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Difference between bid and below bid in T&S


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Difference between bid and below bid in T&S

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  #1 (permalink)
Berlin, Europe
 
 
Posts: 12 since Mar 2015
Thanks: 1 given, 2 received

I am just studying the tape and OB, therefore I have some questions.

My general question is to understand the difference between a Bid Trade and Below Bid (and vice versa for Ask) and concerning the screenshot what could be the reason that only Position 11:15:56:08 - 12 are marked as "Below"

Many thanks.



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  #2 (permalink)
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IQFeed James's Avatar
 
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@Nick Berlin, this is a hard one to answer, as there can be many factors the trade occurs outside the best bid/ask. Here is a screen shot of my T&S at about the same time frame. The bid actually updated in the middle of the trades, thus there were only 2 trades that occurred outside the BBO. When you see the true millisecond precision timestamp, you are able to determine that 9 trades occurred in the exact same millisecond 06:15:56.525 (we timestamp in eastern time). Halfway through the execution of those trades, the bid updated and the last 5 trades at that instant hit the bid. It appears you missed that bid update for some reason. We do send millisecond timestamps in our feed, but it looks like Sierra Chart is replacing it with their own counter.




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  #3 (permalink)
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IQFeed James View Post
We do send millisecond timestamps in our feed, but it looks like Sierra Chart is replacing it with their own counter.

Judging by his symbol name, he isn't using IQFeed.

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  #4 (permalink)
Berlin, Europe
 
 
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@IGFeed James many thanks for your screenshot and explanation.

Very helpful and as I understand the main reason is the datafeed.

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  #5 (permalink)
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Nick Berlin View Post
.......................... I understand the main reason is the datafeed.

I have documented better, and the problem is the datafeed.
Here is a good explanation NinjaTrader Support Forum - View Single Post - Аbove the ask or below the bid

Take your Pips, go out and Live.
Luke.
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  #6 (permalink)
Berlin, Europe
 
 
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Many thanks LukeGeniol.

The fog slowly disappears :-)

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