Historical data issue

[arthur0712]

Hi team,

I just pulled out the historical data for ESH with 1 min dataframe, on ask, bid and last. However, There are something strange while I comparing them:

See the snapshot below,

on 2024-01-01 23:01 (I set it as Eastern time), the trading volumes are 1483 (last), 14455 (bid), and (13787)

By my understanding, the trading volume of last min bar should be the sum of volumes from ask and bid, or I have some mistake here?

Thanks,

[arthur0712]

Anyone can help?...

[NinjaTrader_Erick]

Hello arthur0712 ,

Thank you for reaching out.

The bid price represents the highest-priced buy order that's currently available in the market. The ask price is the lowest-priced sell order that's currently available or the lowest price that someone is willing to sell at. The last price represents the price at which the last trade occurred.

The Last price is the last traded price for the instrument which could be different from the ask/bid price depending on the market.

It is either the bid or the ask price, depending on which was submitted most recently.

Please let us know if we may be of further assistance.

[arthur0712]

Thanks Erick,

Just a recap, Ask and bid volumes are not excuted trading voluimes, but the size of top level orderbook. (basically a snapshot on every minute)

Then for the volume on last price, should be the excuted orders during that minute, am I correct?

in my snapshot, it means there are 1483 excutions from 2301 to 2302, right?