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TICK_FLAG_BUY and TICK_FLAG_SELL simultaneously set in MqlTick structure

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HeraldoAlmeida
86
HeraldoAlmeida  

Hi all,

When I use CopyTicks(), I often get some ticks with flags = 96 in their MqlTick structure.

This value 96 = 32 + 64 = TICK_FLAG_BUY + TICK_FLAG_SELL seems to indicate that both TICK_FLAG_BUY and TICK_FLAG_SELL flags are simultaneously set.

The documentation says:

  • TICK_FLAG_BUY — a tick is a result of a buy deal
  • TICK_FLAG_SELL — a tick is a result of a sell deal


In order to check the existence of ticks with this flag combination (which seemed weird to me), I opened the MT5 screen and clicked on 'View" - "Symbols" - "Ticks", then I requested the tick data in text file format and could confirm that "Buy/Sell" ticks really exist:

2017.07.25      12:20:49.000    3169.000        3169.500        3169.500        5       Buy
2017.07.25      12:20:49.000    3169.000        3169.500        3169.500        5       Buy
2017.07.25      12:20:49.000    3169.000        3170.000        3169.500        5       Ask
2017.07.25      12:20:50.000    3169.000        3170.000        3169.500        5       Buy/Sell
2017.07.25      12:20:50.000    3169.000        3170.000        3169.500        5       Buy/Sell
2017.07.25      12:20:50.000    3169.000        3170.000        3169.500        5       Buy/Sell
2017.07.25      12:20:50.000    3169.000        3170.000        3169.500        5       Buy/Sell
2017.07.25      12:20:50.000    3169.000        3170.000        3169.500        5       Buy/Sell
2017.07.25      12:20:50.000    3169.000        3170.000        3169.500        5       Buy/Sell
2017.07.25      12:20:50.000    3169.000        3170.000        3169.500        5       Buy/Sell
2017.07.25      12:20:50.000    3169.000        3170.000        3169.500        5       Buy/Sell
2017.07.25      12:20:50.000    3169.500        3170.000        3169.500        5       Bid
2017.07.25      12:20:50.000    3169.500        3170.000        3169.500        5       Sell
2017.07.25      12:20:50.000    3169.500        3170.000        3169.500        5       Sell

I noticed that:

  • every "Buy" tick has the last price equal to the ask price, as expected in a buy aggression deal
  • every "Sell" tick has the last price equal to the bid price, as expected in a sell aggression deal
  • however, these ''Buy/Sell" ticks always have the last price inside the spread range (higher than the bid price and lower than the ask price)

Do deals that are both buy and sell aggresions really exist? If yes, what kind of deals are these?

Am I missing some point on the interpretation of the  MqlTick structure flags? Or my interpretation is correct and I just lack some knowledge about how the stock market works?

Could someone please enlighten me?

Thank you,

Heraldo

Alain Verleyen
Moderator
35038
Alain Verleyen  

Your interpretation is correct. The "Buy/Sell" tick means undefined direction :

Green circles appear when the direction of the transaction is undefined. It is used when the exchange does not transmit the direction of a transaction. In this case, the direction is determined based on the price of the transaction as compared to prices bid and ask. A Buy transaction is that executed at the ask price or above, a Sell transaction is executed at the bid price or lower. The direction is undefined if the price of the transaction is between the bid and the ask.

However like you, I don't know why a transaction can be executed between bid and ask price. This article should interested you, but it doesn't answer this issue, unless I missed it.

