Backend MOMO Updates

Last week we made some slight modifications to the MOMO data stream. Prior to the change, you may've noticed occasional spurious prints (e.g. AMZN notifications at $1700 when last trade is ~$1800). These prints are actually valid, but don't have any relevance for our needs. As of last Friday, we have filtered these trades out to improve MOMO.

Additionally, we've made the decision to remove odd-lot trades (less than 100 shares or fractions thereof - such as 198 shares - 100 shares + 98 shares) from the MOMO stream. We feel many of these trades are algorithmic or for price discovery and not representative of the market's true conviction at that point in time. With algorithmic trading it is easy for a system to pierce highs or lows of the day with multiple small orders to uncover large stops or "paint the tape". For more background, here is a good article covering odd lots.

Why did we wait so long? Well, before we switched data streams (~3 months ago) it wasn't possible and the new data stream not only showed many more of these prints due to its improved performance, but it also has more options to refine what we see - so we took advantage of it!

In the past I'd regularly get one or two of these alerts a day based on these prints, but since we made the update, I haven't seen any oddities in the stream or received any questionable alerts.

Enjoy - and let us know if you have any questions.

Return to