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Direct MessagesDate/Time: Sat, 18 May 2024 03:51:54 +0000
Post From: Trades Executed at Bid/Ask
| [2013-08-09 23:23:41] |
| joshtrader - Posts: 442 |
|
I would like to ask if others who have used the feature would comment. Personally, I do not want a top of the book change to reset. A scenario is this: ES is trading at the LOD, at 1685.00. 85 is bid, 85.25 is offer. 2000 orders hit the bid, moving the bid to 84.75, while 85 goes offer, where it is lifted with 1000 contracts. Anyone who watches ES knows this kind of behavior happens all the time, every day. What I would see is 2000 at the 85 bid, and 1000 at the 85 offer, with the BBO now being 85.00/85.25. If the 85 bid were to be reset when 84.75 went bid, I would never know that 2000 hit the bid at 85. This is just one example. I just don't see the practical benefit of resetting the accumulator on a BBO change. Also, it stands to reason that the fact a trade did not occur is indeed relevant information, and is not necessarily a loss of information, but is a gain of more current, and therefore more relevant, information. Also, I think it's a reasonable assumption that a lot of thought has gone into the design of the Jigsaw interface.
A trade not occurring is relevant, but you have the lack of a print on the next price that confirms that. I just don't quite follow your logic here. It's a very good assumption that Peter put a lot of thought into his program, I know him and can vouch for his attention to detail. However, that is his program, and this is not a replica, so there is no reason to duplicate something exactly, just because it's done a certain way somewhere. Perhaps there could be several options: 1) Reset on B/O change 2) Reset on new trade at new B/O and 1) Reset only after whichever above is selected and ___ seconds 2) Reset only after whichever above is selected and ___ ticks minimum change in last price 3) Reset only after whichever above is selected and ___ volume traded Just some ideas. I think it should be kept as is for the next week or two, and give people a chance to use it, and see which improvements and changes they might like to see. |