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juliovknc has contributed to 5 posts out of 21185 total posts (0.02%) in 2,705 days (0.00 posts per day).

20 Most recent posts:
IQFeed Developer Support » Last price between Bid/Ask range Nov 30, 2016 10:37 AM (Total replies: 11)

So you mean that implied orders are showed in the order book, don't you?

IQFeed Developer Support » Last price between Bid/Ask range Nov 30, 2016 10:13 AM (Total replies: 11)

Hi Tim

I think I ave an explantion for that kinf of trades, but I would nee to know what order book, L1, IQFeed is sending to us? I.e., I mean if the order book info is from consolidated one or not.

Thanks and regards
Julio

IQFeed Developer Support » Last price between Bid/Ask range Nov 29, 2016 11:48 AM (Total replies: 11)

Hi

I keep investigating this topic. For the moment the only thing I know is that charting SW such as Ninja Trader or MD Charts represent in the same way,i.e., as buys or sells this kind of trades. Thus there must be an algorithm to infer in the best possible way the direction of the volume of these trades.

IQFeed Developer Support » Last price between Bid/Ask range Nov 28, 2016 12:09 PM (Total replies: 11)

Hi

I thinkg they are not tikcs tha the exchange makes the correction llater since such trades are taking into account for the total volumen of the day.

Besides, It is not very unusual, for example, for the QCL# contract on 06/0./3/2016 thera are 218 occurences of this kind of ticks.

In addition other contracts, such as @FV#, @TU#, etc... presents these ticks/trades with frquentcy. The point is that i do not know what rule or rules to follow in order to infer if the trade has been a buy or a sell.

For another cases when Last > Ask, or Last < Bid or Bid = Last = Ask I know the rule to follow to know that... but not in the case Bid < Last < Ask.

IQFeed Developer Support » Last price between Bid/Ask range Nov 27, 2016 07:30 PM (Total replies: 11)

Hi everybody

I have been downloading some historical tick data and I have found trades in which the last trade is in between bid/ask range. For example in the QCL# contract

Date,Bid,Ask,Last,Vol,TickID
06/03/2016 15:23:42.427627 48.88 48.89 48.89 1,12748691
06/03/2016 15:23:42.964300 48.88 48.9 48.89 1 12748712
06/03/2016 15:23:43.031563 48.88 48.89 48.89 1 12748717

As you can see in line 2 Last Price = 48.89, Bid = 48.88 and Ask = 48.89. In these cases the doubt I have is how to deduce is that trade is generated by a Buy Market Order or by a Sell Market Order, i.e, how can I konw if that kind of trades are buys or sells.

Thanks


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