Helpful Information by LSE...12 Jun 2019 18:17
@10.14, June 12 Question:
Why don’t all buys show in the “Volume bought” grid? Seems like
some large buys are simply disregarded (this is the second time within a
week).
@11.21, June 12 LSE response:
We calculate the trade type based on the trade price being higher or lower than the mid price at the time of the transaction. Sometimes this calculation does not work, or the price is the opposite side of the mid price. This means we are either unable to calculate what type of trade this is at all, or the calculation shows it as the wrong type of trade (a buy instead of a sell for example).
@11.46, June 12 my response:
So if I understand correctly – and applied to the large trades I am referring to – the system is fully automated, i.e. no human being is involved, and although the system is not programmed to make respective distinctions – it categorizes the trade as buy or sell just as well (obviously causing confusion).
Due to the fact that we are talking about large trades, i.e. several 100K,
which deliver important trade information would it not be wise to make sure
that these are properly categorized?
@11.51, June 12 LSE response:
It's the same algorithm everyone uses to determine if it's a buy or sell and you're also correct in thinking we don't get involved with or touch the data in any way.
If the London Stock Exchange simply told everyone definitively if it was a buy or sell it'd change the market for the better but, unfortunately they don't which means at times the calculation isn't correct.
I feel much better now!
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