Hi I have streaming data from ActiveTicks API. Currently I have been able to stream the tape in real time. The tape has lots of flags and conditions such as those attached in the files of this post. However, none of these fields indicate if the trade was a buy or sell. Can anyone tell me how I establish this from reading the consolidated trade tape?
I am looking for answers rather than questions if at all possible. Is it as simple as comparing the sale price with the bid or the ask?
The answer to my question is the answer to your question. With all due respect, if you don't know the answer, then I would suggest you to learn trading from the beginning, or something like 'trading for dummies'.
Thanks for the advice. It must be a book you've read many times I guess? It would have been helpful for you to simply say that the tape doesn't show you if it fills at the bid or the ask and you have to determine this yourself. But thanks anyway.
What he means is that a trade is a transaction between a seller and a buyer. So it’s always a sell for one and a buy from the other. To answer your question, if a trade happens at the bid price, it’s more likely that a seller was more aggressive, and if the trade goes off at ask price, it’s most likely that buyer was more aggressive. So if you see multiple trades at ask prices, it’s interpreted by traders as aggressive buying is happening.
The tick won’t tell you if it was an aggressive buy or aggressive sell. You can try matching the price with the quote. But if you are not receiving a fast feed, you may not receive all the quotes - they may be just a snapshot every few milli sec. You will see this often during market open.
thank you sandy and qlai. Really helpful. I have managed to get a quote stream and a trade stream to sync so this works really well. Thanks again.