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Date/Time: Sun, 22 Dec 2024 03:56:30 +0000
Post From: Calculation of bid and ask volume
| [2014-12-26 20:17:37] |
| moonmist - Posts: 127 |
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Hi, I have a discussion with someone about the bid and ask volume of futures of the CME group. To the best of my knowledge: Globex FIX FAST feed provides tick by tick real-time data containing relevant info for every trade. Associated with each tick or each trade is a tag called "Aggressor Side". The most accurate way to calculate bid/ask volume is to examine this field. High-quality tick by tick data feeds like Sierra Chart real-time feed will process the CME FAST FIX data feed directly. Hence, they are capable of generating highly accurate bid/ask volume. For some unknown reasons, some data feeds may filter out the "Aggressor Side" tag from CME. Then, the bid/ask volume will be determined by other less reliable methods, eg. an algorithm like the following: If the trade occurs at the bid price or lower it is a Bid trade, and if the trade occurs at the ask price or higher it is an Ask trade. However, someone points out that CME conflates some trade data before they release it. What am I missing ? Thanks. Date Time Of Last Edit: 2014-12-26 20:18:11
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