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» Tick trade side
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| Author | Topic: Tick trade side (7 messages, Page 1 of 1) |
 Ariloum -Interested User- Posts: 20 Joined: Oct 22, 2014 |
Posted: Apr 26, 2016 02:09 AM
Msg. 1 of 7
Hello, is there any possibility to get the tick trade side - I mean how to know it was buy or sell?
Because Multicharts could detect this side pretty well when it's used with iqfeed, how is it possible? |
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DTN_Tim Walter -DTN Guru- Posts: 1238 Joined: Apr 25, 2006 
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Posted: Apr 26, 2016 08:14 AM
Msg. 2 of 7
We do not provide a flag for this. Each trade message does come through with the bid and ask size immediately preceding the trade. You can then discern this flag, if the trade was at 100.00 and the bid was 100.00, while the ask was at 100.25, the ask clearly had to move for the trade to have occurred.
In short, if last price == bid price, the trade occurred on the bid, else it occurred on the ask. Tim |
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Ariloum -Interested User- Posts: 20 Joined: Oct 22, 2014 |
Posted: Apr 27, 2016 03:14 AM
Msg. 3 of 7
What protocol version should I use to obtain previous trade size and how did you call the names of fields for that?
Is it still possible to deal with trades which comes exactly at the middle between ask/bid? For example, lets say SPY bid = 202.51 and ask=202.52 and there are many trades with price = 202.515. |
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DTN_Tim Walter -DTN Guru- Posts: 1238 Joined: Apr 25, 2006
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Posted: Apr 27, 2016 08:11 AM
Msg. 4 of 7
Every protocol has this data. The fields are the Bid, Ask, and whichever Last price you are looking at. I
Choosing your fieldsets is a process detailed here. http://www.iqfeed.net/dev/api/docs/DynamicFieldsets.cfm On futures markets, I don't believe this should happen. On equities, no I do not have a way to guarantee in that circumstance. Tim |
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Ariloum -Interested User- Posts: 20 Joined: Oct 22, 2014 |
Posted: Apr 27, 2016 02:56 PM
Msg. 5 of 7
I know about bid and ask PRICE, but you told about bid and ask SIZE and that confused me because it's different things.
So, on just shares like nyse/nasdaq there is no way to know the true trade side? That way you descrbed not working for SPY and others because SPY, for example, do have 30% of trades in the middle (prices like 202.515 like in example I told earlier). But then how did Multicharts could know the trade side with such precision? |
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DTN_Tim Walter -DTN Guru- Posts: 1238 Joined: Apr 25, 2006
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Posted: Apr 27, 2016 03:06 PM
Msg. 6 of 7
Sorry for the confusion, there are probably using some algorithim to deal with those scenarios, but what it is I do not know, you would need to ask them to be sure.
Tim |
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Ryan -Interested User- Posts: 14 Joined: May 17, 2012 |
Posted: Aug 10, 2016 03:00 PM
Msg. 7 of 7
If you really want to re-construct buyers v sellers at the tick level, start here:
https://www.acsu.buffalo.edu/~keechung/MGF743/Readings/Inferring%20trade%20direction%20from%20intraday%20data.pdf and then search for "Lee and Ready (1991) Algorithm" for more recent follow-up studies. |
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