Depth of Market - Trading Operations - MetaTrader 5 Help
Depth of Market - Trading Operations - MetaTrader 5 Help
  • www.metatrader5.com
The Depth of Market (DOM) displays bids and asks for a particular instrument at the currently best prices (closest to the market). The depth of...
Vasiliy Sokolov
30757
Vasiliy Sokolov  

In MetaTrader 5 thread of deals not synchronized (!). What this is mean? if you see MqlTick:

struct MqlTick 
  { 
   ...
   double       bid = 3170; 
   double       ask = 3180; 
   double       last = 3175;
   ...
   };

Actually this means:

1. If flag == TICK_FLAG_BUY:

struct MqlTick 
  { 
   ...
   double       bid = 3170; 
   double       ask = 3175; 
   double       last = 3175;
   ...
   };

2. If flag == TICK_FLAG_SELL:

struct MqlTick 
  { 
   ...
   double       bid = 3175; 
   double       ask = 3180; 
   double       last = 3175;
   ...
   };
Alain Verleyen
Moderator
35038
Alain Verleyen  
Vasiliy Sokolov:

In MetaTrader 5 thread of deals not synchronized (!). What this is mean? if you see MqlTick:

Actually this means:

1. If flag == TICK_FLAG_BUY:

2. If flag == TICK_FLAG_SELL:

Thanks Vasiliy. But the question is some ticks have TICK_FLAG_BUY+TICK_FLAG_SELL at same time (flags:96 + 32+64) :

2017.07.25      12:20:50.000    3169.000        3170.000        3169.500        5       Buy/Sell
2017.07.25      12:20:50.000    3169.000        3170.000        3169.500        5       Buy/Sell
2017.07.25      12:20:50.000    3169.000        3170.000        3169.500        5       Buy/Sell
2017.07.25      12:20:50.000    3169.000        3170.000        3169.500        5       Buy/Sell
2017.07.25      12:20:50.000    3169.000        3170.000        3169.500        5       Buy/Sell
2017.07.25      12:20:50.000    3169.000        3170.000        3169.500        5       Buy/Sell
2017.07.25      12:20:50.000    3169.000        3170.000        3169.500        5       Buy/Sell
2017.07.25      12:20:50.000    3169.000        3170.000        3169.500        5       Buy/Sell

How is it possible ? A tick can not be a BUY and a SELL.

Vasiliy Sokolov
30757
Vasiliy Sokolov  
Alain Verleyen:

Thanks Vasiliy. But the question is some ticks have TICK_FLAG_BUY+TICK_FLAG_SELL at same time (flags:96 + 32+64) :

How is it possible ? A tick can not be a BUY and a SELL.

What build MetaTrader5? This is a legacy entry of ticks or it is FOREX. On true exchange TICK_FLAG_BUY+TICK_FLAG_SELL not possible combination.

HeraldoAlmeida
86
HeraldoAlmeida  
Alain Verleyen:

Your interpretation is correct. The "Buy/Sell" tick means undefined direction :

However like you, I don't know why a transaction can be executed between bid and ask price. This article should interested you, but it doesn't answer this issue, unless I missed it.


Thank you for the article, Alain. Regardless of the buy/sell flag issue, it covers some other topics I'm interested on.

HeraldoAlmeida
86
HeraldoAlmeida  
Vasiliy Sokolov:

In MetaTrader 5 thread of deals not synchronized (!). What this is mean? if you see MqlTick:

Actually this means:

1. If flag == TICK_FLAG_BUY:

struct MqlTick 
  { 
   ...
   double       bid = 3170; 
   double       ask = 3175; 
   double       last = 3175;
   ...
   };

2. If flag == TICK_FLAG_SELL:

struct MqlTick 
  { 
   ...
   double       bid = 3175; 
   double       ask = 3180; 
   double       last = 3175;
   ...
   };

Hi, Vasiliy.

The situations you printed above never occurr in my data.

I checked more than 1 million ticks and confirmed that:

  • "Buy" ticks ALWAYS have last = ask
  • "Sell" ticks ALWAYS have last = bid
  • "Buy/Sell" ticks ALWAYS have bid < last < ask

These tick data are from the Future USDBRL exchange rate at BMF (a Brazilian derivatives market, in Sao Paulo).

I wanted my EA to measure buy and sell aggression levels as two additional indicators in its trading strategy.

Since the number of "Buy/Sell" ticks I receive is tipically between 1% and 2% of the total number of ticks, perhaps a simple and effective solution would be just to ignore them.

Thank you anyway.

Vasiliy Sokolov
30757
Vasiliy Sokolov  
HeraldoAlmeida:

Hi, Vasiliy.

