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The inside market: Hitting bids, lifting offers
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CT-June 2006-4
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Knowing whether trading is occurring on the bid or ask - and the size of the trades - provides a fresh perspective on intraday price action.
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Detailed Description
When an economic number hits the markets, traders take action and the "inside market" that is, the current bidask spread jumps around rapidly. The problem is, the inside market can move so quickly it is difficult to decipher what is happening in the market until well after price has made its move.
Price bars dont provide information about the inside market; they simply plot the last price that occurred.
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