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Hoopster has contributed to 2 posts out of 21196 total posts (0.01%) in 1,689 days (0.00 posts per day).

20 Most recent posts:
Data Questions » Noob question regarding tick level bid and ask statistics Oct 5, 2019 03:33 PM (Total replies: 2)

I spotted "Trade Aggressor" (?!?) in my reading and found out it is exactly what I was trying to determine by comparing tick price to the reported bid and ask in the trade.

Great to know, but I have about 5 yrs of accumulated tick data for back-testing.

Can anyone tell me why comparing the price to the bid and ask in a tick record does not seem to work?

Data Questions » Noob question regarding tick level bid and ask statistics Oct 5, 2019 08:51 AM (Total replies: 2)

Hi everyone, I'm new to this forum though a long term IQFeed customer.

I collect historical tick data from IQFeed via QCollector Expert For DTN. I want to determine and analyze the mix of at-bid vs at-ask trades. I determine a midpoint, ie ((ask-bid)/2)+bid, then any assign the trade as at-ask if the trade price is above the midpoint, and vice versa.

Even if I collect only a vigorous up-trend with minimal pull-backs, I get a higher number of at-bids than at-asks.

Should I not see more asks than bids during an up-trend, and vice versa?


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