The situations you printed above never occurr in my data.

I checked more than 1 million ticks and confirmed that:

  • "Buy" ticks ALWAYS have last = ask
  • "Sell" ticks ALWAYS have last = bid
  • "Buy/Sell" ticks ALWAYS have bid < last < ask

These tick data are from the Future USDBRL exchange rate at BMF (a Brazilian derivatives market, in Sao Paulo).

I wanted my EA to measure buy and sell aggression levels as two additional indicators in its trading strategy.

Since the number of "Buy/Sell" ticks I receive is tipically between 1% and 2% of the total number of ticks, perhaps a simple and effective solution would be just to ignore them.

Thank you anyway.

Apparently, this effect of features of BMF exchange. I don't know the specifics of pricing in this market, so can't say anything:(

nicholishen
1519
nicholishen  

You have to use bitwise operators when evaluating the condition of bitmask features/booleans.

string GetTickDescription(MqlTick &tick) 
  { 
   string desc=StringFormat("%s.%03d ", 
                            TimeToString(tick.time),tick.time_msc%1000); 
//--- Checking flags 
   bool buy_tick=((tick.flags&TICK_FLAG_BUY)==TICK_FLAG_BUY); 
   bool sell_tick=((tick.flags&TICK_FLAG_SELL)==TICK_FLAG_SELL); 
   bool ask_tick=((tick.flags&TICK_FLAG_ASK)==TICK_FLAG_ASK); 
   bool bid_tick=((tick.flags&TICK_FLAG_BID)==TICK_FLAG_BID); 
   bool last_tick=((tick.flags&TICK_FLAG_LAST)==TICK_FLAG_LAST); 
   bool volume_tick=((tick.flags&TICK_FLAG_VOLUME)==TICK_FLAG_VOLUME); 
//--- Checking trading flags in a tick first 
   if(buy_tick || sell_tick) 
     { 
      //--- Forming an output for the trading tick 
      desc=desc+(buy_tick?StringFormat("Buy Tick: Last=%G Volume=%d ",tick.last,tick.volume):""); 
      desc=desc+(sell_tick?StringFormat("Sell Tick: Last=%G Volume=%d ",tick.last,tick.volume):""); 
      desc=desc+(ask_tick?StringFormat("Ask=%G ",tick.ask):""); 
      desc=desc+(bid_tick?StringFormat("Bid=%G ",tick.ask):""); 
      desc=desc+"(Trade tick)"; 
     } 
   else 
     { 
      //--- Form a different output for an info tick 
      desc=desc+(ask_tick?StringFormat("Ask=%G ",tick.ask):""); 
      desc=desc+(bid_tick?StringFormat("Bid=%G ",tick.ask):""); 
      desc=desc+(last_tick?StringFormat("Last=%G ",tick.last):""); 
      desc=desc+(volume_tick?StringFormat("Volume=%d ",tick.volume):""); 
      desc=desc+"(Info tick)"; 
     } 
//--- Returning tick description 
   return desc; 
  } 
HeraldoAlmeida
86
HeraldoAlmeida  
nicholishen:

You have to use bitwise operators when evaluating the condition of bitmask features/booleans.


Hi Nicolishen.

I did it correctly. The flags BUY and SELL are really simultaneously set.

nicholishen
1519
nicholishen  
HeraldoAlmeida:

This value 96 = 32 + 64 = TICK_FLAG_BUY + TICK_FLAG_SELL seems to indicate that both TICK_FLAG_BUY and TICK_FLAG_SELL flags are simultaneously set.

Hi Heraldo,

This is not how you evaluate a bitmask.  You could be right some of the time, but those flags could also be set with other flags as well - and the total will not still be 96.

You would need to do something like this instead... 

bool buy_tick=((tick.flags&TICK_FLAG_BUY)==TICK_FLAG_BUY); 
bool sell_tick=((tick.flags&TICK_FLAG_SELL)==TICK_FLAG_SELL); 
if(buy_tick && sell_tick)
   ...
12
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