Support Board
Date/Time: Mon, 25 Nov 2024 12:50:53 +0000
Post From: Eurex feed bid/ask volume
| [2014-01-10 10:37:40] |
| gfs117 - Posts: 24 |
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So your analysis, is inconclusive and not particularly relevant as to whether a trade is properly identified at the bid or ask.
I get the fact that there are two streams of data. But I am just using logic to determine wether or not a trade is a bid or ask trade in my examples. If you take a look at the first file in post #15. Before the 120 lot trades at 09:44:17, the market is bid 120 contracts at 139.65 (not in the image, but I've recorded it), offered 282 contracts at 139.66. Then the 120 lot trades at 139.65. After that trade the market is bid 260 contracts at 139.64, offered 153 contracts at 139.65. The 120 lot trade is labeled as an ask trade in SC. Are you really saying that I'm wrong in my analysis when I say that this trade should have been labeled as a bid trade instead of an ask trade?They all produce different looking Cumulative Delta Bars-Volume appearances. They are not significantly different but they all do look different.
They do look significantly different to me. Just a few quick observations: Cumulative Delta in both IQ and TT fall back sigificantly between 0905 and 0925, while at CQG it just keeps rising. AT 0925-0930 both IQ and TT are near the lows of the day, while CQG hovers near the highs. At 1005 IQ and TT are back at or near the lows, CQG is not.how do we know that IQ Feed is correct. Is anyone absolutely sure
I don't have any proof, but if I had to make a guess as to which feed is correct, I would pick IQ (as I would nearly anytime). IQ is the standard in the industry and if you want to have a high quality data feed, you should be comparing the SC feed to the IQ feed and not anything else in my opinion.
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