3
votes
Interpreting an Order Book (example Kraken.com)
This question is unclear to me, what is your goal?
It's in BTC
Both BTC
You can increase your BTC position and decrease your USD position by buying the pair and decrease your BTC position and increase ...
- 8,620
3
votes
Do I use the bid or ask time series to build a model to predict forex and for a backtester
Assume that you collect only bid price. For some time period, you may find that bid price does not move while ask price does. In other words, if your purpose is collecting market movement, then by ...
- 65
3
votes
Confusion about bid- ask- and last-prices from option prices data
Sometimes in bloomberg in absense of data the holes might be filled. So the last, bid and ask may be the same item of data.
Sometimes in market making you can have same bid/offer or even ...
- 12.1k
3
votes
Why does historical equity ticks from Dukascopy.com not contain trade ticks?
Understanding exactly where the price data comes and which trades are incorporated into the data is important.
A CFD is a derivative instrument. The market maker of the insturment (in this case, ...
- 1,355
2
votes
Question about order book and single player interference
This is a complex question. First of all, you need to know that orderbook manipulation is illegal. That being said, I can rephrase you question as:
given an orderbook
say a new sell order of size $...
- 12.6k
2
votes
using bid ask prices to imply bid ask volatilities
@Stéphane answer is quite good. There are a few more details to consider:
the mids may not be arbitrage-free. If you need arbitrage-free prices, you will need to find the closest arbitrage-free ...
- 1,464
2
votes
The bid-ask spread before transactions
Consider that sometimes the spreads at the exact moment a trade is executed can be larger than the spread before that trade, due to the effect of removing hit orders from the order book, specifically ...
2
votes
Estimate Open, High and Low prices from bid, ask and close prices
To my knowledge it is not possible to precisely recover the prices. Specifically in your setup, it is not possible to do this for the Open; as recording systems usually measure the Open and the Close ...
- 1,779
2
votes
Assistance understanding relation between the "Bid-ask bounce" and the "Tick rule"+"Quote rule"
The bid ask bounce is a phenomenon that you observe when you look at transaction prices in a quote driven market. Because buys and sells occur randomly, the price of the last trade changes randomly ...
- 11.8k
1
vote
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?
There are a couple of possible explanations. The first is that the order that you observed was "off the tape." That is to say, it was a large order that was filled earlier but the recording ...
- 4,329
1
vote
using bid ask prices to imply bid ask volatilities
As regards option prices, most people would use the midpoint of the spread as the fair price. Then, risk free rates would be computed by using the yield on very safe government fixed income ...
- 2,536
1
vote
Accepted
Does a trade always change the mid-price?
If you define the mid price as the average of the best bid and best ask price the answer is no. If there are bids for 10 lots @ 10.00 and asks for 10 lots @ 10.10 markets orders smaller than 10 lots ...
- 8,620
1
vote
Where to find sample intraday data? One to two days or more
Tick Data has some sample equity data with bid/ask.
First go to the Tick Data equities web site:
https://www.tickdata.com/equity-data/
Then find the Sample Data link.
- 11
1
vote
Risk Reversal quoting convention in FX market
Market convention is for a bid-offer on a package. For example, if you ask a dealer for the market on a 25d RR on EURUSD, the BID would be for the dealer to BUY the EUR Call and SELL the EUR Put; and ...
- 6,672
1
vote
Why was a buy position not closed at the seller's price?
Kraken implements an order book mechanism to match buyers and sellers.
You would need to dig into more details to know exactly what order was placed by the aggressor in this case (market order ? ...
- 2,207
1
vote
What is the order flow imbalance?
They are mainly two kinds of imbalances that are important in the price formation
the imbalance of liquidity providers (filling the orderbook in a LOB-driven market)
the imbalance of liquidity ...
- 12.6k
1
vote
What is the order flow imbalance?
Intuitively, if there is 10x more depth at the bid than the ask, and trades arrive at (and are sized at) random, it is 10x more likely that the price will tick up than down.
In practice, often trades ...
- 649
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