Discussion in 'Trading' started by weld1, Nov 20, 2008.

  1. weld1


    i know i will regret this but how do u tell how many trades went off at the bid and how many went off at the ask in a given time frame...maybe in a 5 min. candle???
  2. JackR


    It depends -

    If you receive the data as a candle from your data supplier or broker you cannot get the info. The 5 minute candle is the finest resolution you get. Same would hold true with any aggregated bar or candle. If you receive streaming data (see below) from your source and your charting package makes the bars or candles locally then you may be able to get what you want from your package.

    Time and Sales data, streaming or delayed, shows that info as it normally includes bid size and price, ask size and price, and last sale, size and price. A tick-by-tick real-time feed may include that info as well, but not necessarily. IB is a good example of this not being true. They send snapshot info, which may or may not be tick-by-tick, depending on the number of trades taking place in a given fraction of a second.