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»Forums Index »Product Support »IQFeed 3rd Party Software Support »Volume at bid and ask
Author Topic: Volume at bid and ask (4 messages, Page 1 of 1)

hamall9
-Interested User-
Posts: 7
Joined: Dec 9, 2008


Posted: May 5, 2009 07:26 AM          Msg. 1 of 4
ES related question

When you supply Volume data at the bid and ask to Ensign, is it the total volume traded,
or is it only the volume of Market Orders traded on the ES

many thanks
John

DTN_Jay_Froscheiser
-VP, Product Operations-
Posts: 1753
Joined: May 3, 2004

DTN IQFeed/DTN.IQ/DTN NxCore


Posted: May 5, 2009 08:19 AM          Msg. 2 of 4
Bid/Ask volume is the number of shares/contracts currently wanted or offered at the bid/ask. They are quotes, not trades. Trade volume is the number of shares/contracts that traded in each transaction.

If you are talking about certain analysis Ensign is doing to track the volume of trades that are made at the bid or ask price, you would need to check with them regarding how the analysis is calculated.

Jay Froscheiser
DTN - Trading Markets

hamall9
-Interested User-
Posts: 7
Joined: Dec 9, 2008


Posted: May 5, 2009 08:41 AM          Msg. 3 of 4
Thanks Jay, I never knew that before. I always thought that bid-ask vol was trades not quotes.

Is this because it is the only way in which the CME offers the data or is it because you chose to pull it down in this manner.

many thanks

John

DTN_Jay_Froscheiser
-VP, Product Operations-
Posts: 1753
Joined: May 3, 2004

DTN IQFeed/DTN.IQ/DTN NxCore


Posted: May 5, 2009 08:53 AM          Msg. 4 of 4
The exchange only provides the price and size of quotes, as well as the price and size of transactions. Many software packages take this information and combine it to create what they call "pressure" indicators. Essentially, they look at the the volume of a trade and apply it to a bid or ask if the trade occurred at the bid or ask price.

Jay Froscheiser
DTN - Trading Markets
 

 

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