Support Board
Date/Time: Sun, 22 Dec 2024 10:06:50 +0000
Post From: Trades Executed at Bid/Ask
| [2013-08-09 00:08:26] |
| joshtrader - Posts: 492 |
|
So, instead of using a change in the last traded price as a trigger for resetting, Jigsaw instead uses a change in the last traded price with a change in the last "inside bid/inside ask pair" (best bid/best offer pair). (Which implies a change in trading from bid to ask, or vice-versa.)
SC does not use a change in the last, it is also using a change in the inside bid/offer to reset, with the exception that SC does not simply reset on a change of the bid/offer, but requires that a different bid or offer actually trade. For example, 1691.50 is bid and trades 50, then it goes offer and trades 100, and then goes back to bid, where it trades 25. The SC values will be 75 and 100 for 1691.50, as it did not reset because 1691.25 did not trade at the bid. So even though the inside BBO changed, a different bid did not actually trade, so it does not reset. I do like a time/distance threshold setting as a possibility as well. For example, do not reset until 3 seconds have passed, or until a price 3 ticks or more away trades. Date Time Of Last Edit: 2013-08-09 00:09:40
|