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Direct MessagesDate/Time: Sat, 18 May 2024 08:23:38 +0000
Post From: Trades Executed at Bid/Ask
| [2013-08-10 11:32:25] |
| eagle - Posts: 92 |
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I apologize if any of my previous posts have been confusing. My current suggestion is that 1) the most recent bid trade volume at the best bid, and 2) the most recent ask trade volume at the best offer, and 3) any intermediate values, if the spread is more than one tick, will be reset when a trade occurs 1) at a new price level since the last trade, and 2) the best bid price has changed since the last trade, and 3) the best offer price has changed since the last trade. joshtrader wrote: 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.
Based on my current suggestion, after 84.75 goes bid, when the 85 offer is lifted with 1000 contracts, the 85 offer is reset, printing 1000. The 85 most recent bid volume is not reset. But the 84.75 most recent bid volume is reset with a blank.The 85 bid would only be reset if an 85 bid was hit or an 85.25 offer was lifted. The only way one could not know that 2000 hit the bid at 85 would be if a subsequent trade hit the bid at 85 after the 2000 hit, or if an offer was lifted at 85.25 after 2000 hit the 85 bid. And if SC implements the reset exception, neither of those two events would prevent one from knowing about the 2000 at 85. joshtrader wrote: I just don't quite follow your logic here.
I just don't see any value in comparing, for example, the current hits on the bid with the lifting of offers twenty minutes ago. For a relevant comparison, it seems to me that if the current hits on the current best bid are reset, then the current hits on the current best offer should be reset as well.joshtrader wrote: 1) Reset on B/O change
SC has ruled out number 1.
2) Reset on new trade at new B/O Date Time Of Last Edit: 2013-08-11 09:06:11
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