Determine if a Trade Tick is traded on the Bid / Ask side

To determine if a trade tick is traded on the bid or ask side using QuantConnect, you can follow these steps:

1. Access Tick Data: Use the Tick class to access tick data, focusing on properties like bid_price, ask_price, and last_price.

2. Compare Prices: For each tick, compare the last_price with the bid_price and ask_price to determine its position relative to these prices.

3. Identify Trade Side:

   • If the last_price is equal to or less than the bid_price, classify the trade as occurring on the bid side.
   • If the last_price is equal to or greater than the ask_price, classify it as occurring on the ask side.

4. Flag Suspicious Ticks: Use the suspicious method to flag ticks that occur outside the normal bid-ask range, as these might indicate hidden orders or other anomalies.

5. Aggregate Data: Collect and aggregate this tick data over a specified period to simulate the footprint chart, showing the volume of trades on the bid and ask sides.

6. Visualize Data: Use QuantConnect's charting capabilities to visualize the aggregated data, creating a footprint chart that displays the volume of trades on each side.

Here's a basic implementation in Python:

class TradeAnalyzer(QCAlgorithm):
    def initialize(self):
        self.set_start_date(2022, 1, 1)
        self.set_end_date(2022, 12, 31)
        self.set_cash(100000)
        self.add_equity("SPY", Resolution.TICK)
        self.bid_volume = 0
        self.ask_volume = 0

    def on_data(self, slice: Slice):
        for tick in slice.ticks["SPY"]:
            if tick.last_price <= tick.bid_price:
                self.bid_volume += tick.quantity
            elif tick.last_price >= tick.ask_price:
                self.ask_volume += tick.quantity
            else:
                tick.suspicious = True

        self.plot("Trade Volume", "Bid Volume", self.bid_volume)
        self.plot("Trade Volume", "Ask Volume", self.ask_volume)

This code initializes a trading algorithm that tracks the volume of trades on the bid and ask sides for the SPY ticker. It uses the Tick class to access tick data and classify trades based on their last price relative to the bid and ask prices. Suspicious ticks are flagged, and the trade volumes are plotted for visualization.

Sources: US Equities - QuantConnect.com, Data Preparation - QuantConnect.com, CFD - QuantConnect.com, Using Data - QuantConnect.com, Intraday Arbitrage Between Index ETFs