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Direct MessagesDate/Time: Sat, 18 May 2024 04:05:36 +0000
Post From: Trades Executed at Bid/Ask
| [2013-08-08 12:25:13] |
| eagle - Posts: 92 |
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Why? I disagree.
I see both values at a particular price level only resetting once, when price first trades at that level, regardless of whether it trades at bid or at offer. What I had in mind was: Let's say 1500 just traded at the bid at X. The value "1500" prints as recent bid volume and the recent ask volume value goes blank. Now X goes offer and starts trading. Trading is still at the same price level, X. The number of contracts traded at offer print as recent ask volume, while the value "1500" remains as the recent bid volume value. The "1500" value would never reset until the contract trades away from price X and then returns once again and trades at price X. The information lost from a reset is valuable, but I can deduce that information from the Volume At Price values, which continue to accumulate. What I had in mind preventing and not seeing was: Let's say 1500 just traded at the bid at X. The value "1500" prints as most recent bid volume and the recent ask volume value does not reset but remains as it is, which just happens to be a value of "4500" from 15 minutes prior, when the contract last traded at price X. The next trade after the 1500 print is at a different price than price X, leaving "1500" at price X for most recent bid volume and "4500" at price X for most recent ask volume. That's a misleading picture, because the actual most recent ask volume at price X is "0". I'm not sure, but I think this is what is currently happening. Date Time Of Last Edit: 2013-08-08 12:28:06
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