems unusual to me.

[darthtrader2.0 10]

Wow that is a kick ass site. It might be worth considering paying the 100 bucks for the extra web content they seem to be offering.

Thats a pretty interesting idea as far as looking at time stamps all at the same bid/ask. Considering the fragmentation algorithms are all executing in the milisecond range.

Very impressive with the amount of homework done on that site plus the fact that the software offered is not priced "to move".