Between best bid and offer volume dots

Market data, Trading, Technical support, Features requests, etc
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Between best bid and offer volume dots

Post by berenis » Thu Nov 21, 2019 11:09 am

I don't know if this behavior is by design but I find it highly misleading.

Sometimes there are volume dots between best bid and ask. 
The reality is that trade never happened between bid and ask.

See attached image, you see a trade between best bid and ask. When you zoom, you realize it was an average of 2 separate trades, one on bid, one on ask.
You can see my setting with no clustering enabled.

Note that this only seems to happen with historical, downloaded data, not data as it is live. Still, I find this an unwanted behavior.
Is it supposed to be like this by design?
settings.JPG (75.81 KiB) Viewed 1677 times
Trade between bid and ask
betweenbidask.JPG (18.11 KiB) Viewed 1677 times
Trade between bid and ask zoomed
betweenbidaskzoomed.JPG (17.73 KiB) Viewed 1677 times

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Re: Between best bid and offer volume dots

Post by AndreyR » Fri Nov 22, 2019 9:53 am

Downloaded DxFeed data is aggregated by seconds so if more than one dots get into a one-second interval they'll be shown as happening in one moment of time (see the time 21:26:13.000 on your screenshot).
Currently, even with no clustering volume dots get aggregated when zooming out if multiple dots fall into same pixel horizontally. If that is misleading for you please create a new feature request.
You may also want to set volume display options to "Total" (not "Volume delta") so the dot gets painted both in buy and sell colors.

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