Orderflow type of barstyle 3 Columns Bid/Ask/Neutral.? | Traders Hideout


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Orderflow type of barstyle 3 Columns Bid/Ask/Neutral.?

  #4 (permalink)

Pattaya Thailand
 
Trading Experience: Intermediate
Platform: Sierra
Broker/Data: S5/Rithmic
Favorite Futures: Bund/Eurostoxx
 
Posts: 35 since Aug 2013
Thanks: 351 given, 27 received

Thanks @bradhouser for your input.
Sounds logic, i just moved from Eurostoxx to Bund, but in the weekend i will try to find some examples.
It got my thinking after re-reading a paper from Sierra about the different feeds.
https://www.sierrachart.com/SupportBoard.php?ThreadID=5395.

snippet:
The main problem is that with the EUREX, trades often occur between the quoted bid and ask prices. This is not common from our observations on the CME. What Sierra Chart does in this case, is that it will see whether the trade price is closest to the bid or closest to be ask to determine whether it is considered at the bid or at the ask. If it is exactly in the middle, then it uses up/down tick logic to make the determination.

Peter

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