Support Board
Date/Time: Thu, 16 Jan 2025 17:01:54 +0000
Post From: Some ticks seem wrongly stamped Bid or Ask volume
| [2017-11-09 07:39:38] |
| gomifromparis - Posts: 244 |
|
Hi, I'm investigating why my NT8 orderflow has different Delta readings than Sierra. They both use Rithmic, there should be no difference. They both generally match, but still, sometimes, there's a difference on some ticks, leading to differences in overall delta. After investigation, it looks like some ticks on Sierra seem wrongly stamped as bid/ask. Example here 15:02:52 on the DAX, GMT+1 time. We have 2 ticks during this second, they both happen at the bid, but the second one is marked 'Ask Volume'. |
 bidaskticks.png / V - Attached On 2017-11-09 07:38:46 UTC - Size: 66.81 KB - 336 views |