Support Board
Date/Time: Sat, 23 Nov 2024 19:38:50 +0000
Post From: Incorrect Cumulative Last Size? Based on price and not price + type?
| [2019-04-05 03:53:54] |
| seandunaway - Posts: 268 |
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I've attached a 7 second looping animated gif. The right three columns are: Cumulative Last Size, Currently Traded Bid Volume, Currently Traded Ask Volume. 20 *seemingly* prints into the offer, ask volume increases from 32 to 51 (+19, I guess 1 printed down) 70+ *seemingly* prints into the bid, but it splits some of the contracts separately into bid volume and ask volume. Then it continuously hits the bid and the Cumulative Last Size is mismatched from the freshly reset Currently Traded Bid Volume. - Cumulative Last Size changes color depending on if the last trade was an uptick or downtick, but instead of combining records based only on price level, does it make more sense to combine on price + type? When I see a red 213 contracts at 86-even, I'd like to think 213 just hit the bid, but really that's not true, 213 traded at 83 but some were at the bid and some were at the offer and entirely separately it's red so at least the last 1 contract was a downtick. |
 cumulative_last_size.gif / V - Attached On 2019-04-05 03:51:52 UTC - Size: 1.85 MB - 610 views |