Let's assume my strategy updates with each tick. My understanding is as follows:
When I get a result for "GetCurrentAskVolume(0)" it represents the exhange's reported volume of shares/contracts offered at the Ask price at the instant my computer make its 1 tick pass through the code. It's an instant snapshot. During the course of the single tick the volume figure can and does change, but the intial snapshot is what I've got because the strategy is only updated once per tick.
When I get a result for "BuySellVolume().Buys[0]" I'm no longer dealing with shares/contracts offerred. We're talking actual transactions reported AT AND ABOVE the Ask price at the instant of the snapshot. No unfilled orders are included in the "BuySellVolume().Buys[0]" result. As is the case with "GetCurrentAskVolume(0)", the figure can and does change during the course of the tick, but we don't have supercomputers scanning code every nanosecond, so our strategies work with the once-per tick snapshot.
Have I got the basic picture? If not, please set me straight. Thanks.
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