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Date/Time: Wed, 08 May 2024 23:55:02 +0000

Post From: Numbers bar study bid - ask split incorrect behaviour

[2014-03-13 08:04:59] Link To Thread - Link To Post [Go To First Post]
Pawel_Szpak - Posts: 48
Hi, Please have a look at the attached youtube clip to highlight exactly what I mean. Basically, I'm looking at a numbers bars chart along with a DOM. The issue is that when a price is bid (or offered) and that bid (or offer) gets cleared and that price now goes offered (or bid) without ticking up or down, the numbers bar study (and presumably everything else relying on this bid/ask split) keeps accumulating trades on the bid (or ask) side until the market actually makes a tick up or down. So in the case of the video below. Note how 142.87 has approx 176 contract sitting on the bid. This gets hit (164 contracts do the trick) and 142.87 is now trading offered. Any offers now lifted at 142.87 show up on the bid side on the numbers bar study instead of the offer side. This is surely incorrect. https://www.youtube.com/watch?v=_GSLGIOC6hQ This happens all the time when a price changes from bid to offer or vice versa without actually ticking up or down from that price. I've just quickly made a video this morning, but sometimes this affects quite a large number of contracts. Assuming the same bid/ask split then carries through to cumulative delta/other bid/ask studies - that data there must be incorrect too. Please can you advise what is going on here.