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»Forums Index »IQFeed Developer »IQFeed Developer Support »Last price between Bid/Ask range
Author Topic: Last price between Bid/Ask range (12 messages, Page 1 of 1)

juliovknc
-Interested User-
Posts: 5
Joined: Nov 27, 2016


Posted: Nov 27, 2016 07:30 PM          Msg. 1 of 12
Hi everybody

I have been downloading some historical tick data and I have found trades in which the last trade is in between bid/ask range. For example in the QCL# contract

Date,Bid,Ask,Last,Vol,TickID
06/03/2016 15:23:42.427627 48.88 48.89 48.89 1,12748691
06/03/2016 15:23:42.964300 48.88 48.9 48.89 1 12748712
06/03/2016 15:23:43.031563 48.88 48.89 48.89 1 12748717

As you can see in line 2 Last Price = 48.89, Bid = 48.88 and Ask = 48.89. In these cases the doubt I have is how to deduce is that trade is generated by a Buy Market Order or by a Sell Market Order, i.e, how can I konw if that kind of trades are buys or sells.

Thanks

DTN_Tim Walter
-DTN Guru-
Posts: 1093
Joined: Apr 25, 2006


Posted: Nov 28, 2016 04:52 AM          Msg. 2 of 12
Good morning,

I don't know why this occurred to be honest. Normally I would look at the trade conditions to see if it was a settle or something like that, but in this case it was a regular trade.

At a guess, the exchange sent it this way. We certainly receive trades that they later change or correct. It could be this was a tick that was saved in our system and the exchange came back and did a correction on the data causing things to mismatch the previously saved bid and ask values.

There is just not a good way to validate these kinds of things unless we catch them within the first 24 hours.

I am sorry I was not able to be of more help to you today.

Tim

juliovknc
-Interested User-
Posts: 5
Joined: Nov 27, 2016


Posted: Nov 28, 2016 12:09 PM          Msg. 3 of 12
Hi

I thinkg they are not tikcs tha the exchange makes the correction llater since such trades are taking into account for the total volumen of the day.

Besides, It is not very unusual, for example, for the QCL# contract on 06/0./3/2016 thera are 218 occurences of this kind of ticks.

In addition other contracts, such as @FV#, @TU#, etc... presents these ticks/trades with frquentcy. The point is that i do not know what rule or rules to follow in order to infer if the trade has been a buy or a sell.

For another cases when Last > Ask, or Last < Bid or Bid = Last = Ask I know the rule to follow to know that... but not in the case Bid < Last < Ask.

DTN_Tim Walter
-DTN Guru-
Posts: 1093
Joined: Apr 25, 2006


Posted: Nov 28, 2016 12:39 PM          Msg. 4 of 12
I don't have a rule that I can give you to use that will be right 100% of the time. Corrections will adjust volume dynamically upon receipt, but the exchange does not send the related bid and ask prices on a correction so I have no way of knowing if it was done at the bid or at the ask, so it could have occurred on either side of the trade.

Tim

quickTick
-Interested User-
Posts: 34
Joined: Nov 17, 2013


Posted: Nov 28, 2016 05:38 PM          Msg. 5 of 12
Is it not possible for this to happen whenever there are "hidden" orders on the book of any exchange, and/or in one of the dark pools? In those cases it is simply not possible to tell if the active order was buy or sell, as far as I know (my knowledge of these things is still very incomplete).

...l'm not sure if I understood the question as it was meant...
Edited by quickTick on Nov 28, 2016 at 05:39 PM

DTN_Tim Walter
-DTN Guru-
Posts: 1093
Joined: Apr 25, 2006


Posted: Nov 29, 2016 08:41 AM          Msg. 6 of 12
I have heard of those kind of things over the years. But, I don't believe that is the case here. I think most people just filter these ticks out of any bid/ask studies.

Tim

juliovknc
-Interested User-
Posts: 5
Joined: Nov 27, 2016


Posted: Nov 29, 2016 11:48 AM          Msg. 7 of 12
Hi

I keep investigating this topic. For the moment the only thing I know is that charting SW such as Ninja Trader or MD Charts represent in the same way,i.e., as buys or sells this kind of trades. Thus there must be an algorithm to infer in the best possible way the direction of the volume of these trades.

DTN_Tim Walter
-DTN Guru-
Posts: 1093
Joined: Apr 25, 2006


Posted: Nov 29, 2016 01:13 PM          Msg. 8 of 12
All I can say is that there does not exist, to my knowledge, any formula that will guarantee 100% accuracy. As to what they are doing in these cases I cannot say. They might be willing to share their methodology with you, but that is not something I would have access to.

Tim

juliovknc
-Interested User-
Posts: 5
Joined: Nov 27, 2016


Posted: Nov 30, 2016 10:13 AM          Msg. 9 of 12
Hi Tim

I think I ave an explantion for that kinf of trades, but I would nee to know what order book, L1, IQFeed is sending to us? I.e., I mean if the order book info is from consolidated one or not.

Thanks and regards
Julio

DTN_Tim Walter
-DTN Guru-
Posts: 1093
Joined: Apr 25, 2006


Posted: Nov 30, 2016 10:31 AM          Msg. 10 of 12
The trades do come down from the consolidated tape.

Tim

juliovknc
-Interested User-
Posts: 5
Joined: Nov 27, 2016


Posted: Nov 30, 2016 10:37 AM          Msg. 11 of 12
So you mean that implied orders are showed in the order book, don't you?

DTN_Tim Walter
-DTN Guru-
Posts: 1093
Joined: Apr 25, 2006


Posted: Nov 30, 2016 10:38 AM          Msg. 12 of 12
Yes, we do send implied trades.

Tim
 

 

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