trade bid and ask
Help with understanding.
There are two examples.
I need to understand trade by ask or bid
I want to count VOL ACCUMULATED of ASK trade and VOL ACCUMULATED of BID trade. How do I correctly identify FID 178 (this is bid or ask)?
the support service usually gives the FID dictionary, but I don't understand how it is correct to identify ask_trade and bid_trade to understand which quantity in the FID 32 is ask_trade and which quantity is bid_trade
1.
ECSSZ9,Market Price,2009-09-20T17:00:24.752509000-05,Raw,UPDATE,UNSPECIFIED,,,,115,,7312,,6 ,,,FID,25,,ASK,1.4694, ,,,FID,22,,BID,1.4693, ,,,FID,30,,BIDSIZE,1, ,,,FID,31,,ASKSIZE,10, ,,,FID,379,,SALTIM,22:00:24.000000000, ,,,FID,1021,,SEQNUM,359, ECSSZ9,Market Price,2009-09-20T17:00:25.128488000-05,Raw,UPDATE,UNSPECIFIED,,,,115,,7342,,15 ,,,FID,5,,TIMACT,22:00:00.000000000, ,,,FID,18,,TRDTIM_1,22:00:00.000000000, ,,,FID,379,,SALTIM,22:00:24.000000000, ,,,FID,6,,TRDPRC_1,1.4693, ,,,FID,393,,PRIMACT_1,1.4693, ,,,FID,270,,ACT_TP_1,2,#20DE# ,,,FID,280,,SC_ACT_TP1,2," -" ,,,FID,11,,NETCHNG_1,-0.0027, ,,,FID,275,,SEC_ACT_1,-0.0027, ,,,FID,14,,PRCTCK_1,1,#DE# ,,,FID,178,,TRDVOL_1,1, ,,,FID,32,,ACVOL_1,180, ,,,FID,77,,NUM_MOVES,25, ,,,FID,1021,,SEQNUM,369, ,,,FID,56,,PCTCHNG,-0.18,
2.
ECSSZ9,Market Price,2009-09-20T17:00:03.892445000-05,Raw,UPDATE,UNSPECIFIED,,,,115,,6910,,6 ,,,FID,25,,ASK,1.4696, ,,,FID,22,,BID,1.469, ,,,FID,30,,BIDSIZE,1, ,,,FID,31,,ASKSIZE,20, ,,,FID,379,,SALTIM,22:00:03.000000000, ,,,FID,1021,,SEQNUM,214, ECSSZ9,Market Price,2009-09-20T17:00:04.514500000-05,Raw,UPDATE,UNSPECIFIED,,,,115,,6926,,15 ,,,FID,5,,TIMACT,22:00:00.000000000, ,,,FID,18,,TRDTIM_1,22:00:00.000000000, ,,,FID,379,,SALTIM,22:00:04.000000000, ,,,FID,6,,TRDPRC_1,1.469, ,,,FID,393,,PRIMACT_1,1.469, ,,,FID,270,,ACT_TP_1,3,#20FE# ,,,FID,280,,SC_ACT_TP1,2," -" ,,,FID,11,,NETCHNG_1,-0.003, ,,,FID,275,,SEC_ACT_1,-0.003, ,,,FID,14,,PRCTCK_1,2,#FE# ,,,FID,178,,TRDVOL_1,1, ,,,FID,32,,ACVOL_1,167, ,,,FID,77,,NUM_MOVES,20, ,,,FID,1021,,SEQNUM,226, ,,,FID,56,,PCTCHNG,-0.2,
Which FID to focus on to understand where the deal is done by bid or by ask
Hello @s61670,
From my understanding of the below information in RDMFieldDictionary:
TRDVOL_1 "TRADE VOL" 178 TRDVOL_2 INTEGER 15 REAL64 7 ! ! Number of shares, lots or contracts traded in the most recent transaction, the ! transaction price reported in TRDPRC_1. !
TRDVOL_1, fid 178 reflects neither BID nor ASK. It reflects the transaction price TRDPRC_1
Same is true for
ACVOL_1 "VOL ACCUMULATED" 32 NULL INTEGER 15 REAL64 7 ! ! Accumulated number of shares, lots or contracts traded according to the market ! convention
Accumulated number of shares TRADED, rather then quoted,
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