Support Board
Date/Time: Mon, 03 Feb 2025 19:57:22 +0000
Post From: No DTC::MARKET_DATA_UPDATE_TRADE_COMPACT
| [2019-11-28 09:20:56] |
| User322148 - Posts: 17 |
|
If that is the case, how are the Price and Type (bid/ask) derived in the time and sales window? The price is approximately the average of bid/ask, but whether the result is rounded up or down seems to be arbitrary. How is the rounding determined? Also, how is the Type (aggressor) determined? From inspection, it is not simply whether the mid price went up or down. |