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Date/Time: Tue, 28 May 2024 05:29:37 +0000



Post From: Questions regarding additional data arrays

[2023-01-26 16:44:00]
silvereagle - Posts: 23
I've been exploring the sierra api further, and noticed Sierra has additional data arrays (up tick volume, down tick volume for example) available beyond the normal ones we usually look at like open high low close volume, etc. I was hoping some folks could shed some light for me as I work through a few points on:

1. what they mean from a practical stand point in lay-mans terms.
2. is the data 'spoof-able' by algos
3. usefulness, Sierra makes it available so I'd like to understand its usefulness.

For instance, when we think of Volume. (anyone feel free to correct me if my understanding is wrong)

1. in lay-mans terms, would Volume be the total number of contracts Submitted, but not necessarily Executed? Whether at the bid or ask, and represent total 'liquidity' for the bar?
2. is the data 'spoof-able' by algos? I've heard that algos submit a lot of fake orders that get canceled, thus can obfuscate the 'real liquidity'
3. if the data is spoof-able, how do you find it useful?

Number of Trades
1. in lay-mans terms, would Number of Trades be the total number of contracts Executed? Whether at the bid or ask, and represent 'real liquidity/trading activity' for the bar?
2. is the data 'spoof-able' by algos?
3. if the data is spoof-able, how do you find it useful?

Up Tick Volume / Down Tick Volume
1. in lay-mans terms, what the heck are these?
2. is the data 'spoof-able' by algos?
3. if the data is spoofable, how do you find it useful?

Thanks in advance to anyone who helps try and explain some of these things in lay-mans terms. :)

Curt