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Distinguishing Quote-Side Volume from Executed Trade Volume

Article Quant Q&A · Author: ronny vaiksaar
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Summary

The post explains how to interpret bid-volume and ask-volume fields in tick data that reports bid and ask prices together. In the example discussed, the row represents the state of both sides of the market, so its volume fields describe quoted liquidity or offers rather than units that have actually traded. A changing timestamp with unchanged best prices and volumes can therefore reflect repeated quote snapshots rather than a change in the best quote.

This distinction matters when using tick data to infer trades or market activity: quote records and trade records represent different events. The answer is brief and interprets the supplied data format; it does not establish the units or conventions of every vendor’s feed, nor explain how quote updates are timestamped or emitted.

Key ideas

  • A record containing both bid and ask state is a quote record rather than a trade record.
  • Its bid and ask volumes describe displayed quote-side volume, not executed trades.
  • Repeated timestamps with unchanged prices can reflect snapshots of an unchanged quote.
  • The interpretation depends on the data feed’s field definitions and conventions.

Tags

ForexMarket microstructureExecution
Full text
# How to understand this tickdata `askvolume` and `bidvolume` fields?


# How to understand this tickdata `askvolume` and `bidvolume` fields?












Here is 1 tick:

> Timestamp,Bid price,Ask price,Bid volume,Ask volume 20151127 00:05:00:592,1.06057,1.06061,1,1.5

Does `ask volume` 1.5 mean 1.5 million were actually sold or is it just an offer

Another question. Here is some more tickdata:

> 20151127 00:10:35:292,1.06056,1.06058,1.12000000476837,1.5 20151127 00:10:35:821,1.06056,1.06058,1.12000000476837,1.5 20151127 00:10:37:284,1.06056,1.06058,1.12000000476837,1.5 20151127 00:10:37:785,1.06056,1.06058,1.12000000476837,1.5

You can see that the time changes but the best offers do not change. I thought it's supposed to "tick" when there is an update.

## Answer by madilyn (score 1)

https://quant.stackexchange.com/a/22047

Since this row of data reflects both bid and ask state simultaneously, this row of data represents a quote, not a trade. So the latter is true: it is just an offer.

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.