Fins in the glass - trying to understand what happened by the ticks - page 4
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It is difficult to interpret the data taken from the MT. The trades at the price 65821(2) took place either with the buy side (Ask) or with the sell side (Bid) However neither Ask nor Bid displayed the declared price, neither before nor after 11.979. I dare to suggest that it is the effect of the simultaneous matching of the limit orders in both directions: two opposite limit orders bind each other before the Ask/Bid price has formed. This can happen in times of gaps or such cases.
Do you think the tape is different in Quicksilver in this timeframe? It would be good to find someone with a real account and compare the feeds.
Judging by the real Time&Sale this seconds (13:00:11) you have completely mixed up ticks and the volume aggregation is wrong.
In the correct sequence, all the ticks in that second are a huge rise from 65811 to 65875, there was no fall. And the bid is not a sell, but a buy on the market. This is clear from the fact that the delta on the aggressor is positive on all ticks, and the OI increases after every tick since the 2nd. Here are the screenshots: https://yadi.sk/i/J5AlohMRysoqLg and https://yadi.sk/i/M2C1iQYo5jvkBQ
Alexey, you'd better ask this question to exchange support. I think then everything will fall into place.
Perhaps I will, unless a sensible explanation can be found. I see similar movements from time to time in the stock market, but with smaller volumes and their nature interested me even earlier, and here is such an indicative case with a strong movement.
You never know what the tester might tell you. Have you looked at the accuracy of the story? If we had a real account, we could discuss it. My real ask/bid jumped 50 pips without a single trade. It was either a glitch or reality. I did not want to make a fuss, I just fine-tuned my Expert Advisor to confirm the quote prices with trades (as it happens on the exchange).
The file is the one given by the broker from the real account. Where do you get it more accurately?
One trade = one tick. As many trades, so many ticks. There is no difference between a "trade" and a "tick".
Are you sure?
Probably a bit of a misconception. On Si market makers because it is liquid, not the other way around.
And about liquidity provision, think about it yourself, is the general interest of the participants capable of restoring the cup quickly. And why would they do that, that's exactly MM's job?
And MMs, be they brokers or anyone else, are not chasing studs, they are patching holes after studs.
I also think so - MM closes the hole immediately in the transaction and therefore gets an advantage over the other participants, which is not good. And, once the cup is saturated with participants, he simply removes his bids.
I won't chew any more of it. A fantasist will always understand another fantasist.
I don't like arrogant people.
Your hypothesis is understandable, but it has no substantiation and confirmation.
Do you think the feed is different in Quicksilver in this timeframe? It would be good to find someone with a real account and compare the feeds.
I would unload from Quickk, but it seems there is no easy way to do it there - there is an option to export to third party software, but the software has to be installed for that. Or do you know another way to do it?
Judging by the real Time&Sale this seconds (13:00:11) you have completely messed up ticks and the volume aggregation is wrong.
In the right order, all ticks in this second are going up from 65811 to 65875, there was no fall. And the bid is not a sell, but a buy on the market. This is clear from the fact that the delta on the aggressor is positive on all ticks, and the OI increases after every tick since the 2nd. Here are the screenshots: https://yadi.sk/i/J5AlohMRysoqLg and https://yadi.sk/i/M2C1iQYo5jvkBQ
Yes it is clear that there was a buy on the market, why would you assume otherwise? The global question is in the tail - where did it come from?
It is very difficult to analyse the picture, post the file with quotes, by the way, where did you get it from?
And it can't be a solid rise without a pullback - the chart shows a hairpin on the minute.