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Date/Time: Sat, 18 May 2024 07:58:36 +0000



Post From: Trades Executed at Bid/Ask

[2013-08-08 23:42:50]
eagle - Posts: 92
I'm gaining new information and changing my perspective on resets. I'm reviewing everything I can find on the Jigsaw DOM. Thanks c734xu for the YouTube link.

This matches the behavior in the referenced Jigsaw DOM.
If that's true, I'll be delighted and I'll learn to use this new tool. I'm excited about all this!

From the Jigsaw Product Manual:
Current Trades

The Centre columns shows the number of contracts traded against the inside bid and ask "This time around".

In this example we can see 90 contracts have traded at 1317.75 and 0 contracts have traded at 1318.00. When this 1317.75/1318 became this inside bid/offer, we reset the number of trades here and started to accumulate them. So, if we leave a price and come back to it, the qty of contracts in these columns is reset.

There is an exception to this. If we leave a price for a short period of time and come back to it, then we do not clear the traded quantities. By default that "short period of time" is set to 2500 milliseconds (2.5 seconds).

The idea is that we show the number of contracts to push through the level but it often leaves a level for just a short amount of time and comes back to it. In that case, we don't consider it to have really left.

Clear Trades Timer

When we leave a price and return to it later, the Current Trades value is reset. If we just move out of the area for a very short period – for example we tick up and it immediately ticks down, we will not clear the Current Trades. This setting defines how much time we can spend outside an area before clearing it when we return. This is an advanced setting. Our recommendation is to leave this at 2500 milliseconds (2.5 seconds).

So, instead of using a change in the last traded price as a trigger for resetting, Jigsaw instead uses a change in the last traded price with a change in the last "inside bid/inside ask pair" (best bid/best offer pair). (Which implies a change in trading from bid to ask, or vice-versa.)

And there's this thing about that "short period of time" exception. Personally, I don't think that necessarily needs to be configurable, but it does need to be incorporated into the program.
Date Time Of Last Edit: 2013-08-08 23:53:07