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NSDQ has a tool called "Market Replay" that shows historical bid/ask ploted vs time rather than bars as it is more commonly displayed.
It is a much clearer way to visualize the data, but needs data tagged to the ms. They recently released a free version targeted for retail traders.
In many cases, there is a LOT of bid/ask movment and it is more like a fuzzy line than a constant value.
Trying to inspect bid/ask data would be time consuming, true.
But consider some cases where it can be useful:
* It shows the spread, a good measure of liquidity and indication of the cost of a market order.
* In a slow market, ticks can be far apart, resulting in gaps between bars. But, the bid sometimes shows the drop before a trade is recorded. I have dabbled with using the bid to trigger a exit, but I have no way to backtest it.
--- In amibroker@xxxxxxxxxxxxxxx, Howard B <howardbandy@xxx> wrote:
>
> Greetings all --
>
> In a conversation I had recently with a practitioner of high frequency
> trading, including flash trading, he pointed out that it is not unusual for
> bids and offers to be modified many times for every trade that is eventually
> executed. Many means somewhere between two or three times and several
> hundred times -- much of that activity taking place in millisecond and
> microsecond time frames.
>
> In other conversations and in my own experience, traders often place an
> order with a bid or ask price designed to learn something about the market,
> but have no intention of being filled. One fellow described these orders as
> "cancel if close".
>
> In my opinion, bid and ask prices do not add information that is helpful to
> individuals and small trading organizations.
>
> Thanks,
> Howard
>
>
>
> On Mon, Nov 23, 2009 at 9:57 AM, Tomasz Janeczko <groups@xxx>wrote:
>
> >
> >
> > Hello,
> >
> > Bid and asks are sent by IQFeed and eSignal and IB,
> > and they are shown in Time&Sales window in AmiBroker.
> > http://www.amibroker.com/guide/w_timesales.html
> >
> > Historical data is different story. Various feeds supply various
> > information.
> > IB does not deliver tick historical data at all (best resolution is 1
> > second).
> > IQFeed as written below delivers historical tick data in form of TRADES
> > only.
> > eSignal depending on request you send can deliver trades only, bid/ask only
> > or both (including
> > all bid/ask changes that happen *between* trades).
> > Access to historical bid/ask was not given in form of arrays in AB because
> > of differences outlined above (only some sources deliver necessary info),
> > and because
> > there was no room in quotation structure. With recently introduced changes
> > (added aux1/aux2 fields)
> > now it is technically possible to deliver historical bid/ask matching trade
> > records (the way IQfeed does)
> > but that requires extra code in the plugin(s) and it is under development.
> >
> > Note also that in the past I have been doing research on bid/ask
> > relationship vs trade prices
> > and found that there is really lots of manipulation occuring on bid/ask and
> > level2 books and
> > hypothesis that relationship between bid/ask/trade is market driving force
> > was found to be false.
> > People often forget that nowadays lots of trades come from dark liquidity
> > pools as they are required
> > to report trades made but they are not required to report quotes (bid/ask)
> > so they don't appear
> > in order books *at all*. You won't see any quote from dark pools. You will
> > see the trades, but they
> > are reported with delay as large as possible.
> >
> > So called "alternative trading systems" (dark pools among others) are
> > required to report trades to the Consolidated Tape on a
> > 90-second delay.
> >
> > This leads to very distorted picture and makes bid/ask analysis very
> > questionable.
> >
> > Best regards,
> > Tomasz Janeczko
> > amibroker.com
> >
> > ----- Original Message -----
> > From: "iqfeed" <iqfeed@xxx <iqfeed%40dtn.com>>
> > To: <amibroker@xxxxxxxxxxxxxxx <amibroker%40yahoogroups.com>>
> > Sent: Monday, November 23, 2009 4:18 PM
> > Subject: [amibroker] Re: Tick data, how important is bids/asks?
> >
> > > Just to clarify, IQFeed does provide bid/ask quotes in the stream. We
> > send every trade, as well as every bid/ask price and volume
> > > update. We don't store each bid/ask update in history however. Instead,
> > we only store trades, and the bid/ask price at the time
> > > of the trade which allows 3rd party software to determine if a trade
> > occured at the bid or the ask. Trades are often interpreted
> > > as a buy or a sell based on if the trade hit the bid or ask and we
> > provide the information needed to determine this.
> > >
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx <amibroker%40yahoogroups.com>, "Potato
> > Soup" <potatosoupz@> wrote:
> > >>
> > >> I'm working with IQFeed tick data. They don't seem to provide bid/ask
> > quotes, just trades. What's the consensus on whether this
> > >> matters? I've seen it argued that a lot of games go on with quotes,
> > fakeouts, etc. And that trade ticks are all that matter.
> > >> Seems though for less liquid instruments you'd really want updated
> > quotes, or the true price could be quite far from the last
> > >> trade.
> > >>
> > >> I realize most AmiBroker users don't trade on ticks, but thought I'd ask
> > here for comment anyway.
> > >>
> > >
> > >
> > >
> > >
> > >
> > > ------------------------------------
> >
> > >
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> > > This is *NOT* technical support channel.
> > >
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> > > SUPPORT {at} amibroker.com
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> > >
> > >
> > >
> >
> >
> >
>
------------------------------------
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