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Showing results for tags 'Events'.
For streamed tick data, please add a counter to track the number of changes to the BID and ASK quotes. For each stock this counter resets at the beginning of a trading day, and increments on every BID or ASK change event. Alternatively, you could have separate counters for BID changes and ASK changes. It is analogous to but not the same as the number of trades. This counter would be helpful to analyze the less liquid stocks that some of us specialize in. Thanks !