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Direct MessagesDate/Time: Fri, 03 May 2024 06:59:54 +0000
Post From: Bid/Ask split on FGBL
| [2014-04-17 10:01:17] |
| User34947 - Posts: 42 |
|
I'm aware of the threads already dedicated to the subject, and I know that you put a great effort in giving a bid/ask split as better as it can be, moreover I think that only a handful of traders are interested in bid/ask split on Eurex. Nevertheless, I ask you if you can give a look to this particular problem once more. I'll make an example. Internal market with bid@144.29 and ask@144.30, and then we have three trades at 144.30. Trade #1, someone buys some contracts @144.30, and bid/ask is still 144.29/144.30 Trade #2, someone buys with a single limit order every contracts @144.30 and the remainder of the order is now on the bid side at 144.30, so the new bid/ask is bid 144.30, ask 144.31 Trade #3, someone sells some contracts @144.30, bid/ask remains 144.30/144.31 Since your last modification (as far as I get you use uptick/downtick split, but in the case of trade at the same price of last trade you look if there is a match with the current reported bid/ask and split the trade accordingly), trade #3 is correctly labled as bid trade, and that was a great improvement (it is the main case where uptick/downtick split is different from bid/ask split). The problem is that sometimes (I cannot tell you how often, but it happens) Trade #2 is labeled as bid trade, as if the bid/ask update arrives before the trade, a problem of synchronization. Maybe it is something impossible to solve, but I wanted to give it a try, thanks again for your work |