Support Board
Date/Time: Sun, 16 Mar 2025 13:04:28 +0000
Post From: How is ask and bid volume determined from trade and quote data for US Equities?
| [2022-08-02 16:49:31] |
| User167654 - Posts: 11 |
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I am so excited to find this your documentation of where Bid and Ask volumes on Sierra Chart come from Chart Data and Chart Data Files: Bid Volume and Ask Volume! I have a few clarifying questions about this documentation. 1. How do you determine which previous quote to use in order to find the relevant Bid and Ask prices? Do you just use the last quote before the trade? Do you use the last quote before the trade on the same exchange as the trade? Does the quote have to happen above a given amount of time before the trade? 2. My second question is in regard to the following part of the documentation: "In the case where the trade occurs between the Bid and Ask, it is considered to be at the Bid price, if it traded lower than the price before. Or if it traded at the same price as before, then when looking back through trades, the last time there was a trade at a different price, that trade was down compared to the previous price." a. When you say, "In the case where the trade occurs between the Bid and Ask", do you mean at the midpoint between Bid and Ask, or anywhere between Bid and Ask? b. When you say "it is considered to be at the Bid price...if it traded at the same price as before, then when looking back through trades, the last time there was a trade at a different price, that trade was down compared to the previous price." does this mean that if I have 4 trades in ascending order of time at prices 1.02, 1.00, 1.01 and 1.01 and this last 1.01 trade is in between Bid and Ask and I'm trying to determine if this last 1.01 trade is at the Bid or Ask price, I look at the last price that was different which is the 1.00 trade 2 trades ago and compare it to the price previous to THAT trade which is 1.02 and determine that since 1.02 > 1.00 that my 1.01 last trade is at Bid price? Did I understand this correctly? |