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Hello,
In a previous life as discretionary trader, I was reading the T&S where every trade (or group of trades) is displayed either in:
- green (Ask Trade = a buyer initiated a market order which consumed the liquidity that was in the order book under the form of a sell limit order)
- or in red (Bid trade = a seller initiated a market order which consumed the liquidity that was in the order book under the form of a buy limit order)
Is this information - whether a trade is an Ask or Bid trade - is available in futures tick data TradeBars or QuotesBars ?
Louis Szeto
Hi Jonathan
We don't directly provide this information. You may take a look at this similar thread and tweak for your own implementation. For more Futures information, please refer to this doc.
Best
Louis
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Jonathan Krief
Ok, thanks Louis. The similar thread return a 404 error.
Nico Xenox
Try this one:
Jonathan Krief
Thanks !
Jonathan Krief
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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