Bid Ask data vs Trade data

Questions about MultiCharts .NET and user contributed studies.
lewisthegood
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Bid Ask data vs Trade data

Postby lewisthegood » 20 Mar 2021

I have subscribed Interactive Brokers' Level II data, and applying it the Multicharts. I inserted 3 instructments of same security into the same chart, i.e.

1. "1 tick" resolution with Quote Filed as "Trade" on same security (Green Dot)
2. "1 tick" resolution with Quote Filed as "Bid" on same security (Blue Colour)
23 "1 tick" resolution with Quote Filed as "Ask" on same security (Red Colour)

***Question:
1. It appears to me that the Bid/Ask never crossed prior 9:31:10, why there are "Trades" occur whereas bid/ask never crossed with each other as appeared in the graph...?
2. In order to investigate the issue, I exported the Bid/Ask tick data from QuoteManager, but the "Volume" column is always "0". I wonder is that IB's data deficiency or Multicharts fail to receive the Bid/Ask volume data...?
3. My Algo is trading on the Bid/Ask data, is there any pre-built indicator/Signal that can show the current best bid/best ask vs time on the chart..?
Bid Ask Trade.JPG
(102.2 KiB) Not downloaded yet

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Vlada MultiCharts
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Re: Bid Ask data vs Trade data

Postby Vlada MultiCharts » 29 Mar 2021

Hi lewisthegood,

1. Ask usually does not cross Bid. A small spread can be observed only on the instruments with extremely high liquidity, and even in this case there shall be no crosses. The issue might be also related to the Level 2 data coming from the broker. The ticks of Ask, Bid, and Trade may not be synchronized in time, since it would take a lot of resources for the data vendor to store data like this on their servers, even real-time and historical data coming from the data vendor may differ.
MultiCharts provides data just like it is coming from the data vendor.

2. If you see zero volumes for Ask and Bid data, please contact us in Live Chat or via email support@multicharts.com, we'll help you install the sample for checking IB data to see if there are any issues. For some instruments from IB zero volume is expected, but if the results in the sample differ from the data you see in MultiCharts, our Engineering team will look into this.

3. There are pre-built keywords that return Best Ask and Best Bid from the chart status line of from the Scanner:
AskSize
BidSize

oppidum
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Re: Bid Ask data vs Trade data

Postby oppidum » 17 Nov 2021

I am carrying different tests to calculate the amount of “ticks loss” between the LMAX live tick feed and the LMAX historical tick feed. The difference is very impressive and can only be reduced from LMAX side by increasing the update ratio of the client’s API. But increasing this threshold is creating some other problems so the purpose now is to find the right balance.

As each test require some days to collect enough live data to have a minimum statistical set to compare, could you please explain if selecting the : Build trade ticks from ask ticks and bid ticks could help reduce the difference between live and historical feed?

On the wiki page the explanation is: Build trade ticks from ask ticks and bid ticks - when this option is enabled, quote field "Trade" includes both Bid and Ask prices which makes the Volume Profile feature usable for Forex symbols. Trade field records a new tick even if only the Ask price/volume has changed and does not wait for the Bid to change either price or volume. When the option is disabled - Quote Field "Trade" plots "Bid" data.

Could you please provide more explanation on the way it works and if it is affecting the way both feeds are built?

Many thanks

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Svetlana MultiCharts
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Re: Bid Ask data vs Trade data

Postby Svetlana MultiCharts » 18 Nov 2021

Hello oppidum,

Please note the following facts that may affect your tests.
1) LMAX may provide more ticks in history than in real-time.
LMAX filters data for all LMAX server clients (except ITFinance).

2) LMAX does not provide Trade data.
By default, MultiCharts plots Bid data if a data series is plotted with Quote Field set to Trade.
If “Build trade ticks from ask ticks and bid ticks” is turned on:
An Ask price comes – MultiCharts records this tick both as Ask and Trade, both in history and real-time.
A Bid price comes – MultiCharts records this tick both as Bid and Trade, both in history and real-time.


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