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ask-bid spreads differences from Ask/Bid files

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    ask-bid spreads differences from Ask/Bid files

    Hi there,

    I computed the ask-bid spread for ZN in three different ways using Ask and Bid historical data files.

    1) Ask[ask price]-Ask[bid price]
    2) Bid[ask price]-Bid[bid price]
    3) Ask[ask price]-Bid[bid price]

    Using the same timestamp, 1) and 2) yielded mostly 1-tick spreads. However, 3) is yielding twice as much spread, that is 2-tick spreads. I have been struggling with the differences between two types of files (Ask and Bid) and there seems to be some differences in bid and ask prices (between the two files) that I have not been able to understand from the explanations received here.

    Here is an example for the exact same time stamp:

    ZN_ASK:
    last price 126.562500
    bid price 126.562500
    ask price 126.578125
    volume 1583.000000
    Name: 2017-06-16 02:56:16.238000-04:00, dtype: float64

    ZN_BID:
    last price 126.546875
    bid price 126.546875
    ask price 126.562500
    volume 1035.000000
    Name: 2017-06-16 02:56:16.238000-04:00, dtype: float64

    Why are these values different for the same given time stamp (Name: 2017-06-16 02:56:16.238000-04:00, dtype: float64)?

    Thank you!

    #2
    Hello Pedro,

    Can you please tell me to what data feed/broker you connect in NinjaTrader. Could it be there are multiple ticks at the same time stamp?

    If you check the time stamp at Control Center-->Historical Data-->Edit-tab for both Bid and Ask, do you see the same data as you exported? Please note that exported data is in UTC time zone, while NinjaTrader can be set to a different time zone. You can set the time zone in NinjaTrader at Control Center-->Tools-->Options-->General.
    JasonNinjaTrader Customer Service

    Comment


      #3
      Hi Jason,
      Thanks for your reply. I am using NinjaTrader Continuum. Sometimes there are multiple ticks or trades with the same time stamp (often at the same prices across the board). In the case of multiple ticks, I am currently choosing the last tick to represent the prices for that time stamp (here however, there is only one tick for the given time stamp). I am also aware of the timezone difference. In any case, here's the ZN 09-17 data as visible from NT:

      ZN_ASK


      ZN_BID


      As seen above, the prices are different at exact same time stamp (but they match the "last price" and "volume" I listed earlier showing the discrepancy).

      Pedro

      Comment


        #4
        When there are instances of multiple ticks at the same timestamp I would suggest also viewing the Last series at the same time to see how the three resolve and to get the full view of what is occurring.
        Christopher J.NinjaTrader Customer Service

        Comment


          #5
          Thanks for the tip! Would love to hear more about we can leverage the 3 series together, perhaps we already have some written material I can be pointed to?

          Also, looking forward to understanding the reason behind the whole tick difference between the prices in the different series as described below. Thank you.

          Pedro

          Comment

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