Questions tagged [bid]
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33 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
2 answers
120 views
How should the spread be determined after calculation of expected value?
Suppose I am willing to buy a contract which I believe has a 15% chance to settle to $100 and 0 otherwise. The EV of this contract is therefore 15. How much should I buy this for? I would answer at ...
- 123
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
1 vote
0 answers
577 views
Heston Model Calibration with MatLab: model prices do not fall in the bid-ask range
I am currently implementing the MatLab code reported below for the calibration of Heston Model. The code seems fine and, by reading the paper where I took the code, I was able to calibrate and price ...
0 votes
1 answer
109 views
Why does historical equity ticks from Dukascopy.com not contain trade ticks?
I've found that ticks for equities (for example for companies from US market like Amazon or Apple) someone could name as "best bid/ask offer" (or Level 1 type of tick data) and them clearly ...
2 votes
2 answers
830 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
0 votes
1 answer
352 views
Do I use the bid or ask time series to build a model to predict forex and for a backtester
In my tick feed I get real-time bid and ask prices like below from oanda. My question is this. Lets assume I build a time series model to buy eur/usd in the Oanda UI manually. If I were to build ...
- 101
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