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Post From: Time & Sales and Historic Bid Ask

[2015-07-06 20:26:19] Link To Thread - Link To Post [Go To First Post]
jesslinn - Posts: 108
There appear to be problems with the way that bid/ask records are written to the scid files (using -ALL recording mode with 1 tick). I have not made a comprehensive study of different symbols so if any of the following is not supposed to be true, I will look into it more. 1. The number of trades is always 1 whether there is a trade or not (should be 0 for quotes). 2. The bid size and ask size are not recorded for quotes (bid volume or ask volume are always set to 1). 3. There does not appear to be a way to distinguish between trades and quotes. In the following example of BNFT-ALL the two trades happen to have a volume of 100 and the quotes all have a size of 1, but there is nothing to say that the trades are not quotes with a size of 100 or the quotes are not trades of 1 share. 4. For quotes, the CLOSE field could be 0 since all it does is alternate between the bid and the ask. 5. A chart must be open to record the quotes. They cannot be loaded historically. It would be useful if SC would record the full time and sales record and make them available historically. Hopefully it will be easy to at least record the bid size and ask size in the scid file (say in the bid volume and ask volume fields) and make quotes distinguishable from trades (say setting the number of trades field to 0). It is probably a good deal more involved to provide historical quotes but it would be really great if this were possible, as it would make back-testing of various tape-reading and quote analysis strategies feasible. 20150706_130714.021000 0 42.23 41.97 42.23 1 1 0 1 20150706_130714.020000 0 42.23 41.97 41.97 1 1 1 0 20150706_130714.019000 0 42.23 41.97 42.23 1 1 0 1 20150706_130714.018000 0 42.23 41.97 41.97 1 1 1 0 20150706_130714.017000 0 42.23 42.1 42.23 1 1 0 1 20150706_130714.016000 0 42.23 42.1 42.1 1 1 1 0 20150706_130714.015000 0 42.23 42.1 42.23 1 1 0 1 20150706_130714.014000 0 42.23 42.1 42.1 1 1 1 0 20150706_130714.013000 0 42.24 42.1 42.1 1 100 100 0 20150706_130714.012000 0 42.24 42.1 42.24 1 1 0 1 20150706_130714.011000 0 42.24 42.1 42.1 1 1 1 0 20150706_130714.010000 0 42.24 42.1 42.24 1 1 0 1 20150706_130714.009000 0 42.24 42.1 42.1 1 1 1 0 20150706_130714.008000 0 42.24 42.1 42.24 1 1 0 1 20150706_130714.007000 0 42.24 42.1 42.1 1 1 1 0 20150706_130714.006000 0 42.24 42.15 42.24 1 1 0 1 20150706_130714.005000 0 42.24 42.15 42.15 1 1 1 0 20150706_130714.004000 0 42.24 42.15 42.24 1 1 0 1 20150706_130714.003000 0 42.24 42.15 42.15 1 1 1 0 20150706_130714.002000 0 42.25 42.15 42.25 1 1 0 1 20150706_130714.001000 0 42.25 42.15 42.15 1 1 1 0 20150706_130714.000000 0 42.25 42.15 42.2 1 100 100 0 I attached a file with a screenshot of the time and sales window for this small bit of time. Date Time Of Last Edit: 2015-07-06 20:27:01


BNFT_TimeAndSales.png / V - Attached On 2015-07-06 20:24:09 UTC - Size: 19.92 KB - 395 views