Re: [amibroker] Re: Tick data, how important is bids/asks?

[Howard B <howardbandy@xxxxxxxxx>]

Greetings all --

In a conversation I had recently with a practitioner of high frequency trading, including flash trading, he pointed out that it is not unusual for bids and offers to be modified many times for every trade that is eventually executed.  Many means somewhere between two or three times and several hundred times -- much of that activity taking place in millisecond and microsecond time frames.  

In other conversations and in my own experience, traders often place an order with a bid or ask price designed to learn something about the market, but have no intention of being filled.  One fellow described these orders as "cancel if close".

In my opinion, bid and ask prices do not add information that is helpful to individuals and small trading organizations.

Thanks,
Howard

On Mon, Nov 23, 2009 at 9:57 AM, Tomasz Janeczko <groups@xxxxxxxxxxxxx> 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@xxxxxxx>
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@xxx> 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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