Re: Trades outside of Quotes.

Community Support
1

To find trades that occurred outside of the best bid offer query the result of the asof join:

q)select from aj[symtime;t;q] where (price<bidPrice)|price>askPrice

time         sym price size bidPrice bidSize askPrice askSize

12:00:03.000 A   10.5  200  11       200     13.2     200

12:00:06.000 A   8.5   100  6.5      200     7.8      200

12:00:12.000 A   12    100  8.5      200     10.2     200

2

Hi Hemant,

I see Joma has answered your question - Just a note, if you would like to perform an “except” on tables, make sure that the columns are the same.

//This would not work as the aj table has columns of both trade and quote,

t except aj[symtime;t;q]

If you wanted to exclude these from the trades table, you could do something like this.

t:t except select time,sym,price,size from aj[symtime;t;q] where (price<bidPrice)|price>askPrice

Regards,

Matt