Another question about Ask, Bid and Last historical volume

[fx.practic]

I am sure, this question was asked already a lot of times. But I didn't find answer on forum. Sorry.

On screenshot 3 time-series an their volumes:

• CL 10 min, Last
• CL 10 min, Ask
• CL 10 min, Bid

It can be logically if Last volume == ( Ask volume + Bid volume) on each bar.
But we see that 13 300 != (310 000 + 348 000) on last bar, for example.

Why?

[NinjaTrader_Matthew]

Ask/Bid series are not executions, they're updates sent out by the exchange. The chart volume indicator is saying there were 310,000 ask events during that 10 minute period, etc.

[fx.practic]

Thank You, Matthew.

And I'd like to ask about some details:

1) Are these events concern whole level 2 or just current ask / bid ?
2) What exactly events? Submit order, Cancel order, Fill order, Change order, Partial fill order, right ?
3) Can we see real historical ask and bid volumes in NT8 ?

[NinjaTrader_Matthew]

It is just level 1 data-> what you're seeing is volume at the best bid/ask price, but no deeper.

These events are contracts advertised at the best/bid offer which have not executed. Changes in the volume could represent all you mentioned: Submits/changes/cancels/fills. There is no message attached with that info so it's up to your interpretation if the ask volume goes from 20 to 15.

NinjaTrader 8 has a 'Tick replay' mode which gets you historical volume executions at the best bid/ask if you have this type of tick data and an indicator programmed to use this volume historically.

[fx.practic]

Thank You.