I can't seem to understand how tick data works. Below is some tick data for a certain security (I got this data from a platform called MetaTrader). At 09:56:28 someone offered to sell at \$9.9. But then at 09:57:40 someone offered to buy at \$12.89. Isn't that weird? If someone is selling at \$9.9 why would you offer to buy at \$12.89?

To make it weirder, at 09:57:30 the offer to sell at \$9.9 is repeated (or maybe it's someone else's offer?) even though someone was willing to buy at \$12.89. The entire dataset is like this.

Also: when people talk about the bid-ask spread do they mean that the bid and ask prices are horizontally aligned? Like at 10:06:00, when there is a bid price of \$11.27 and an ask price of \$11.28? What would the bid-ask spread be at, say, 09:59:23, when there was an ask price (\$9.43) but no bid price?

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    $\begingroup$ What do the Flags mean. Maybe they would shed some light (especially 4 and 2). $\endgroup$
    – nbbo2
    May 2, 2021 at 0:40
  • $\begingroup$ Good question. I don't, I googled around but couldn't find an answer. $\endgroup$
    – Parzival
    May 2, 2021 at 16:06
  • $\begingroup$ There is no manual for the platform? If not, how can anyone use that tool? Just looking at a screenshot, without knowing the underlying is pure guessing. $\endgroup$
    – AKdemy
    May 2, 2021 at 20:22
  • $\begingroup$ There is a comprehensive manual, but somehow it doesn't mention the flags at all. I just found some forum discussions and it looks like the flags convey information like "tick is a result of a buy deal", "tick is a result of a sell deal", etc. But I haven't found anywhere the full INT->information correspondence. $\endgroup$
    – Parzival
    May 3, 2021 at 16:05


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