No responses yet, but if you are curious, I just correlated the BID and ASK to TOS's SPX chart, which implied the BID/ASK data source is used for their SPX charting. Note: relationship of each BID and ASK (mid) to the HIGH/LOW/CLOSE values for each BAR for any time aggregation. Note the widening after market hours also. It seems to all seem valid now, while I still do not know the source, it seems trustworthy for my needs. See chart below and the relationship to the BID ASK data.
Need clarification of BID/ASK source for SPX
- Thread starter stepandfetchit
- Start date
LOL, 50 point spread on the ES??? goddamn wouldnt wanna be on the wrong side of that one.....
There is no bid/ask on the SPX, its just an index, you cant actually buy the SPX, the SPX is just a number based on what 500 stocks are doing.
The question is what is the source for the BID and ASK. Observe the specific fields being questioned in the posts:
Below is the response from LiveVol:
This data is coming from the CBOE MDI feed. Our engineers confirmed that
the bid/ask is calculated from the bid/ask of the underlying stocks.
I hope this helps.
Kyle
Livevol Support"
Which is exactly what I said.
Its got to be something fucked up on your broker there is no such thing as a bid or an ask on the SPX, there is a bid and ask on the ES if you want it.......
Ohhhhhh screw it i guess try shorting the SPX at the offer at 2292, it would be a juicy fill if you can pull it off ill pay for the trade........
You may have just figured out how to arb the market, all these wallstreet guys dont know what they are doing, short the SPX and buy the ES, then thank me when you rolling in dollars.....
Ohhhhhh screw it i guess try shorting the SPX at the offer at 2292, it would be a juicy fill if you can pull it off ill pay for the trade........
You may have just figured out how to arb the market, all these wallstreet guys dont know what they are doing, short the SPX and buy the ES, then thank me when you rolling in dollars.....
No disrespect, but until I an able to qualify the data or the integrity of the responder, I need to validate the information. I am aware of what you stated, and now it has been validated, so a feather goes in your hat. Your next response will receive a heavier weighting. Thanx.
Thats awful generous of you, +1 feather for Maverick, now go trade the shit out of those SPX's.....
Thats awful generous of you, +1 feather for Maverick, now go trade the shit out of those SPX's.....
All he had to do was take the weights of the stocks:
https://fusiontables.google.com/DataSource?docid=1WPXwv58K-PLPFwo7uKjDkMnHzH1Lj_2tl1N47xQ
And use whatever broker he is using to export the bid/ask prices to excel multiply times the weights and sum the total and presto! You get your synthetic bid/offers.