I hope someone can help me with this. No one has replied so far.
I am working on the principal that:
1. Volume is issued each time a trade takes place and is the cumulative
volume for the day, and
2. lastPrice is the last price a trade took place and that is only
issued again when the price changes.
This would lead me to be able to deduce the size of each deal from the
change in volume and apply the (current) lastPrice to the transaction.
Have I got that right?
Even if I have I still have a problem. Logic dictates that Volume !< 1
but for example if I extract just the price volume data I get some
examples like this:
10:17:12.158900 volume: 135 Price: 33.13
10:17:13.720741 volume: -47 Price: 33.13
10:17:22.875066 volume: 589 Price: 33.15
The original data was:
<20140210 10:17:12.158900> id=1 symbol=NAB Volume: 263348
<20140210 10:17:13.048749> id=1 symbol=NAB askSize: 2334
<20140210 10:17:13.720741> id=1 symbol=NAB Volume: 263301
<20140210 10:17:13.721744> id=1 symbol=NAB lastTimestamp: 1391987823
<20140210 10:17:13.723745> id=1 symbol=NAB lastPrice: 33.16
<20140210 10:17:13.724759> id=1 symbol=NAB lastSize: 88
<20140210 10:17:13.943221> id=1 symbol=NAB askSize: 2246
<20140210 10:17:17.308927> id=1 symbol=NAB askPrice: 33.15 askSize: 589
<20140210 10:17:17.309927> id=1 symbol=NAB askSize: 589
<20140210 10:17:18.195319> id=1 symbol=NAB askSize: 889
<20140210 10:17:20.466965> id=1 symbol=NAB bidSize: 3998
<20140210 10:17:21.219959> id=1 symbol=NAB askSize: 589
<20140210 10:17:22.868062> id=1 symbol=NAB lastTimestamp: 1391987832
<20140210 10:17:22.873064> id=1 symbol=NAB lastPrice: 33.15
<20140210 10:17:22.874064> id=1 symbol=NAB lastSize: 589
<20140210 10:17:22.875066> id=1 symbol=NAB Volume: 263890
<20140210 10:17:22.877067> id=1 symbol=NAB bidPrice: 33.14 bidSize: 762
<20140210 10:17:22.878067> id=1 symbol=NAB askPrice: 33.16 askSize: 3332
As you can see we also have two lastPrice's before the change in volume!
I know you might say just use lastPrice and lastSize but logic dictates
you could have a lastPrice and multiple lastSize's but not multiple
lastPrice's but see three lastPrices in a row below:
10:15:45.332624> id=1 symbol=NAB lastSize: 93
10:15:45.987894> id=1 symbol=NAB lastSize: 50
10:15:46.888228> id=1 symbol=NAB lastSize: 104
10:15:47.447062> id=1 symbol=NAB lastSize: 50
10:15:48.552406> id=1 symbol=NAB lastPrice: 33.10
10:15:49.450579> id=1 symbol=NAB lastSize: 42
10:15:50.201786> id=1 symbol=NAB lastSize: 122
10:15:51.455403> id=1 symbol=NAB lastSize: 50
10:15:54.460002> id=1 symbol=NAB lastPrice: 33.085
10:15:55.461604> id=1 symbol=NAB lastPrice: 33.10
10:15:56.463385> id=1 symbol=NAB lastPrice: 33.11
10:15:57.568193> id=1 symbol=NAB lastSize: 58
10:15:58.466236> id=1 symbol=NAB lastPrice: 33.10
10:15:59.585589> id=1 symbol=NAB lastPrice: 33.11
10:16:00.457302> id=1 symbol=NAB lastSize: 8
10:16:01.344762> id=1 symbol=NAB lastSize: 50
10:16:02.016870> id=1 symbol=NAB lastSize: 85
10:16:02.900224> id=1 symbol=NAB lastSize: 46
10:16:03.654076> id=1 symbol=NAB lastSize: 50
10:16:04.464855> id=1 symbol=NAB lastPrice: 33.095
(I have only shown the relevant lines.)
Have I got this wrong? All I am trying to do is get accurate deal by
deal price and size data.
Stephen Choularton PhD, FIoD
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