Last Trade at Ask or Bid ( ES/NQ )

Discussion in 'Automated Trading' started by koms, Apr 11, 2006.

  1. koms


    Futures : ES/NQ

    Which broker/datafeed tells you whether the last trade was executed at bid or ask using an API or what was the ask /bid price when the last trade was executed.

    Basically some API way to have more control over time and sales.

    I have tried to find this using IB ( API ) and tradestation ( easy language ) but with no success.

  2. koms


    101 views but no reply....
    somebody share the answer ..
  3. koms

    You might want to check out DTN.

    I understand their data feed will now drive "Market Delta" software. Which at least I think would require this ability. Footprint Product Information.pdf

    Definitely take a look at the above url recording for the "bid ask footprint". It is the fifth recording down.

    Let me know if you are able to get the video as well as the audio.

    Also, I would appreciate it if you would keep me posted as to what you find out.

    You might send me a PM.

    Thanks and Good Luck

  4. Realtick time and sales has that, I'm sure they're not the only one.
  5. I am not sure that any API/feed is going to give you exactly what you want.

    As you mention IB, it seems that you should be able to come reasonably close to it though.
    Skipping over the fact that IB does not transmit every tick, monitoring the 'Last Price' changes and comparing these with the current Bid/Ask should be a good approximation.
    Looking at DAX data, the 'Last Price' may exceptionally sit in between the most recent Bid/Ask. This may be an artifact due to missing Bid/Ask ticks or could this be a transaction truly passing in between the Bid/Ask spread?
  6. I think this is largely correct wrt the TWS API. The order in which it transmits events is (I think)

    last price
    last size (for immediately preceding last price).

    It might not be a true 'tick feed', but it's quite a good approximation.

    Is is possible that last price that falls between bid and ask on DAX is an off exchange trade - like the huge volume spikes that screw up DAX volume charts in rollover week ?

    Another oddity I have seen in IB data is with SGXNK when last price this is not a multiple of tick size (which is 5 pts) is sometimes sent. I intend to follow this up with IB when I've got time.
  7. I think I remember reading on the MarketDelta web site that it supports IB TWS feed.
  8. laocoon


    I've been working on this subject extensively and unfortunately IB won't do the trick. If you compare the "last" traded price with the Bid/Ask and then build your own "counter" to attribute the values to the corresponding category, you will end nowhere.

    I did exactly that and compared the result to a real tick by tick data provider (like eSignal for example) and the discrepancy is huge.

    As much as I would have liked to develop my system with IB's API, it just isn't good enough for this specific purpose.

    I ended up coding my strategy with eSignal's EFS and integrated it with IB through Ninja Trader. Works well so far.

    Another option would be to skip eSignal and use Ninja Script with the Zen Fire data feed. I'm currently testing this alternative and it looks very promising.
  9. Could you provide a little more info on the differences between IB and eSignal ?

    Have you tried ES/NQ only ? Other instruments ?

    Is the problem with trade size ?

  10. koms


    IB data is not accurate to T&S.

    The problems with IB are :
    1) IB had 2 different API events which return T&S data
    a) tickSize b) tickPrice , ideally it should have returned only one event with price as well as size the way you see on t&s. This is what messes up the entire work.
    2) Also , the data is bundled ( meaning if there were 3, 1 contract trades at say 1730.00 then IB will return size = 3 as if there was only one trade ).

    Market delta uses IB data. Now this adds to my confusion. How does market delta figure out correct Ask/Bid trade when the input data from IB itself is not correct.
    #10     Apr 13, 2006