Tick data: Gaps

[RXC]

Hi T2W,

I use Reuters QuoteCenter to receive Tick data in DDE format into Excel.

I look at Bid and Ask.

My problem is that there are Gaps in the data and I am not sure what they mean.

For exemple:

Ask Bid
5,000 5,001
5,000
5,000
5,000 5,000.5
5,001 5,001.5

I have tried to use logic for ex: the gap means that the bid didn't change... but why would the ask be repeated ?

Can someone explain how ticks are defined ? When is a new tick sent out (new trade, new bid, new ask) ?

Thanks

 

[GammaJammer]

The ones where you don't have a two way price may actually be dealing prints rather than bids / offers (i.e. 5000 got given a couple of times.

Just a thought. I could be wrong on that. But I use some Reuters data (via Extra 3000) for FX and where you plot a dealable ric (i.e. something like GBP=D3 for example) you can see bids / offers AND prints.

Hope that helps.

GJ

 

[RXC]

Thanks GammaJammer,

Sorry but I am not familiar with "print". Do you mean a price where both sides are ready to deal ?
For your information the data is from DAX Futures

 

[A Dashing Blade]

Well, for a start, you've got your "Bid" & "Ask" column headers the wrong way round . . .

1) 5,000 5,001
2) 5,000
3) 5,000
4) 5,000 5,000.5
5) 5,001 5,001.5

suspect 2) & 3) mean that a trade has taken place at that price ie 5000

 

[RXC]

Sorry about the Ask/Bid inversion,

I attach an Excel file with Ask/Bid/Last trade. So it will be clearer for eveyone.

Can you figure out how it works ?

Thanks

 

[RXC]

The first things I spoted are:
-when there is a Trade ("last"), there are no Ask or Bid reported.
-there is a new tick everytime there is either a new Ask, Bid or Trade

But then why, sometimes there are 2 quotes (Ask + BId) and sometimes only one quote ?

 

[GammaJammer]

Maybe you get an update every time there is a NEW interest reported to the exchange. So when you only get one side reported maybe it's because someone just stuck a bid in, whereas other times either someone was making a two wy market or maybe someone stuck a bid in and someone else stuck an offer in.

Only real way to tell for sure would be to have that tick data displayed live next to a running snapshot of the book itself (including trades). If you do that, and do it at a slow time of day I'm sure whatever is going on will be fairly apparent.

You can of course always ask the helpdesk as well, although this, in my experience, is exactly the sort of issue that Reuters (and Bloomberg) helpdesks are a bit crap at, so good luck there.