Per this help guide, Continuum data arrives pre-timestamped.
The main question: when timestamps are equal for multiple ticks in a row (down to the millisecond) on a 1 tick chart, can we assume the price action for that specific timestamp is the result of one or more market orders filling multiple limit orders on the order book? Since each tick is an individual trade, three ticks in a row with the same timestamp could be the result of three limit sell orders at the ask (arranged by FIFO) filled by one market buy order at the ask with volume equal to the sum of the individual tick volumes, right?
Obviously market orders can arrive and execute on the exchange in sub-millisecond intervals. Does Ninjatrader show the timestamp as it's received from Continuum, or is there any "bucketing" / "rounding" of trade times into single millisecond-level buckets to then show on the chart?
I am trying to arrive at an understanding like this (hope ASCII table format comes through):
[FONT=Courier New]| | All same times | All different times | |---------------|---------------------------------------|--------------------------------------| | All different | Large market order fills limit orders | Nothing special to infer [/FONT][FONT=Courier New] |[/FONT] [FONT=Courier New]| prices | at continuously different prices | | |---------------|---------------------------------------|--------------------------------------| | All same | Large market order fills (smaller) | [/FONT][FONT=Courier New]Small market orders "eating away at"[/FONT][FONT=Courier New] | | [/FONT][FONT=Courier New]prices[/FONT][FONT=Courier New] | limit orders at same price | [/FONT][FONT=Courier New]a large limit order |[/FONT] [FONT=Courier New]|---------------|---------------------------------------|--------------------------------------|[/FONT]
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