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Direct MessagesDate/Time: Tue, 28 May 2024 04:31:18 +0000
Post From: Inferring trade side (bid or ask) using IQFeed data
| [2018-08-20 20:26:32] |
| nto - Posts: 6 |
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Here's an example 1533794463147725,Q,BD#,162.23,5,02:01:03.048000,68,466,162.22,79,162.23,1,162.27,162.28,162.23,162.11,C,01, 1533794463170772,Q,BD#,162.23,5,02:01:03.048000,68,466,162.22,79,162.23,4,162.27,162.28,162.23,162.11,a,01, 1533794463201080,Q,BD#,162.23,5,02:01:03.048000,68,466,162.22,79,162.24,20,162.27,162.28,162.23,162.11,a,01, 1533794463201104,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, First trade (received at 1533794463147725) is a BUY trade because LAST == ASK == 162.23. But then, second trade (received at 1533794463201104) is classified as a SELL by SierraChart. I would have expected it to be classified as a BUY trade because LAST == PREVIOUS_LAST and last trade was classified as BUY. What am I missing here? |