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Origin of Bid/Ask in historical tick data
jfwhites
 Post subject: Origin of Bid/Ask in historical tick data Post rating: 0   Post Posted: Fri 27 Jan, 2012, 04:53 

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Hello

I would like to know the Origin of Bid/Ask in dukascopy historical tick data.
In demo & live Dukas Apis give access to the best bid/ask as well as an array of bid/ask values with associated volumes. What is then recorded in historical tick ? Best bid/ask or volume weighted average bid/ask or else ?

Thanks
 
API Support
 Post subject: Re: Origin of Bid/Ask in historical tick data Post rating: 0   Post Posted: Fri 27 Jan, 2012, 08:36 
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It is described in the documentation, see:
https://www.dukascopy.com/client/javadoc ... ITick.html
 
jfwhites
 Post subject: Re: Origin of Bid/Ask in historical tick data Post rating: 0   Post Posted: Fri 27 Jan, 2012, 15:52 

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Hello

I am aware of this documentation. However you are not answering my question.
I am asking about the bid-ask data we find in the historical data csv when we download it through Historical tester in Jforex platform.
How is the bid-ask data recorded in historical data ? Is it the best bid-ask of the live tick obtained through the the getAsk() getBid() methods or is it something else ?
If the bid-ask in historical is something different than the best bid-ask of the live tick data can you please elaborate on how it is generated ?

Thank you
 
API Support
 Post subject: Re: Origin of Bid/Ask in historical tick data Post rating: 0   Post Posted: Fri 27 Jan, 2012, 16:02 
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jfwhites wrote:
Is it the best bid-ask of the live tick obtained through the the getAsk() getBid() methods or is it something else ?
Yes it is ITick.getAsk() and ITick.getBid() .
 
jfwhites
 Post subject: Re: Origin of Bid/Ask in historical tick data Post rating: 0   Post Posted: Fri 27 Jan, 2012, 17:16 

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Thank you for this precision.
Now one follow up question:

In live situation what is the likelihood of being executed

for a PLACE_BID order with price at getAsk()
for a PLACE_OFFER order with price at getBid()

Thanks
 
API Support
 Post subject: Re: Origin of Bid/Ask in historical tick data Post rating: 0   Post Posted: Mon 30 Jan, 2012, 10:10 
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It depends on slippage, see:
https://www.dukascopy.com/wiki/#Slippage
and
https://www.dukascopy.com/wiki/#Place_BID_OFFER
 
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