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Understanding of tick volume

  #16 (permalink)

charlotte nc
 
Trading Experience: Master
Platform: ninjatrader
Broker/Data: NinjaTrader
Favorite Futures: Emini (ES, YM, NQ, ect.)
 
Posts: 379 since Jan 2015
Thanks: 69 given, 919 received

The level 1 feed has it separated by bid and ask transactions. In the past I used NinjaTrader, and in their syntax this lives within the OnMarketData event handler, and within this there is an easy way to segment buys from sells by looking at the Bid or Ask variables.

I am not sure how other software works with the level 1 feed but any platform that is worth using should easily have this capability.

Regarding sourcing raw data: I think the best solution will be to write your own extraction code and then use this with an existing platform to get the relevant data. If you go to the market to buy something it will either be at too much of a summary level. I.E extracting data from something like https://www.freestockcharts.com/. Or if you want to get all the volume at every level, then you might end up with too huge of a data size. If you want just the transacted value separated by bids and ask only, (No level 2 or canceled transactions) we use to have something here in the elite section. I never used it my self, but I have seen many that have.



johnEdweeno View Post
From your attached tick data, how can you infer how much of the volume is buy volume and how much is sell volume? Also, where did you get that data from? I'm trying to find somewhere that provides single tick data in ascii or csv format with volume.

Thanks


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