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Direct MessagesDate/Time: Wed, 08 May 2024 16:00:11 +0000
Post From: Numbers bar study bid - ask split incorrect behaviour
| [2014-03-26 11:27:57] |
| User34947 - Posts: 42 |
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One area we could possibly change is when a trade occurs at the same price as before. Possibly if it matches exactly the current quoted bid or ask, we could use those to count the trade as either a bid or ask trade. That might be a reasonable algorithm but still that is imperfect.
This would be a big improvement because it would solve the problem when one level of bid or ask is scooped up (which is the main difference between the upticks/downticks split and the bid/ask split.Simply as it is, I think that traders who use number bars or DOM scalpers would like to see a trade counted as either bid or ask trade when they see that such trade matches the first level of bid/ask that we see in our DOM. Unfortunately for us I think that we have difficulties in "seeing" trading between the most recented reported bid and ask or out of them. In most of the cases, this is only my opinion, it seems clear for what I see on the DOM where the trade occurred but of course it seems that is not so easy. Personally I am not so interested in the bid/ask split or in cumulative delta but I use your platform and your Eurex feed and I think they are both excellent, and it is really a pity if some traders are not considering your products only for this issue, but it is an important one, so I hope that you will find a solution, not the perfect one which does not exist, but as you say the one that corresponds more accurately to the needs of the users. Date Time Of Last Edit: 2014-03-30 12:24:47
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