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Post From: No DTC::MARKET_DATA_UPDATE_TRADE_COMPACT

[2019-11-29 11:49:54]
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User322148 - Posts: 17
Ok, I think I have it, but could you confirm:

Trade price:
Trade Simulation
"Some symbols with some Data or Trading services will provide only Bid and Ask prices. There are no last trade prices. By default, for this type of data, the price range of the bars in the chart will only be based upon the average of the Bid and Ask prices."

But... The trade price is calculated from the bid/ask float values, then rounded to single digit precision.

bid trade / ask trade:
Numbers Bars: Definitions

Bid Trade: This is a Trade which is considered to have occurred at the Bid price. A Trade is considered to occur at the Bid price for one of the following reasons. Once one of these is true, there is no further evaluation of whether the Trade occurred at the Bid.

1. The exchange or data feed has indicated the Trade has occurred at the Bid. If this is supported, this is the most accurate determination. In the case of the CME data from the Sierra Chart Exchange Data Feed, this is the method used.
2. The price of the Trade is at the Bid price or lower.
3. The trade occurred between the Bid and the Ask and the Trade direction is a downtick and the Bid direction is a downtick.
4. The Trade occurred between the Bid and the Ask and it is closer to the Bid.
5. There has been no change in the last Trade price, and the last Trade was considered a Bid trade.
6. The final determination is if the Trade direction is a downtick.
7. The determination of whether a trade is at the Bid price, is not in any way affected by time stamping. The method of the determination is as explained above.

Ask Trade: This is a Trade which is considered to have occurred at the Ask price. A Trade is considered to occur at the Ask price for one of the following reasons. Once one of these is true, there is no further evaluation of whether the Trade occurred at the Ask.
1. The exchange or data feed has indicated the Trade has occurred at the Ask. If this is supported, this is the most accurate determination. In the case of the CME data from the Sierra Chart Exchange Data Feed, this is the method used.
2. The price of the Trade is at the Ask price or higher.
3. The trade occurred between the Bid and the Ask and the Trade direction is an uptick and the Ask direction is an uptick.
4. The Trade occurred between the Bid and the Ask and it is closer to the Ask.
5. There has been no change in the last Trade price, and the last Trade was considered a Ask trade.
6. The final determination is if the Trade direction is an uptick.
7. The determination of whether a trade is at the Ask price, is not in any way affected by time stamping. The method of the determination is as explained above.

Noting, 4 is not relevant on account of using mid-price.