Support Board
Date/Time: Mon, 25 Nov 2024 11:34:21 +0000
Post From: Technical Discussion: EUREX Bid Volume and Ask Volume
| [2014-01-29 09:06:26] |
| |
|
We are doing a comparison between the Sierra Chart EUREX data feed and IQ Feed and there is a much higher number of bid/ask updates with the Sierra Chart EUREX data feed compared to IQ Feed meaning that Sierra Chart is providing complete bid/ask updates compared to IQ Feed. We also have been contemplating this whole problem of timing between trades and bid/ask updates to identify whether a trade occurred at the bid or the ask. The only reasonable thing that we can see is that it is necessary that when a trade comes in and if the trade is between the bid and ask prices, it is necessary to reverse iterate through the bid/ask updates to find a matching record and then determine whether it was at the bid or the ask. We may give this a try. However, our position is that we have already solved the problem by relying on up/down ticks. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2014-01-29 09:11:32
|