What does the Price on a chart represent?

[Bloke]

Hi All,

A couple of simple questions, I hope...

When I see a live chart ticking away, I often wonder what the instantanious price represents.

- Does it represent the latest trade going through at the bid?
- Does it represent the latest trade going through at the ask?
- Either of the above?
- Some 'smoothed' price based on multiple previous trades?

And also, what are the price values contained in Open/Close/High/Low data?

- Is the high the highest ask?
- Is the low the lowest bid?
- ???

Many thanks,
Mick

 

[TBS]

On a 'normal' bar chart, the values that are shown are those that are actually traded.

If you consider the wide spreads shown first thing in the morning, if thses were part of the chart just because they were offered, then the chart would be a nightmare.

BY the same token it is always worth knowing what the reporting parameters are. For instance fast moving futures markets do not always report every trade but snapshot every second or so.

Eurex is particularly a pain when it comes to this. I have on several occasions had a stop hit despite the data reported to my data vendor showing that the level hadn't been hit (usually only by 0.5/1 point) This is because of the snapshotting which is sent out to data providers. The only filter they have is that if the trade makes a new high or low of the day it must be reported.

I doubt that this applies to stocks as they don't tend to be as volatile intra-minute - but stranger things have happened!

This is also why data feeds such as 'Real Tick' are very expensive as they try to capture every trade.

OHLC data are traded levels.

 

[Bloke]

Thanks for that Sandy.

Yes, for OHLC data I meant traded bids and asks - not just offered. Sorry I didn't make this clear.

Just to clarify:

For the instantaneous price on the chart, it is just a snapshot; and may be a trade going through at bid or ask - it doesn't matter.

For OHLC data, the open and close are simply the first and last trades last trades through - again, whether they are through at the bid or ask is irrelevant.

In short, the bid and ask has no bearing on price/OHLC information.

Did I understand this correctly?

Many thanks,
Mick

 

[TBS]

Hi Mick - trust all is well......

For the instantaneous price on the chart, it is just a snapshot; and may be a trade going through at bid or ask - it doesn't matter.

It is at whatever price the buyers and sellers agree to deal at. Eurex futures are slightly different in that they openly snapshot the market - here is a copy of the mail my data provider got when I asked the question:


Eurex sends to CEF in the so called 'netted mode'. This means Eurex sends within a two second intervall only the last trade. In trading situations it happens that more than one trade is made during the last two seconds. If the last tradewasn't the new high or low, this trade message wasn't send from Eurex and in the
following chain via CEF.

But additionally we receive the high and low value
from Eurex. So we know the new high and low value. If a customer check the incoming messages and compares it against the high and low we had send, they recognize exact this effect. Because they hadn't received the particular trade message
for high or/and low.

A bit stilted as it was written by someone to which English is a second language, but I'm sure you get the picture.

For OHLC data, the open and close are simply the first and last trades last trades through - again, whether they are through at the bid or ask is irrelevant.

Yes, it has to be traded - the offered levels don't count. There is however another quirk to be aware of:

Not all reported data covers the same time period. This is particularly a problem with the London feeds, and one of the main reasons that people find discrepandies between data and data providers.

London has an out of hours auction, so the closing price at 16:30 may not be the settlement price. The problem is that some data providers strictly cut the price at 16:30, others include the out of hours settlement.

This particularly affects those looking at daily candles to make trading decisions.
This also happens on London futures as the futures market doesn't actually close until 17:30, but the daily settlement price is the 16:30 close. Last night the FTSE futures market closed at 4440, the settlement was 4436.5. All accounts are marked against the 4436.5 level - and all the historic day charts show 4436.5 as the close. 4 pts doesn't make that much of a difference, but when it is, say 30 points plus it could cause margin problems and all sorts!

Whatever data provider you use it is always worth finding out exactly how they report thier data, for your own peqace of mind if nothing else.

 

[Bloke]

Brilliant - all clear now.

Thanks,
Mick

 

[blipper]

I'm a beginner but I'm not sure things are that clear-sorry.

I've been comparing Advfn and Money-am and the following seems to be the case which leads to a general consideration that leaves me very unsure regarding how one should define price.

For Sets stocks Advfn takes the current price to be the last trade;Money-am however takes the current price to be the mid-price for all shares whereas Advfn does this only for non-Sets stock. This is reflected in the different share graphs of the 2 sites. Eg- I was looking at AAl last week trading around 2010- it then had 1 higher trade at 2017 before coming back down again . Advfn's graph showed 2017, Money's showed a mid-price of 2013. One can seethe difference this could make should one have been planning to trade when it hit 2015. Isee that FT shows prices as Advfn. I am now also aware that some data feeds(eg Prestel)give a choice of either Trade Prices or mid-prices.

Presumably this differentiation in approach reflects a difference of opinion as to what actually more accurately defines the price of a share- mid or trade, and quite frankly has left me very unclear about the answer to that question.

Does it make a significant difference as to which one chooses, and do traders in general have a concensus on this?

I'd also like to understand why Sets and non-Sets stocks are treated differently, at least by some in this regard?

 

[oatman]

If you're trading SB then it's their prices. Only with direct access will you trade the real market. However you are seeing/trading the same as everybody else on your platform. Their market is how they see it considering the amount of bets in any direction.

 

[BBB]

Are FTSE Futures accounts marked to market now? I never traded them, but was under the impression only STIRS were marked 2 market @ LIFFE?? (at least while I was there)

That brings back fond memories mentioning settlements! Aaaah the squables and fights that used to break out between paper and traders after the close! The poor old pit official stuck in the middle trying to get out the door and go home! Although you say a few points dont matter, they bl@@dy well do when you've got a 500 lot line @12.5 a TICK!

 

[oatman]

Options were worse

 

[TBS]

Are FTSE Futures accounts marked to market now? I never traded them, but was under the impression only STIRS were marked 2 market @ LIFFE?? (at least while I was there)

Yep, as far as I'm aware there has always been a discrepancy between final traded price and settlement it is a pain in the backside.

 

[BBB]

Oatman - I'm talking about options! Sorry, never made that clear. The futures pit never gave the participants a chance to have their say - just as well, they would have been there all night.

TBS- Sure FTSE futures also settle, but is a FTSE account m2m every night?

 

[TBS]

TBS- Sure FTSE futures also settle, but is a FTSE account m2m every night?

Sure, all futures accounts are m2m at the close of play - or are we talking at cross purposes?

 

[BBB]

TBS -

If you buy £1000 abcd stock for 5, and the sell two days later at 7, your account is credited with £2000 when you close the position - two days later.

If you buy 1000 futures at 5 points (with a tick value of £10), and that futures contract settles at 6 points that night, your account is m2m and you are credited with £10,000 that evening (assuming 10 ticks to the point).

I understood (and I could be wrong) that the FTSE futures and options are not m2m simply because the underlying (100 shares) can not be m2m due to clearing issues between LSE, LCH (as it was then) and LIFFE. Other contracts such as the Swissie, Stirling et al do not share this complex clearing relationships.

 

[TBS]

Ah, see where you are coming from. My accts have always been m2m as at the settlement price of the futures for that day.

so if I have 1 lot of ftse at 4400 and the market is settled at 4450, then my acct is credited with £500

If I maintain that position and the next day it closes at 4350, then I see a £1000 negative swing in bottom line - same applies to the index options which all have closing prices - sometimes they are complete fantasyland, but they are always m2m on a nightly basis.

 

[BBB]

Got you. And that credit (or debit) actualy shows on your Cash Balance, rather than Account Value I take it?