Why Large Trades Appear in Time-and-Sales Data
Summary
Time-and-sales feeds report executed trades, not necessarily the original orders that produced them. Large prints can therefore appear even when an institution worked a larger order in smaller pieces. One common source is a block matched off exchange through a dark pool or other crossing venue and then reported to the tape.
Other explanations include opening or closing auction crosses, a block transfer after a broker accumulates shares for a client, and the final print from a guaranteed VWAP transaction. Some large-cap stocks or liquid ETFs may also have enough displayed depth to absorb a large order directly. The answers mention exploratory HFT activity as a possibility, but distinguish its generally smaller prints from the blocks in question; accidental trades are presented as rare. The feed alone does not identify the execution route or intent, so venue and trade-condition details are needed to interpret a particular print.
Key ideas
- Time-and-sales records completed transactions rather than parent orders.
- Off-exchange block matching can produce large reported prints.
- Auction crosses and broker accumulation followed by a client block transfer can also create large trades.
- Guaranteed VWAP arrangements may result in a final block print after the trading period.
- A large print alone does not reveal the order’s intent or execution method.
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Full text
# Why do I still see large orders? # Why do I still see large orders? When analysing T&S for stocks such as AAPL, I sometimes see huge trades. These trades are in the order of 10.000 shares or more. To my knowledge, large trades are (supposed to be) executed by algorithms which subdivide the large batches into smallers trades, as to not influence (/shake) the market too much. So then why do I still see large trades appear on my feed? Do some institional investors simply try to execute if the large order sufficiently crosses the book to cause a fill? (implied by this answer) Why wouldn't they subdivide their trades? ## Answer by Louis Marascio (score 3, accepted) https://quant.stackexchange.com/a/17456 Time and sales shows trades, not orders. You are most likely seeing off exchange block trades being matched in dark pools and other block crossing venues and reported to FINRAs TRF. ## Answer by pyCthon (score 1) https://quant.stackexchange.com/a/17455 Three possible explanations, 1) From a recent PhD thesis, this could be part of an aggressive HFT strategy that tests how the market reacts to such large orders. See Adam Clark-Joseph's exploratory trading paper. 2) If the order is in a Large Cap Stock or liquid ETFs, it could be a large fund filling a block trade. Think about it if your a fund manager, if you see the order book has a bid for 1,000,000m shares at your target price why not send an order? It's cheaper then going through your alternatives (convergex, liquidnet, dark-pools, broker-dealers exc.. exc..) 3) Albeit rare, there is still an occasional fat finger mistake here and there. ## Answer by Sammy (score 1) https://quant.stackexchange.com/a/21012 I agree that it is important to correct your question in that you are seeing actual trades and not orders. Near the opening you are likely seeing the crossing of the opening Spins of NYSE and Nasdaq. You will see the same occur after the close with the closing NYSE Exchange spin. During the day it is also possible that large prints are the flip out of an accumulation trade for an institutional account that is traded on a "net" basis. Net trading is where the market makers compensation is built into the transactions price rather than a commission. As an example consider that Institution X is has an order to buy 50,000 share market "Not Held" and will pay up 1 penny from the Market Makers average price. Market maker accumulates and trades as part of that order and the accumulation trades go to the tape (in smaller sizes) say 50 1000 share trades go to the tape at 10. Once full accumulation take place he flips 50K to the institution at cost + $.01 or 50k at 10.01. Since this trade is done at a different price from the average of the accumulation trades the trade reporting rules require the 50K trade to be reported. Another possibility (which is similar) is with guaranteed VWAP transactions where a firm has an order and guarantees a client a VWAP execution for a block of stock. The trading desk will trade the order and try to make money by bettering the VWAP. At the end of the trade the client will be given a VWAP execution. If you see odd sub-penny pricing on these larger trades these are likely VWAP trades being flipped to institutions. Most times this trade go off after the close. Note that many institutions trade on a fully disclosed commission basis where you would not see the flip of the large print, but there are some that still do trade net where compensation is built into the trade. This is mostly a matter of preference with one caveat (soft dollars can not be paid on net trading). Erroneous trades are unlikely. The Large sized HFT print strategies described in the Adam Clark-Joseph "Exploratory Trading" Paper are probably more in the range of 1000-3000 shares and not likely the prints that the question is asking about. HFT strategies are very sensitive to risk and I would expect that this is not a common strategy. Not to mention that regulators have cautioned firm's against momentum ignition strategies such as this.
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