How Accurate is T&S at displaying which is a Buy/Sell?
This might be really difficult to explain but when a order is printed on the T&S its either listed as a buy or sell. However how accurate is that representation.
Please see the attachment.
I changed my colors so GREEN means an order that filled as a sell order and RED an order that filled as a buy order. They are essentially reversed from usual.
When the Yen went down to 0.01083 there were a lot of large lots and half of them filled at the bid and half at the ask. Looking at this makes it impossible to believe these prints were correctly labelled.
How is it possible that in the same second when price went down and got filled as a large bid it also got filled as a large sell. It would seem that all the orders at 07:30:37 AM at 0.01083 should be labelled as SELL orders (GREEN color).
I am using CQG, how accurate is this feed exactly?
Can you be more specific--"GREEN means an order that filled as a sell order" -- a sell market, or a sell limit? I can't imagine why you wouldn't want green (or some other "active buying" color) to be a buy market matched to a sell limit, because that's how every T&S in the world is set up.
Let's be clear on terminology because it is very important with things like this because confusion can result -- "when price went down and got filled" ... price doesn't go down and do anything. Price can't "do" anything, it can't "get filled." What you mean is, is it possible for orders to be filled at both the bid and the offer at the same price, in the same short period of time (less than one second)? The answer is yes, it happens all the time, even on the 6J (though I do not watch the 6J). With a liquid instrument like ES, the inside bid/offer can swap back-and-forth at the same price, filling orders on both sides, many times per second.
I have never used it, but I have heard it is good.
What concerns me is that in the circled area on your footprint chart you have 365 filled at the bid, but in your T&S on the right I see less than 365 traded total for several minutes. Where are the prints on the T&S for 7:30:41, for example, as shown on your footprint? Are you filtering out volume above/below a certain threshold?
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