Questions tagged [ask]
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25 questions
0 votes
0 answers
87 views
Tick bid greater than tick ask (negative spread)?
I am parsing tick data using a Perl script and have come across instances where the BID is greater than the ASK for a given tick. Should I assume this is an error in the tick data (as published) and ...
- 125
0 votes
0 answers
104 views
How to mathematically model Bid and Ask as two separate processes, and combine into a Price process?
Let's say you were modeling bid and ask as two separate processes. With their own mean and variance. And with the constraint that ask must be greater than or equal to bid. How would you then ...
- 113
1 vote
1 answer
406 views
The bid-ask spread before transactions
They are a lot of ways to compute an "estimated bid-ask spread". The most straightforward one is to sample the bid-ask on a regular time grid (for instance every second), but that for you ...
- 141
0 votes
1 answer
198 views
Estimate Open, High and Low prices from bid, ask and close prices
I know it's possible to efficiently estimate bid/ask spreads from OHLC prices and there are several methods to do so. However I have a data source that contains only bids, asks and close prices, no ...
- 2,244
4 votes
1 answer
1k views
Assistance understanding relation between the "Bid-ask bounce" and the "Tick rule"+"Quote rule"
I need some assistance in understanding the relation between the "bid-ask bounce" and "the tick rule" + "quote rule". The two rules mentioned above are used to classify ...
0 votes
1 answer
410 views
Interpreting an Order Book (example Kraken.com)
An (forex) Order Book (OB) for a trading (forex) pair (e.g. XBT-USD) has ASK and BID rows. Each row has PRICE and VOLUME (at least). Each row represents an offer for selling or buying a maximum of ...
- 101
0 votes
1 answer
118 views
Why the highest transaction price of stock in a time period can be higher than a sell limit order price, but the order is not filled?
Sometimes a sell limit order is not filled in a period even when the highest transaction price is higher than the limit order price. I don't understand why this could occur. The fact that the ...
- 107
2 votes
2 answers
829 views
using bid ask prices to imply bid ask volatilities
Let's say i have bid / ask feed of an option prices (across strikes and expiries, calls and puts), what is the accurate way of implying out vols from these bid / asks For eg; to get the bid vol, ...
- 21
1 vote
0 answers
432 views
What are CloseoutBid and CloseoutAsk Prices?
Using Oanda's streaming API I get typical output as shown below: ...
- 2,234
2 votes
1 answer
726 views
Confusion about bid- ask- and last-prices from option prices data
I’m struggling with the interpretation of quoted option prices I obtained from Bloomberg. The call options prices are available for a daily time series with different strikes at a given day. I ...
- 175
1 vote
0 answers
192 views
FX Volatility surface bid/ask
I have bid/ask vols (straddles, risk-reversals and market strangles) for FX pairs, I want to create a mid/bid/ask volatility surface in strike/maturity space after a consistent smile calibration ...
- 615
4 votes
3 answers
7k views
What is the order flow imbalance?
The price impact of order book event is an arxiv article which shows that, over short time intervals, price changes are mainly driven by the order flow imbalance, defined as the imbalance between the ...
- 329
2 votes
1 answer
1k views
When converting Tick to OHLC, which field do I use for Open and Close: bid or ask?
I can't find a definitive answer for this: When generating (compressed) OHLC records from tick data, which field do I use for the Open and Close? Highest Ask for timeframe High makes sense; Lowest ...
- 125
2 votes
0 answers
67 views
Precise calculation of the last price
This might sound like a rather trivial question but how exactly is the last price in a market (let's assume stocks) quoted? "The last transaction" is not really precise. Let's assume there is a ...
- 133
1 vote
0 answers
191 views
Bond liquidity: why do I observe constant bid-ask spreads?
I hope you can help me. I want to use the bid-ask spread of prices for 10yr treasury notes as a proxy for bond market liquidity. I got monthly aggregated bond price data (for yrs 1999-2013) from ...
- 31