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I am just studying the tape and OB, therefore I have some questions.
My general question is to understand the difference between a Bid Trade and Below Bid (and vice versa for Ask) and concerning the screenshot what could be the reason that only Position 11:15:56:08 - 12 are marked as "Below"
@Nick Berlin, this is a hard one to answer, as there can be many factors the trade occurs outside the best bid/ask. Here is a screen shot of my T&S at about the same time frame. The bid actually updated in the middle of the trades, thus there were only 2 trades that occurred outside the BBO. When you see the true millisecond precision timestamp, you are able to determine that 9 trades occurred in the exact same millisecond 06:15:56.525 (we timestamp in eastern time). Halfway through the execution of those trades, the bid updated and the last 5 trades at that instant hit the bid. It appears you missed that bid update for some reason. We do send millisecond timestamps in our feed, but it looks like Sierra Chart is replacing it with their own counter.
James
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