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Date/Time: Mon, 13 May 2024 00:56:22 +0000

Post From: Aggregating CME ticks into aggressor trades

[2017-06-19 09:21:08] Link To Thread - Link To Post [Go To First Post]
User64410 - Posts: 14
BID_ASK_TRADE_SYNC are saving all lines from screenshot. Blue lines are not trades but only changes of L1 quotation. Block of trades what are not breaked by blue lines are trades with same microsecond (compared with IQ feed). After a market order comes and get filled, new blue line have to be generated - bacause aggressive market order has changed the passive side. But there not exist 100% relationship TickId and microsecond timestamp. You can have more tickids with same microsecond.


Snímek obrazovky 2017-06-19 v 11.08.02.png / V - Attached On 2017-06-19 09:20:00 UTC - Size: 118.25 KB - 326 views