ask/ bid series

[spottysallrite]

For a given bar (eg, 1 minute), should the volume of the ask series plus the volume of the bid series equal the volume of the last series?

[NinjaTrader_JoshG]

Hello spottysallrite,
Thanks for your post.

I would not expect for the Ask/Bid Series volumes to add up to the total volume for the Last series.

[spottysallrite]

ok, why not ?

[NinjaTrader_JoshG]

This is because the historical bid/ask series holds all bid/ask events sent out by the exchange. This would not be equivalent to the bid/ask at a specific time a trade went off. The reason bid/ask events do not necessarily correspond to trades is because the bid or ask can change without a trade taking place (e.g. in case the best bid or ask withdrew their order or changed the quantity and then the next best bid or ask is selected and an event is fired off for that)

The reason you see that bid and/or ask volume can be bigger than last volume is for two reasons:

1. Volume on the bid/ask series represents the volume of orders resting at that price, not the volume of orders which were filled at that price.
2. Because the bid/ask series added by the script are not 1 tick series, they are accumulating the resting volume-at-price for the whole period (in this case 1 minute).

If you want to track the bid/ask events which were actually traded (e.g. to match bid/ask volume to last volume) you should be using OnMarketData w/ tick replay and not added ask/bid series.

Help Guide- OnMarketData()

Let me know if you have any further questions.