Anyone here notice that NT is defaulting last to bid even for tick level data? My broker (TD, IB and oanda) have last that is between bid and ask. But NT last is always defaulting to bid. I’ve contacted their support for explanation for this. Anyone here have a workaround this? Trying to see if last trade was at bid or ask but bc of this behavior 99.99% are always going to hit bid.

calhawk01 

Anyone here notice that NT is defaulting last to bid even for tick level data? My broker (TD, IB and oanda) have last that is between bid and ask. But NT last is always defaulting to bid. I’ve contacted their support for explanation for this. Anyone here have a workaround this? Trying to see if last trade was at bid or ask but bc of this behavior 99.99% are always going to hit bid.

In Forex, there is no time and sales, thus there is no "Last". "Last" is just a virtual data point created to satisfy how most financial analytic software platforms work. Historically in Forex, Bid price was used as Last Price. Some use mid-point as you pointed out.

NinjaTrader 

In Forex, there is no time and sales, thus there is no "Last". "Last" is just a virtual data point created to satisfy how most financial analytic software platforms work. Historically in Forex, Bid price was used as Last Price. Some use mid-point as you pointed out.

interesting, never even noticed. always assumed last should be the last trade executed..

fx trades are always executed either at ask or bid or the best price based on whatever your order type is.. why would they just "make up" a price for last?

i guess theoretically, i could take away carry from the futures price and use the futures :"last" trade as "last" for fx.. not sure if that would be worth it. ugh...

no, this doesn't make sense, because the currency-futures price never will be the same as the fx-price

Here is an explanation from IB directly - https://ibkr.info/node/1425

tr8er 

no, this doesn't make sense, because the currency-futures price never will be the same as the fx-price

future price - carry = fx price

hence no arbitrage

NinjaTrader 

Here is an explanation from IB directly - https://ibkr.info/node/1425

so in other words b/c, "there is no central reporting facility for OTC markets" their using that as an excuse to not show the actual fill price to anyone so that they can rip off people that are trading.

Just to compare it:

Futures (6E) = 1,1427
eur/usd = 1,13823

tr8er 

Just to compare it: Futures (6E) = 1,1427 eur/usd = 1,13823

i know bud;

future price is not same as eur/usd (spot price); but futures by definition are derivatives that derive their value from the cash market. cash markets move future markets (at least they are suppose to)

future = spot * (1+ foreign country's interest rates / 1+ US interest rate ) ^ time

hence when I say:

future - carry = spot

I am basically saying that if we take out the interest cost from future it will equal spot price.

you can try this yourself.. take all historical eurusd prices and subtract it from 6E. the difference will be constant carry over time. the difference basically represents the interest rate differentials between the two countries and how much it cost to borrow funds

lol, try to keep it simple