/04/04 · So I took Daily Middle Price, Weekly Middle Price, Monthly Middle Price, Annually Middle Price and 5 year's Middle Price. Therefore I choosed only theese Time Frames: M15, H4, Daily, Weekly, Monthly and these SMA's: , 30, 20, 50, M H4: 30 Daily: 20 Weekly: 50 Monthly You can ask why these SMA's. SMA in M15 is Daily Middle price (96 candles acctually, but I rounded I 'm trying to get a mid price for forex data. This answer by alex suggests that I shouldn't simply take ask minus bid. I am not a high frequency trader or market maker. My purpose for the fx mid point data would be to run some pattern recognition algorithms Foreign exchange currencies included in the exchange rates below, may not be available for all foreign exchange products purchased and sold by FNB. Subscribe for Forex updates at 09h00 and 16h00 daily via email on valid business days. For more information contact our Foreign Exchange Advisory Team on 1 FOREX ()
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I 'm trying to get a mid price for forex data. This answer by alex suggests that I shouldn't simply take ask minus bid. I am not a high frequency trader or market maker. My forex mid price for the fx mid point data would be to run some pattern recognition algorithms. In this case the mid price is. That's all there is to it - you don't need to "approximate" the mid price if you know the best bid and offer.
The half-way point between them just is the mid price. Really, the question you should be asking is "what is the fair price? The fair price is the exchange rate at which you would be ambivalent about buying or selling assuming you forex mid price care about risk.
Just using the mid price i. If the forex mid price is wide i, forex mid price. This can happen in illiquid markets. In this case, you may want to use information from previous quotes for example, what was the mid price the last time you saw a bid-offer spread that was not unreasonably wide.
If the quoted volumes on the bid and offer are very different, it may indicate that the fair price is far away from the mid. You can search for "bid ask imbalance" or "liquidity imbalance" to read more about this. Bloomberg does something very close to this on ALLQ. Sign up to join this community. The best answers are voted up and rise to the top. Stack Overflow for Teams — Collaborate and share knowledge with a private group. Create a free Team What is Teams?
Learn more. How do I get a good mid-price? Ask Question. Asked 4 years, 10 months ago. Active 4 years, 3 months ago. Viewed times. My question is how should I get a mid price if not just using ask minus bid? market-data fx price. Improve this question, forex mid price. edited Apr 13 '17 at asked Jul 5 '16 at lostlostlostlostlost lostlostlostlostlost 4 4 bronze badges.
Or you have the full smile? Add a comment. Forex mid price Oldest Votes. Improve this answer. edited Jul 5 '16 at answered Jul 5 '16 at Chris Taylor Chris Taylor 5, 17 17 silver badges 26 26 bronze badges. edited Jan 9 '17 at answered Dec 19 '16 at rrg rrg 5 5 silver badges 23 23 bronze badges. Sign up or log in Sign up using Google. Sign up using Facebook. Sign up using Email and Password. Post as a guest Name. Email Required, but never shown. The Overflow Blog. Find knowledge faster: New Articles features.
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Mid-point Prices. Some FX rate data providers show a mid-point exchange rate, while others show the Buy/Sell (Bid/Ask) prices. The two rates are essentially the same however, set apart by a simple arithmetic exercise. The mid-point rate is the arithmetic average of the Bid/Ask prices Foreign exchange currencies included in the exchange rates below, may not be available for all foreign exchange products purchased and sold by FNB. Subscribe for Forex updates at 09h00 and 16h00 daily via email on valid business days. For more information contact our Foreign Exchange Advisory Team on 1 FOREX () I 'm trying to get a mid price for forex data. This answer by alex suggests that I shouldn't simply take ask minus bid. I am not a high frequency trader or market maker. My purpose for the fx mid point data would be to run some pattern recognition algorithms
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