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Direct MessagesDate/Time: Thu, 16 May 2024 16:36:25 +0000
[User Discussion] - how does SC clasifies trades done in the mid-point/quote?
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| [2014-09-09 08:50:44] |
| ariknoi - Posts: 31 |
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my q. is regarding the numbers bars indicator thanks |
| [2014-09-09 17:10:16] |
| ariknoi - Posts: 31 |
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this a sample of DIA from 9/3/2014, time is UTC so 13:48 = 09:30 est time and i am connected through IQfeed Date Time Open High Low Last Volume # T Bid Volume Ask Volume 03/09/2014 13:43:20 0 171.29 171.28 171.28 354 1 354 0 03/09/2014 13:43:20 0 171.29 171.28 171.28 200 1 200 0 03/09/2014 13:43:21 0 171.29 171.28 171.29 501 1 0 501 03/09/2014 13:43:23 0 171.3 171.3 171.29 100 1 0 100 03/09/2014 13:43:23 0 171.3 171.3 171.29 200 1 0 200 ... ... 03/09/2014 13:48:22 0 171.43 171.42 171.43 501 1 0 501 03/09/2014 13:48:23 0 171.42 171.41 171.42 100 1 0 100 03/09/2014 13:48:23 0 171.4 171.41 171.4 100 1 0 100 03/09/2014 13:48:23 0 171.4 171.41 171.4 100 1 0 100 on the 1st section the last print on the 4th line is 171.29 which is below the bid and ask (which are the same) and yet the trade is marked on the ask side. on the 2nd section, on the 2nd line, the print of the last trade is 171.42 and it's marked as an ASK volume the problem is on the 3rd line the high is below the low + the trade which is at 171.4 marked as Ask volume which is wrong. pls explain the "rul" which marks the trades as per ask or bid volume thanks! |
| [2014-09-09 21:22:00] |
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The problem with these lines is that the bid and ask are the same: 03/09/2014 13:43:23 0 171.3 171.3 171.29 100 1 0 100 03/09/2014 13:43:23 0 171.3 171.3 171.29 200 1 0 200 In which case Sierra Chart will identify whether a trade is at the Bid or Ask based upon upticks and down ticks. the problem is on the 3rd line the high is below the low + the trade which is at 171.4 marked as Ask volume which is wrong. It is not wrong. The last trade price matches the ask price and that is the first comparison which is done by comparing the last trade price directly to the bid and ask prices to see if there is a match. What apparently is wrong is the Ask price. So ultimately your questions should not be directed towards us but to IQ Feed. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2014-09-10 16:20:05] |
| ariknoi - Posts: 31 |
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iqfeed - i got it. will check. now, this is another copy/paste from tick data exported (same a s above) in the 5th line there is no uptick or change and yet the trade is marked bid vol and all perior trades and afterwards are marked at ask (which is correct). what is going on here? why are this jumps? Date Time Open High Low Last Volume # T Bid Volume Ask Volume 3/9/2014 14:04:50 0 171.34 171.33 171.34 2600 1 0 2600 3/9/2014 14:04:50 0 171.34 171.33 171.34 100 1 0 100 3/9/2014 14:04:50 0 171.34 171.33 171.34 100 1 0 100 3/9/2014 14:04:50 0 171.34 171.33 171.34 200 1 0 200 3/9/2014 14:04:50 0 171.34 171.33 171.34 500 1 0 500 3/9/2014 14:04:50 0 171.34 171.33 171.34 300 1 300 0 3/9/2014 14:04:50 0 171.34 171.33 171.34 100 1 0 100 |
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