Between best bid and offer volume dots

Market data, Trading, Technical support, Features requests, etc
berenis
Posts: 14
Joined: Sat Oct 26, 2019 1:18 am
Been thanked: 3 times

Between best bid and offer volume dots

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

Hi,
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?
Attachments
settings.JPG
Settings
settings.JPG (75.81 KiB) Viewed 3327 times
betweenbidask.JPG
Trade between bid and ask
betweenbidask.JPG (18.11 KiB) Viewed 3327 times
betweenbidaskzoomed.JPG
Trade between bid and ask zoomed
betweenbidaskzoomed.JPG (17.73 KiB) Viewed 3327 times

Andry API support
Posts: 548
Joined: Mon Jul 09, 2018 11:18 am
Has thanked: 25 times
Been thanked: 85 times

Re: Between best bid and offer volume dots

Post by Andry API support » 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.

Post Reply