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I was watching some sample data from a time & sales window (the tape). There was a "Remarks" column with the comment: Between Bid and Ask. What does "Between Bid and Ask" mean? How can a trade happen between the bid and ask?

If I put in a buy market order, trade settlement price will be the ask price.
If I put in a sell market order, trade settlement price will be the bid price.

Does "Between Bid and Ask" have something to do with limit orders?

*I have asked this question before, but I could not understand the answer.

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  • Link to your previous question?
    – Chris W. Rea
    Mar 11, 2014 at 18:17
  • @Chris: I cannot find it now. I think it was closed as not being clear. I will look more.
    – Victor123
    Mar 11, 2014 at 20:36

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These are usually the result of large hidden orders.

One way to obscure large purchases or sales is to post hidden fill or kill orders. They do not show on the limit book, and they can be specified to fill completely or partially.

If they are posted between the visible orders and filled, they will show on the tape usually in the way you describe.

A small investor can sometimes catch those orders by walking orders across the spread, reducing the cost basis.

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  • Thank you very much! There is no end to these nuances around order handling.
    – Victor123
    Mar 11, 2014 at 20:36
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    @Victor123 You'll love this: the algos want more order types! lol. I say let em. I love getting filled between the spread. Saves me tons over the long run with my trading.
    – user11865
    Mar 11, 2014 at 21:51
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    I guess I will never be an algo:(. Took me 2 years to distinguish between Limit and Stop :). Thanks for your insights.
    – Victor123
    Mar 11, 2014 at 23:56
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    @Victor123 You're doing great! I think your questions are on the right track and doing a great service to this site's knowledge. I saw you branched out to quant. Great move! Just keep up a thicker skin than you've so impressively worn here. You never know, we may just hear about the Channeller of Canada one day. :) I highly recommend you revisit my answer on penny stocks, about the magic formula & volatility harvesting...after you find out how many value investor billionaires there are vs HFT and TA combined.
    – user11865
    Mar 12, 2014 at 3:05
  • Thanks for the encouragement. Can you put a link to the answers you mentioned?
    – Victor123
    Mar 13, 2014 at 13:45

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