Bd / Ask size and time remaining

Questions about MultiCharts and user contributed studies.
itai007
Posts: 69
Joined: 14 Jun 2007

Bd / Ask size and time remaining

Postby itai007 » 19 Feb 2008

Hi.
How can I retrieve the bid size and ask size ?

couldn't find any function for that or reserved word.

second , how can I retrieve the time remaining for the current bar interval (i assume the correct question is unit remaining as this data is different for intraday time based bars and volume or tick bars ... )

In any case how do I get the remaining time/unit thanks

User avatar
Andrew Kirillov
Posts: 1589
Joined: 28 Jul 2005
Has thanked: 2 times
Been thanked: 31 times
Contact:

Postby Andrew Kirillov » 21 Feb 2008

It is not available.

itai007
Posts: 69
Joined: 14 Jun 2007

cant even be coded?

Postby itai007 » 21 Feb 2008

It is not available.
can I retrive this data some how ?

User avatar
TJ
Posts: 7210
Joined: 29 Aug 2006
Location: Global Citizen
Has thanked: 991 times
Been thanked: 2052 times

Postby TJ » 21 Feb 2008

it would be great if MC can extend the EL to retrieve Level II, so that we can incorporate LII data into our strategies.


p.s. it would be even better if we can plot LII on the chart!

Nick
Posts: 490
Joined: 04 Aug 2006
Has thanked: 4 times
Been thanked: 24 times

Re: cant even be coded?

Postby Nick » 24 Feb 2008

It is not available.
can I retrive this data some how ?
Yes you can assign bid and ask to data2 and data3. I think I am correct in saying indicators only update on a tick of data1 (last) though am not sure?

There is also a volumeatbid and volumeatask keyword I think.

Cheers.

Nick
Posts: 490
Joined: 04 Aug 2006
Has thanked: 4 times
Been thanked: 24 times

Postby Nick » 24 Feb 2008

it would be great if MC can extend the EL to retrieve Level II, so that we can incorporate LII data into our strategies.


p.s. it would be even better if we can plot LII on the chart!
Absolutely! I suggested that some while back. There is quite a buzz surrounding things like volume delta and order book analysis.

To really get the best out of this you need some sort of 'tick replay' function so these indicators work on historical data as well as live quotes. Not to many options for order book analysis currently. Not to many options for historical bid ask analysis. Both cases Neoticker is worth a look.

Cheers.

itai007
Posts: 69
Joined: 14 Jun 2007

Order book and tick analysis

Postby itai007 » 26 Feb 2008

it would be great if MC can extend the EL to retrieve Level II, so that we can incorporate LII data into our strategies.


p.s. it would be even better if we can plot LII on the chart!
Absolutely! I suggested that some while back. There is quite a buzz surrounding things like volume delta and order book analysis.

To really get the best out of this you need some sort of 'tick replay' function so these indicators work on historical data as well as live quotes. Not to many options for order book analysis currently. Not to many options for historical bid ask analysis. Both cases Neoticker is worth a look.

Cheers.
Do you have any experience in these analysis ?
Order book and bid ask ?

Most system hedge funds I know whom trade tick based systems use extensive analysis of the messaging coming out of the direct feeds from exchanges..

receiving these raw data and then reconstructing the book and side of trades .. movement of rotation factor of book etc' ..

do you have any experience in this ?

would you know of a product one can use for this analysis other than developing proprietary projects for this ?

Attached see our system in its beginning stage EminiSP linked SPY trading which is very fast system based ...
we are having trouble creating more signals some times because of poor data coming from Esignal or others .... (they cant cope with increasing volume and so they snap shot and some data doesnt come through ..)
this is why Im asking ...
p.s.
this is real trading logs not backtesting
Attachments
SPY_trading_Feb_2008.xls
my tick based system
(202 KiB) Downloaded 70 times

Nick
Posts: 490
Joined: 04 Aug 2006
Has thanked: 4 times
Been thanked: 24 times

Postby Nick » 27 Feb 2008

A little, I have done some research and can see there is value there. Whether I can exploit it is a different matter. In a nutshell price moves to size (some people find this counter intuitive). There is a thread over at elite trader by a guy who posts as 'viperspeedtrader' or some such on order book analysis. Also A user called DCraig has posted some great charts from his bespoke application with interesting charts of a smoothed cumaltive order book. A couple of gems among the ET dross.

I'm currently reading Trading Exchanges, Market Microstructure for Practitioners. Its by a guy called Larry Harris who is chief economist of the SEC. I'm only a 1/3rd in but would recommend it just on that, excellent book. It has chapters identifying types of market participant, who provides liquidity who takes it, why they trade how they trade what effect different exchange structures have on these participants how matching algorithms effect order flow etc. etc. Its kind of the mechanics of exchanges, trading, and traders. Anyway while this is not a book about systems or even traders (beyond the broad categories they fall into and how they fulfil there objectives) it is quite thought provoking if you are interested in these sorts of things.

Cheers, Nick.


Return to “MultiCharts”