Support Board

Date/Time: Tue, 16 Apr 2024 14:13:46 +0000

Post From: Time & Sales and Historic Bid Ask

[2015-03-14 20:42:58] Link To Thread - Link To Post [Go To First Post]
jesslinn - Posts: 108
Can you please verify that the following is correct and the way SC is currently working: 1) Bid/Ask records are not being stored in single tick scid files. What is stored is trades. Each trade may have the bid ask prices at the time of the trade (indicated by open set to 0.0). The bid size and ask size are not recorded. 2) Since bid/ask records are not stored, in the scid files, the only way to access them is through the GetTimeAndSales array in realtime, which is not stored. There is no built-in way to playback time and sales data. To do this one would have to record the bid/ask quotes separately and arrange to read them in instead of the T&S array. 3) Studies are not called for bid/ask changes but only when a new trade has occurred. ------------------------------------------------------------------------------------------------ If correct, could you please consider a change that allows bid/ask records to be recorded in the scid files so that the full T&S record is recorded? This would make the files substantially larger, so it probably needs to be switched, but it would open the door to many strategies and back tests, such as trading in thinly traded instruments where the bid/ask records are the main data of interest.