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Date/Time: Sun, 19 May 2024 11:41:21 +0000

Post From: Inferring trade side (bid or ask) using IQFeed data

[2018-08-19 19:42:11] Link To Thread - Link To Post [Go To First Post]
nto - Posts: 6
Hi, My team and I have been using SierraChart to visualise IQFeed data for 2 years now and we're not exactly sure about how the trade side is inferred by SierraChart's software on this data. Note that IQFeed is not providing any field telling you the side of the trade (either ask or bid). Note also that often last_price == bid_price or last_price == ask_price, making it easy to infer the side of the trade. But then, there are cases where bid_price < last_price < ask_price (spread > 1 tick). And for those cases I'm not sure what to do. Here's an example of an IQFeed data message received for FGBL (German Bund Future): Q,BD#,162.23,5,02:01:03.095000,68,471,162.22,79,162.24,20,162.27,162.28,162.23,162.11,C,01, Here bid = 162.22 ask = 162.24 last = 162.23 (price of the trade) I've been trying to reproduce SierraChart's result and have something almost working except not always. Could you share the algorithm you use to solve this problem? Thanks.