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Date/Time: Sun, 19 May 2024 10:21:30 +0000

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

[2018-08-20 19:50:50]
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nto - Posts: 6
We need to use IQFeed because that's the data provider we're using for our automated trading system.

Here's the code I've written, trying to reproduce what's describe in the documentation you referenced:


Side side;
if (ask > 0 && last >= ask)
side = Side::ask;
else if (bid > 0 && last <= bid)
side = Side::bid;
else if (last < last_trade->price && bid < last_bid)
side = Side::bid;
else if (last > last_trade->price && ask > last_ask)
side = Side::ask;
else if ((last - bid) < (ask - last))
side = Side::bid;
else if ((ask - last) < (last - bid))
side = Side::ask;
else if (last == last_trade->price)
side = last_trade->side;
else if (last > last_trade->price)
side = Side::ask;
else if (last < last_trade->price)
side = Side::bid;


Can you spot something wrong here?

I can't seem to reproduce the output of SierraChart.