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Hello,
I am taking a closer look at some fine-grained historical data (pro level) for a football market, 1.164721533 to be precise - i.e. match odds for Aston Villa vs Liverpool on 2019-12-17, focusing on runner 56323 (Liverpool).
According to the book (constructed from the atl and atb fields), just before 2019-11-05T18:04:36.279 UTC (T) there was v=10 available to back at p=7.6.
On T, there is a trade for v=10.76 at p=7.6, and available to back (at p=7.6) changes to v=4.56. (p = price, v = volume)
As a timeline:
T- eps: ATB[p = 7.6, v = 10]
T: TRD[p = 7.6, v = 10.76] , ATB[p = 7.6, v = 4.56]
So it would seem that, out of v=10 available, v=10.76 got traded (?!) leaving v=4.56 (?!) available. These numbers don't seem to make sense to me - i.e. I would expect the max trade to be v=10, leaving nothing behind at p=7.6.
From what I can tell from the books for the other runners (Aston Villa & Draw) there wasn't any cross matching either.
Does anyone have an explanation for how these numbers are to be interpreted? Are there hidden orders, is there discretionary market making, did I misinterpret cross matching, ... ? Or, more embarrassingly, did I just construct the book incorrectly? I did look in more detail at the raw underlying data, and my calculations seem to be correct, though.
Thanks,
-J
I am taking a closer look at some fine-grained historical data (pro level) for a football market, 1.164721533 to be precise - i.e. match odds for Aston Villa vs Liverpool on 2019-12-17, focusing on runner 56323 (Liverpool).
According to the book (constructed from the atl and atb fields), just before 2019-11-05T18:04:36.279 UTC (T) there was v=10 available to back at p=7.6.
On T, there is a trade for v=10.76 at p=7.6, and available to back (at p=7.6) changes to v=4.56. (p = price, v = volume)
As a timeline:
T- eps: ATB[p = 7.6, v = 10]
T: TRD[p = 7.6, v = 10.76] , ATB[p = 7.6, v = 4.56]
So it would seem that, out of v=10 available, v=10.76 got traded (?!) leaving v=4.56 (?!) available. These numbers don't seem to make sense to me - i.e. I would expect the max trade to be v=10, leaving nothing behind at p=7.6.
From what I can tell from the books for the other runners (Aston Villa & Draw) there wasn't any cross matching either.
Does anyone have an explanation for how these numbers are to be interpreted? Are there hidden orders, is there discretionary market making, did I misinterpret cross matching, ... ? Or, more embarrassingly, did I just construct the book incorrectly? I did look in more detail at the raw underlying data, and my calculations seem to be correct, though.
Thanks,
-J
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