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The ticking history of the glass. - page 11

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prostotrader:

100% no.

Shall we wait for the Metakwots to answer?

)

Mikhail Dovbakh:

Shall we wait for the Metakwots to answer?

)

I don't think they will.

Mikhail Dovbakh:
Open-Demo fuch Eu-6.19


By RTS-6.19 more often flag 0x138 (312)


When analyzing cqg/cme data, it's a mess. It would be logical for the flags to describe only three events: insert level, change in level, delete level. The rest is in other functions.
Mikhail Dovbakh:

As you know a tick flag can be a combination of:

  • TICK_FLAG_BID - tick changed price bid
  • TICK_FLAG_ASK - tick has changed the ask price
  • TICK_FLAG_LAST - tick changed price of last deal
  • TICK_FLAG_VOLUME - Tick has changed volume
  • TICK_FLAG_BUY - Tick occurred as a result of a buy deal
  • TICK_FLAG_SELL - the tick occurred as a result of a sell deal

However, it seems to me that these are only flags that the developers considered necessary to describe in the documentation.

I actually encountered values of 0x158 (344) which may not be a combination of only those described.

-TICK_FLAG_BID - tick has changed a Bid price 2 0x2

-TICK_FLAG_ASK - a tick has changed an Ask price 4 0x4

-TICK_FLAG_LAST - a tick has changed the last deal price 8 0x8

-TICK_FLAG_VOLUME - a tick has changed a volume 16 0x10

-TICK_FLAG_BUY - a tick is a result of a buy deal 32 0x20

-TICK_FLAG_SELL - a tick is a result of a sell deal 64 0x40

Who has the information - please share.


I wonder how it could be that a tick could arise separately from a sale and separately from a purchase? A transaction is a sale and a purchase at the same time. One is selling, the other is buying. How can a tick result from one action but not from the other?

The meaning of the last two flags is not clear.
Реter Konow:
I wonder how it could be that a tick could arise separately from a sale and separately from a purchase? A transaction is a sale and a purchase at the same time. One is selling, the other is buying. How can a tick result from one action but have nothing to do with the other?

Depends on who initiated the transaction, maybe so?

Andrey Gladyshev:

Depends on who initiated the deal, maybe so?

Both counterparties are initiators. More precisely, the initiator of the transaction is the clearing system that connects the counterparties at the right time.
Реter Konow:
Both counterparties are initiators. More precisely, the trade initiator is the clearing system that connects the counterparties at the right moment.

Peter, don't be "stupid"... What does the "clearing system" have to do with it?

And the flags are different because someone bought(the sell order appeared earlier in the system) and vice versa

prostotrader:

Peter, don't be "stupid"... What does the "clearing system" have to do with it?

And the flags are different because someone bought(sell order appeared earlier in the system) and vice versa

It doesn't say anything about the order. It is a free interpretation.

And what difference does it make who placed the limit order first?
Реter Konow:
There is nothing in the explanation about the order of precedence. It is a free interpretation.

Well, you know best...

prostotrader:

Well, you know best...

And then, a limit order is not a trade, but only an order for a trade.
A tick as the result of one party (one counterparty) to a transaction suggests that the other party to the transaction is being ignored for some reason. This may be the case if the counterparty to the transaction is not a person, but something generic and global. For example, it can be the exchange itself, or the market maker. Then the meaning of the flag is clear.
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