Iam wondering this for long time already, if there is a bartype somewhere out there, who splits data in 3 rows, Bid, Ask & Neutral.
The neutral column in the middle where you have Sell market orders hitting Buy market orders.
Especially with very thick markets like eurostoxx it can be of advantage (i think).
Anyone got hold of something like this, or any reference somewhere.?
thanks
Peter

Not sure if there is such a thing. This is what I understand. Correct me if I am wrong.

Sell market orders are not matched with buy market orders, they are matched with limit orders at the bid price in a Fifo fashion. If the market order consumes all the limit orders at the bid, then the next lower bid fills the order, and so on. Similarly for buy market orders getting filled by limit orders at the ask price.


Sent from my iPad using NexusFi

Thanks @bradhouser for your input.
Sounds logic, i just moved from Eurostoxx to Bund, but in the weekend i will try to find some examples.
It got my thinking after re-reading a paper from Sierra about the different feeds.
https://www.sierrachart.com/SupportBoard.php?ThreadID=5395.

snippet:
The main problem is that with the EUREX, trades often occur between the quoted bid and ask prices. This is not common from our observations on the CME. What Sierra Chart does in this case, is that it will see whether the trade price is closest to the bid or closest to be ask to determine whether it is considered at the bid or at the ask. If it is exactly in the middle, then it uses up/down tick logic to make the determination.

Peter