Support Board
Date/Time: Mon, 27 Jul 2026 23:46:49 +0000
Subject: Historical vs Real-Time Bid/Ask Volume Consistency — Bid Volume vs Ask Volume & N
View Count: 4
| [2026-07-27 22:47:44] |
| Owen_Jay - Posts: 14 |
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Hi, I'm using the Bid Volume vs Ask Volume study and Numbers Bars Calculated Values study on an intraday chart (NQ futures, [your bar type/period, e.g. 2000 volume bars]) as part of a systematic backtested strategy, and I want to confirm the historical data is reliable for this purpose. My understanding from the documentation is that trades are classified as Bid or Ask using the tick-rule algorithm (uptick = Ask Trade, downtick = Bid Trade, or matched against the known Bid/Ask price when available). A few questions: Data source for historical Bid/Ask classification: For historical data downloaded via [your data/trading service — e.g. Denali, Rithmic, CQG, etc.], is the Bid/Ask trade classification based on genuine historical quote data (i.e., the actual Bid/Ask price in effect at the time of each trade), or is it reconstructed after the fact using the tick-rule algorithm applied to trade prices alone? Live vs. historical consistency: If I run these studies on a session while it's live/real-time, and then later re-download or reload that same session as historical data, would the Bid Volume, Ask Volume, and resulting SG values (e.g., ID5.SG5 Ask-Bid difference) be identical? Or could they differ depending on what data was available in real time vs. what gets backfilled/reconstructed historically? Does this behavior differ for my specific data service ([fill in]), and is there a way to confirm whether my downloaded historical data includes true historical Bid/Ask tags rather than tick-rule-inferred ones? I'm asking because I'm backtesting a strategy using these studies going back to 2021, and want to make sure the historical values I'm testing against are the same values I'd have seen trading it live at the time, rather than a reconstruction that could differ from real-time — since it would seem to invalidate the accuracy of my historical results. I am using the 2000Volume chart for the backtest. Thanks, Ojay |
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