RE: Unknown trades13 Sep 2024 16:51
@nursesteve, er, no. I'm saying that if the quoted sell price is 74 and the quoted buy price is 76 and the trade is at 75, then the algorithm gets confused. But if there are trades above 75 and none much below 75 then 75 would be a sell and if the converse were the case - trades below 75 and trades not much above 75 then it would be a buy.
The algorithm is dumb and just assigns buy/sell according to above/below the midprice.
We've been though this many, many times on here. Don't look at the buy/sell designations, compare the prices to the QUOTED spread.