Hi there - trying to understand the relationships of exported bid, ask and last tick data.
Per the 'import' description on file formats, each of the data sets has last, bid, ask and volume following time stamps: So for file containing Last data ... for CL 03-16
20160208 060000 6870000;31.18;31.17;31.18;4
20160208 060001 4330000;31.17;31.17;31.18;1
20160208 060001 8820000;31.18;31.17;31.18;1
20160208 060009 9100000;31.17;31.17;31.18;1
20160208 060009 9100000;31.17;31.17;31.18;1
Meaning at 06000 UTC at 687 ms ... 4 contracts were traded at 31.18 (at the ask). Now pulling the same approximate time period of ask and bid data ....
ASK:
20160208 060000 6870000;31.18;31.18;31.19;44
20160208 060000 6870000;31.18;31.18;31.19;43
20160208 060000 6870000;31.18;31.18;31.19;42
20160208 060000 7260000;31.18;31.18;31.19;41
20160208 060001 8820000;31.18;31.18;31.19;40
Looking at the Ask data from 687 ms on ... it looks like bid should have been 31.18 now and revised contracts of 44, 43, 42 were at the new ask of 31.19. But if I look at the bid sequence...
BID:
20160208 060000 7300000;31.17;31.17;31.18;3
20160208 060001 0150000;31.17;31.17;31.18;2
20160208 060001 4330000;31.17;31.17;31.18;1
20160208 060001 4330000;31.17;31.17;31.18;2
20160208 060001 7810000;31.17;31.17;31.18;3
20160208 060004 7810000;31.17;31.17;31.18;2
20160208 060006 7730000;31.17;31.17;31.18;3
20160208 060007 4290000;31.17;31.17;31.18;4
20160208 060007 6560000;31.17;31.17;31.18;3
20160208 060008 5270000;31.17;31.17;31.18;5
20160208 060009 9100000;31.17;31.17;31.18;6
20160208 060009 9100000;31.17;31.17;31.18;3
20160208 060009 9100000;31.17;31.17;31.18;4
20160208 060011 7300000;31.17;31.17;31.18;5
It looks like the bidxask is 31.17x31.18 ...
Am I reading the exported data wrong>>??? Please help ....
It is not clear to me what the 'last' datapoint is for the Bid and ask ... doesn't seem to line up with the last trades that occurred in the case of Bid file as it says 31.17
Rob
Per the 'import' description on file formats, each of the data sets has last, bid, ask and volume following time stamps: So for file containing Last data ... for CL 03-16
20160208 060000 6870000;31.18;31.17;31.18;4
20160208 060001 4330000;31.17;31.17;31.18;1
20160208 060001 8820000;31.18;31.17;31.18;1
20160208 060009 9100000;31.17;31.17;31.18;1
20160208 060009 9100000;31.17;31.17;31.18;1
Meaning at 06000 UTC at 687 ms ... 4 contracts were traded at 31.18 (at the ask). Now pulling the same approximate time period of ask and bid data ....
ASK:
20160208 060000 6870000;31.18;31.18;31.19;44
20160208 060000 6870000;31.18;31.18;31.19;43
20160208 060000 6870000;31.18;31.18;31.19;42
20160208 060000 7260000;31.18;31.18;31.19;41
20160208 060001 8820000;31.18;31.18;31.19;40
Looking at the Ask data from 687 ms on ... it looks like bid should have been 31.18 now and revised contracts of 44, 43, 42 were at the new ask of 31.19. But if I look at the bid sequence...
BID:
20160208 060000 7300000;31.17;31.17;31.18;3
20160208 060001 0150000;31.17;31.17;31.18;2
20160208 060001 4330000;31.17;31.17;31.18;1
20160208 060001 4330000;31.17;31.17;31.18;2
20160208 060001 7810000;31.17;31.17;31.18;3
20160208 060004 7810000;31.17;31.17;31.18;2
20160208 060006 7730000;31.17;31.17;31.18;3
20160208 060007 4290000;31.17;31.17;31.18;4
20160208 060007 6560000;31.17;31.17;31.18;3
20160208 060008 5270000;31.17;31.17;31.18;5
20160208 060009 9100000;31.17;31.17;31.18;6
20160208 060009 9100000;31.17;31.17;31.18;3
20160208 060009 9100000;31.17;31.17;31.18;4
20160208 060011 7300000;31.17;31.17;31.18;5
It looks like the bidxask is 31.17x31.18 ...
Am I reading the exported data wrong>>??? Please help ....
It is not clear to me what the 'last' datapoint is for the Bid and ask ... doesn't seem to line up with the last trades that occurred in the case of Bid file as it says 31.17
Rob
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