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Hello Mr. Tomasz Janeczko,
Just being curious: does the TimeStamp on the 90 second delay reported trades happen to be the TimeStamp of actual trade or the TimeStamp of reporting? If the TimeStamps are Reporting times then the OHLC Bars could also be distorted.
Further, it will be nice to know more about ""alternative trading systems" (dark pools among others)". Any links please!
With Regards
Sanjiv Bansal
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@xxx> wrote:
>
> Hello,
>
> Bid and asks are sent by IQFeed and eSignal and IB,
> and they are shown in Time&Sales window in AmiBroker.
> http://www.amibroker.com/guide/w_timesales.html
>
> Historical data is different story. Various feeds supply various information.
> IB does not deliver tick historical data at all (best resolution is 1 second).
> IQFeed as written below delivers historical tick data in form of TRADES only.
> eSignal depending on request you send can deliver trades only, bid/ask only or both (including
> all bid/ask changes that happen *between* trades).
> Access to historical bid/ask was not given in form of arrays in AB because
> of differences outlined above (only some sources deliver necessary info), and because
> there was no room in quotation structure. With recently introduced changes (added aux1/aux2 fields)
> now it is technically possible to deliver historical bid/ask matching trade records (the way IQfeed does)
> but that requires extra code in the plugin(s) and it is under development.
>
> Note also that in the past I have been doing research on bid/ask relationship vs trade prices
> and found that there is really lots of manipulation occuring on bid/ask and level2 books and
> hypothesis that relationship between bid/ask/trade is market driving force was found to be false.
> People often forget that nowadays lots of trades come from dark liquidity pools as they are required
> to report trades made but they are not required to report quotes (bid/ask) so they don't appear
> in order books *at all*. You won't see any quote from dark pools. You will see the trades, but they
> are reported with delay as large as possible.
>
> So called "alternative trading systems" (dark pools among others) are required to report trades to the Consolidated Tape on a
> 90-second delay.
>
> This leads to very distorted picture and makes bid/ask analysis very questionable.
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: "iqfeed" <iqfeed@xxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Monday, November 23, 2009 4:18 PM
> Subject: [amibroker] Re: Tick data, how important is bids/asks?
>
>
> > Just to clarify, IQFeed does provide bid/ask quotes in the stream. We send every trade, as well as every bid/ask price and volume
> > update. We don't store each bid/ask update in history however. Instead, we only store trades, and the bid/ask price at the time
> > of the trade which allows 3rd party software to determine if a trade occured at the bid or the ask. Trades are often interpreted
> > as a buy or a sell based on if the trade hit the bid or ask and we provide the information needed to determine this.
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Potato Soup" <potatosoupz@> wrote:
> >>
> >> I'm working with IQFeed tick data. They don't seem to provide bid/ask quotes, just trades. What's the consensus on whether this
> >> matters? I've seen it argued that a lot of games go on with quotes, fakeouts, etc. And that trade ticks are all that matter.
> >> Seems though for less liquid instruments you'd really want updated quotes, or the true price could be quite far from the last
> >> trade.
> >>
> >> I realize most AmiBroker users don't trade on ticks, but thought I'd ask here for comment anyway.
> >>
> >
> >
> >
> >
> >
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>
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