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| »Forums Index »NEW IQFEED FORUMS »Data Questions »Noob question regarding tick level bid and ask statistics | 
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| 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? |
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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? |
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DTN_Gary_Stephen -DTN Guru- Posts: 396 Joined: Jul 3, 2019 
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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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