Identifying seller/buyer side from IB's tick data

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ryu557
Posts: 3
Joined: Mon Jan 28, 2019 8:24 am

Identifying seller/buyer side from IB's tick data

Post by ryu557 » Mon Jan 28, 2019 8:37 am

Hi,

Can you please explain how you determine the buyer/seller side (the red/green pie-charts in your visualization) from the IB's tick data?

I've been working with IB's API for a few months and AFAIK, none of their data have any labels or sides pre-determined. The most commonly used call for tick data when viewing live is `reqTickByTickData` with tick type field set to `BidAsk`. The data you get will have bidPrice, askPrice, bidSize and askSize fields. Does Bookmap assume that the bids are buyers and the ask are sellers?

ryu557
Posts: 3
Joined: Mon Jan 28, 2019 8:24 am

Re: Identifying seller/buyer side from IB's tick data

Post by ryu557 » Tue Jan 29, 2019 4:47 pm

no replies? is the forum dead?....

Svyatoslav
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Re: Identifying seller/buyer side from IB's tick data

Post by Svyatoslav » Wed Jan 30, 2019 10:42 am

Hi! When trade is received from a data source that does not provide aggressor information (or other info that allows to determine it reliably) bookmap tries to determine the aggressor based on relative position of the trade (i.e. trade on best bid usually means that seller is aggressor). Quality of detection heavily depends on the quality of incoming data (it can be 100% reliable in the best case).

ryu557
Posts: 3
Joined: Mon Jan 28, 2019 8:24 am

Re: Identifying seller/buyer side from IB's tick data

Post by ryu557 » Thu Jan 31, 2019 4:02 pm

Svyatoslav wrote:
Wed Jan 30, 2019 10:42 am
Hi! When trade is received from a data source that does not provide aggressor information (or other info that allows to determine it reliably) bookmap tries to determine the aggressor based on relative position of the trade (i.e. trade on best bid usually means that seller is aggressor). Quality of detection heavily depends on the quality of incoming data (it can be 100% reliable in the best case).
Thanks for the reply!
In the demo mode, I see AAPL data. Even though it's delayed, since it's data from one of your data providers, can I reliably assume in the pie charts, green are buyers and red are sellers? or can I only assume green = bid and red = ask?

Sandra
Posts: 6
Joined: Wed Dec 12, 2018 12:37 pm

Re: Identifying seller/buyer side from IB's tick data

Post by Sandra » Fri Feb 01, 2019 7:26 am

ryu557 wrote:
Thu Jan 31, 2019 4:02 pm
Svyatoslav wrote:
Wed Jan 30, 2019 10:42 am
Hi! When trade is received from a data source that does not provide aggressor information (or other info that allows to determine it reliably) bookmap tries to determine the aggressor based on relative position of the trade (i.e. trade on best bid usually means that seller is aggressor). Quality of detection heavily depends on the quality of incoming data (it can be 100% reliable in the best case).
Thanks for the reply!
In the demo mode, I see AAPL data. Even though it's delayed, since it's data from one of your data providers, can I reliably assume in the pie charts, green are buyers and red are sellers? or can I only assume green = bid and red = ask?
Hi! That's correct. Please get more info from this short video.

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