I have data from exchange in transaction log format that indicating:
That element indicating that timestamp transaction was made on price of size volume.
My question is how to convert that feed into tick-by-tick based data including:
That element indicating that timestamp transaction was made of size volume, and after that prices buy/sell prices are on level ask price and bid price for create future transaction.
Thanks for help!
Trades don't indicate the quote. Consider a market like this:
bid ask
100.01 100.02
You see a trade for 100.02. Then you see another trade for 100.02. This second trade could have been taking more from the ask. However, if the earlier trade had wiped-out the ask, then the quotes may have been updated to
bid ask
100.02 100.03
I.e., the second trade took from the bid. But since all you saw was 100.02, you don't know whether is was from the bid or ask.
On top of that, an illiquid stock could have been displayed at
bid ask
100.01 100.05
A trade for 100.02 would have been against hidden liquidity and you would never know.
So in conclusion, trades cannot be used to derive quotes. They are two different pieces of information. (Conversely, quotes cannot be used to derive trades, since disappearing liquidity may indicate either trades or cancelations, and you'd have no way of knowing.) If you want quotes, then you have to get quote data.
