Historical bid/ask levels for an instrument

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trademonkey
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Historical bid/ask levels for an instrument

Postby trademonkey » 13 Aug 2014

Hey there,

I am looking to program an ISeries that is based on fair value, which is the average bid/ask of an instrument on every bar.

This is the only data I can use for accuracy since the instrument is fairly illiquid and does not trade.

Is there already an example of this?

I am also not quite sure what the Close bars actually mean. Is it based on last traded data? Or is it based on the bid/ask?

Many thanks.

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Henry MultiСharts
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Re: Historical bid/ask levels for an instrument

Postby Henry MultiСharts » 18 Aug 2014

Hello trademonkey,

You can write your own bar constructor or use the new class CustomInstrument that was added in MultiCharts 9.0: it allows accessing the data series loaded by the DataLoader with the help of IInstrument interface. The bars of such data series are tied to the bars of the main data series based on time. Sample code can be found here.

That is also possible to plot the bid/ask average using an indicator. An example using Spread-Diff indicator can be found here.
I am also not quite sure what the Close bars actually mean. Is it based on last traded data? Or is it based on the bid/ask?
How to select the quote field for the chart:
https://www.multicharts.com/trading-sof ... uote_Field

Dragon
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Re: Historical bid/ask levels for an instrument

Postby Dragon » 19 Aug 2014

In your example is not fully disclosed the topic of using CustomInstrument.

Firstly it is not clear how to request to the historical bid / ask
Second, how to use historical bid / ask on playback?

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Henry MultiСharts
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Re: Historical bid/ask levels for an instrument

Postby Henry MultiСharts » 20 Aug 2014

Firstly it is not clear how to request to the historical bid / ask
At the moment changing the quote field is not supported. We will add this feature in one of the future versions of MultiCharts .NET.

Dragon
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Re: Historical bid/ask levels for an instrument

Postby Dragon » 20 Aug 2014

Firstly it is not clear how to request to the historical bid / ask
At the moment changing the quote field is not supported. We will add this feature in one of the future versions of MultiCharts .NET.
How it will work?

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Henry MultiСharts
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Re: Historical bid/ask levels for an instrument

Postby Henry MultiСharts » 21 Aug 2014

In one of the future versions CustomInstrument will be extended to accept a new property - QuoteField. It will allow loading not only Trade data using CustomInstrument, but also Ask and Bid data.

Dragon
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Re: Historical bid/ask levels for an instrument

Postby Dragon » 21 Aug 2014

In one of the future versions CustomInstrument will be extended to accept a new property - QuoteField. It will allow loading not only Trade data using CustomInstrument, but also Ask and Bid data.
1. Is CustomInstrument will used in playback?
2. Can I combine Ask and Bid and Trade in one CustomInstrument?
3. What difference between DataLoader and CustomInstrument?

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Henry MultiСharts
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Re: Historical bid/ask levels for an instrument

Postby Henry MultiСharts » 21 Aug 2014

1. Is CustomInstrument will used in playback?
2. Can I combine Ask and Bid and Trade in one CustomInstrument?
3. What difference between DataLoader and CustomInstrument?
1. No
2. No
3. CustomInstrument bars are tied to the bars of the main data series based on time. With DataLoader you need to build bars yourself.

Dragon
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Re: Historical bid/ask levels for an instrument

Postby Dragon » 21 Aug 2014

1. Is CustomInstrument will used in playback?
2. Can I combine Ask and Bid and Trade in one CustomInstrument?
3. What difference between DataLoader and CustomInstrument?
1. No
2. No
3. CustomInstrument bars are tied to the bars of the main data series based on time. With DataLoader you need to build bars yourself.
You can make a request to CustomInstrument can be used in the mode of playback? To check the quality of trade strategies

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Henry MultiСharts
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Re: Historical bid/ask levels for an instrument

Postby Henry MultiСharts » 21 Aug 2014

You can submit a feature request to the Project Management of our web site so other users can vote for it and we can see the real demand for this feature: https://www.multicharts.com/pm/

Dragon
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Re: Historical bid/ask levels for an instrument

Postby Dragon » 21 Aug 2014

You can submit a feature request to the Project Management of our web site so other users can vote for it and we can see the real demand for this feature: https://www.multicharts.com/pm/
Can you get me link with CustomInstrument new feature for info about it?


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