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»Forums Index »IQFeed Developer »IQFeed Developer Support »Noob question regarding tick level bid and ask statistics
Author Topic: Noob question regarding tick level bid and ask statistics (3 messages, Page 1 of 1)

Hoopster
-Interested User-
Posts: 2
Joined: Oct 4, 2019


Posted: Oct 5, 2019 08:51 AM          Msg. 1 of 3
Hi everyone, I'm new to this forum though a long term IQFeed customer.

I collect historical tick data from IQFeed via QCollector Expert For DTN. I want to determine and analyze the mix of at-bid vs at-ask trades. I determine a midpoint, ie ((ask-bid)/2)+bid, then any assign the trade as at-ask if the trade price is above the midpoint, and vice versa.

Even if I collect only a vigorous up-trend with minimal pull-backs, I get a higher number of at-bids than at-asks.

Should I not see more asks than bids during an up-trend, and vice versa?

Hoopster
-Interested User-
Posts: 2
Joined: Oct 4, 2019


Posted: Oct 5, 2019 03:33 PM          Msg. 2 of 3
I spotted "Trade Aggressor" (?!?) in my reading and found out it is exactly what I was trying to determine by comparing tick price to the reported bid and ask in the trade.

Great to know, but I have about 5 yrs of accumulated tick data for back-testing.

Can anyone tell me why comparing the price to the bid and ask in a tick record does not seem to work?

DTN_Gary_Stephen
-Interested User-
Posts: 50
Joined: Jul 3, 2019


Posted: Oct 14, 2019 10:07 AM          Msg. 3 of 3
I can give you a little information about the Trade Aggressor field. As of Protocol 6.1, which was released about a month ago, the Trade Aggressor is explicitly reported. The field is available in both watch and historical requests, but the watch command has to be customized to do so via a http://www.iqfeed.net/dev/api/docs/DynamicFieldsets.cfm]Dynamic Fieldset. This will be available for the ICE and CME exchanges going forward; there is relatively little historical data as the exchanges only recently started reporting this.

To your other question:

Quote: Can anyone tell me why comparing the price to the bid and ask in a tick record does not seem to work?


There have been entire academic studies devoted to that question, such as:

https://pdfs.semanticscholar.org/b9b9/257d161bb6fee796dd9a1b9bb725abf3b7b3.pdf

https://quant.stackexchange.com/questions/14512/algorithm-to-detect-the-aggressor-side-of-a-trade

I can't really advise you on how to design an algorithm, so I hope the above links are helpful. I can answer any questions you may have about the data the API returns.

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist
 

 

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