The Curve

by s7ven

The Feed · Data and measurement

Data and measurement

Trade classification, book granularity, tick filtering, session boundaries, and the feeds that deliver all of it.

5 terms

How a printed trade becomes a buy or a sell A flow diagram. A trade print enters at the left and is compared against the prevailing bid and ask. Prints at or above the ask are classified as buys, at or below the bid as sells, and prints between the two fall through to a fallback rule that inherits the previous trade's direction. TRADE PRINT price, size, time COMPARE AGAINST the prevailing quote at that instant AT OR ABOVE THE ASK classified as a BUY BETWEEN THE TWO fallback rule decides AT OR BELOW THE BID classified as a SELL Every delta figure you have ever seen is the output of this diagram, not a field published by the exchange.
The middle branch is where vendors diverge. Most inherit the previous trade’s direction, but how far back they look, how they handle simultaneous prints, and whether the quote used is the one before or after the trade are all implementation choices. Two correct implementations can disagree.
Trade classificationthe tick rule

The inference by which a printed trade is labelled buyer-initiated or seller-initiated, by comparing its price against the prevailing quote.

Prints landing between the bid and the ask are resolved by a fallback, usually inheriting the direction of the previous trade. Every delta figure you have ever seen rests on this reconstruction.

See also delta, aggressor
MBO and MBPmarket by order, market by price

Two granularities of book data. Market by price publishes aggregate size at each level; market by order publishes individual orders with their own identifiers.

MBO makes queue position and individual order behaviour observable. MBP does not, which is why some analyses are simply impossible on the cheaper feed.

Tick filtering

Vendor processing that discards, aggregates or smooths raw trade prints before they reach a platform.

Filtered and unfiltered feeds of the same instrument produce different volume and different delta. Neither is wrong; they are answering slightly different questions.

Session boundary

The start and end times a platform uses to define one trading day for the purpose of resetting accumulations.

Futures trade nearly around the clock, so where the day begins is a configuration choice. Change it and every session-reset profile, VWAP and cumulative delta changes with it.

Data feed

The pipeline delivering exchange data to a platform, whether direct from the exchange or through a vendor.

Two traders on different feeds routinely see different delta for the same minute. The usual causes are timestamp resolution, aggregation of simultaneous prints, and differing quote-matching logic, not an error by either party.

See also trade classification