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How to mathematically model Bid and Ask as two separate processes, and combine into a Price process?

Let's say you were modeling bid and ask as two separate processes. With their own mean and variance. And with the constraint that ask must be greater than or equal to bid. How would you then ...
Tristan's user avatar
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Setting Bid-ask for option forward-type strips

do you know if there is any methodology on how to define spreads when fx option market maker is trying to quote for exaple various fx forward strip strategies? From bbg ovml or software which we are ...
Kos3_'s user avatar
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1 vote
1 answer
152 views

The bid-ask spread before transactions

They are a lot of ways to compute an "estimated bid-ask spread". The most straightforward one is to sample the bid-ask on a regular time grid (for instance every second), but that for you ...
XY0's user avatar
  • 127
0 votes
1 answer
112 views

Estimate Open, High and Low prices from bid, ask and close prices

I know it's possible to efficiently estimate bid/ask spreads from OHLC prices and there are several methods to do so. However I have a data source that contains only bids, asks and close prices, no ...
pyCthon's user avatar
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4 votes
1 answer
699 views

Assistance understanding relation between the "Bid-ask bounce" and the "Tick rule"+"Quote rule"

I need some assistance in understanding the relation between the "bid-ask bounce" and "the tick rule" + "quote rule". The two rules mentioned above are used to classify ...
Economics_student's user avatar
0 votes
1 answer
299 views

Interpreting an Order Book (example Kraken.com)

An (forex) Order Book (OB) for a trading (forex) pair (e.g. XBT-USD) has ASK and BID rows. Each row has PRICE and VOLUME (at least). Each row represents an offer for selling or buying a maximum of ...
bliako's user avatar
  • 101
0 votes
1 answer
89 views

Why the highest transaction price of stock in a time period can be higher than a sell limit order price, but the order is not filled?

Sometimes a sell limit order is not filled in a period even when the highest transaction price is higher than the limit order price. I don't understand why this could occur. The fact that the ...
user15502206's user avatar
1 vote
2 answers
376 views

using bid ask prices to imply bid ask volatilities

Let's say i have bid / ask feed of an option prices (across strikes and expiries, calls and puts), what is the accurate way of implying out vols from these bid / asks For eg; to get the bid vol, ...
Andrew's user avatar
  • 11
1 vote
0 answers
369 views

What are CloseoutBid and CloseoutAsk Prices?

Using Oanda's streaming API I get typical output as shown below: ...
babelproofreader's user avatar
1 vote
1 answer
399 views

Confusion about bid- ask- and last-prices from option prices data

I’m struggling with the interpretation of quoted option prices I obtained from Bloomberg. The call options prices are available for a daily time series with different strikes at a given day. I ...
Walter's user avatar
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1 vote
0 answers
162 views

FX Volatility surface bid/ask

I have bid/ask vols (straddles, risk-reversals and market strangles) for FX pairs, I want to create a mid/bid/ask volatility surface in strike/maturity space after a consistent smile calibration ...
BrownianBread's user avatar
4 votes
3 answers
6k views

What is the order flow imbalance?

The price impact of order book event is an arxiv article which shows that, over short time intervals, price changes are mainly driven by the order flow imbalance, defined as the imbalance between the ...
fgauth's user avatar
  • 329
2 votes
1 answer
1k views

When converting Tick to OHLC, which field do I use for Open and Close: bid or ask?

I can't find a definitive answer for this: When generating (compressed) OHLC records from tick data, which field do I use for the Open and Close? Highest Ask for timeframe High makes sense; Lowest ...
skeetastax's user avatar
2 votes
0 answers
53 views

Precise calculation of the last price

This might sound like a rather trivial question but how exactly is the last price in a market (let's assume stocks) quoted? "The last transaction" is not really precise. Let's assume there is a ...
freistil90's user avatar
1 vote
0 answers
166 views

Bond liquidity: why do I observe constant bid-ask spreads?

I hope you can help me. I want to use the bid-ask spread of prices for 10yr treasury notes as a proxy for bond market liquidity. I got monthly aggregated bond price data (for yrs 1999-2013) from ...
neo_one's user avatar
  • 31
1 vote
1 answer
327 views

Does a trade always change the mid-price?

I would like to ask: Let assume that the mid-price now is m0, then a trade happens and the new mid-price is m1. Is it possible ...
F.F.'s user avatar
  • 23
4 votes
2 answers
770 views

How can the market price of a stock be significantly lower than its Bid and Ask?

I was trading various stocks on the market, and I often see that stocks have their price, much higher or lower, than the Bid and Ask. Also, as the Bid and Ask move in real time, the price moves too, ...
Victor2748's user avatar
0 votes
1 answer
384 views

Logarithmic price defined as the midpoint of the log bid and ask : Simple Clarification

Guys I would like a simple clarification. The paper by McMillan and Speight (2012) at the data section, defines the logarithmic price as the midpoint of the logarithmic bid and ask. Is that translates ...
Greconomist's user avatar
0 votes
4 answers
2k views

Where to find sample intraday data? One to two days or more

I'm looking for some intraday stock data. Doesn't really matter what kind of security... I'm just looking for price, volume, bid, and ask. I'm looking to test a model based on the dynamics and ...
ddm-j's user avatar
  • 153
1 vote
1 answer
1k views

Distribution of proportional bid-ask-spreads

I already asked this yesterday at "Economics Stack Exchange" but think this question might be better suited here. In the meantime i really tried to solve it by myself, but couldn't find anything what ...
nobody's user avatar
  • 25
0 votes
1 answer
400 views

Extracting IB market data: bid and ask for greeks and IV

I wrote a piece of code to get option chains with volatility and greeks from IB market data. After testing yesteday, it seems to work, but I am surprised of seeing bid and ask for impliedVolatility ...
Roman Rdgz's user avatar
1 vote
0 answers
24 views

Which rate have to be considered by using multiliteral netting?

I do have a netting structure consisting of four companies (A,B,C,D) and a netting center. The center also takes place in the netting process. The netting center uses the EUR as currency. Company A ...
Irgendw Pointer's user avatar
1 vote
3 answers
1k views

Bid/Ask vs Low/High

I am trying to gather historical data for experimental reasons (intellectual curiosity) and am having trouble understanding how that data is calculated. First some data gathering on AAPL from Feb. ...
Bobby Ocean's user avatar
2 votes
2 answers
185 views

monthly contract volume required for penny increments?

Have the exchanges disclosed their criteria? Does anyone have a best guess based upon observations of volume (however you wish to define it)? Please no qualitative answers.
user avatar
8 votes
2 answers
5k views

How to account for bid/ask spread when backtesting?

I'm backtesting an algorithm for trading nasdaq stocks, and would like to take into account the spread. I am using historical data from yahoo, which contains: open, high, low, close, volume, adj. ...
Lee Schmidt's user avatar