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Direct MessagesDate/Time: Sun, 19 May 2024 05:43:35 +0000
Post From: FX Last trade data and FX recalculation
| [2019-02-04 06:47:31] |
| ARDAN - Posts: 66 |
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Thank you for the prompt answer. So for FX data in Time and Sales Window is not reported trades data from the exchange but they are generated by Sierra from the average bid-ask price. I read this one to further understand it. Numbers Bars: Definitions So my conclusion is that the exchanges only supplies current bid or ask prices and Sierra Chart determine the type of trade with the exception of CME. IF FX exchange does not report trades, how do you determine the bid or ask trades then by using the rules defined in the "definitions" section? If you are just getting ask and bid price levels how can you determine a trade type and size? On top of that inside the determination criteria, I read below expression. "The trade occurred between the Bid and the Ask and the Trade direction is a downtick and the Bid direction is a downtick." and "The Trade occurred between the Bid and the Ask and it is closer to the Bid." Here I read that Time and Sales Window "All trades need to happen at the Bid or Ask when trades are executed on an exchange. Therefore, the concept of a trade between the Bid or Ask or trade above or below the Bid or Ask prices is due to a lack of Bid and Ask updates. The reason I try to clarify these I would like to use Stop With Last Triggering Order type explained here. Order Types: Stop with Last Triggering So I need to understand how Sierra will determine the Last Price indicated in the documentation of this order type by using only market depth. Thanks. Date Time Of Last Edit: 2019-02-04 09:50:31
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