Hello - Can anyone post a sample code to access the last "N" T&S records for an instrument? Preferably would like to use it on a scanner/chart combination. Main intention is to get access this T&S array - irrespective of the chart type used ( independent of the bar they belong to. Appreciate any input on this.
information needed :
- Time, Price, Volume & Trade type ( ask/bid/below bid/above offer/other)
Thanks in advance.
Accessing last "N" T&S records - for any chart type
- Henry MultiСharts
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Hello vking,
If you want to operate with the Time and Sales data then you need to utilize the Volume Profile data collection. Here is how to do that: 4.7.6_Volume_Profile
If you want to operate with the Time and Sales data then you need to utilize the Volume Profile data collection. Here is how to do that: 4.7.6_Volume_Profile
Hi Henry,
I understand that the volume profile data collection need to be used for getting an accurate time & sales instead of the Bars.UpTicksValue and Bars.DownTickValue but I have problem getting the info timewise. Would it be possible to get a sample code to see in realtime the time & sales ? I think it would help a lot of people.
Thanks a lot.
I understand that the volume profile data collection need to be used for getting an accurate time & sales instead of the Bars.UpTicksValue and Bars.DownTickValue but I have problem getting the info timewise. Would it be possible to get a sample code to see in realtime the time & sales ? I think it would help a lot of people.
Thanks a lot.
- Henry MultiСharts
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Attached is a sample indicator that plots the last time & sales value in realtime. You need to have the Volume Profile enabled for the data series the indicator is based on.Hi Henry,
I understand that the volume profile data collection need to be used for getting an accurate time & sales instead of the Bars.UpTicksValue and Bars.DownTickValue but I have problem getting the info timewise. Would it be possible to get a sample code to see in realtime the time & sales ? I think it would help a lot of people.
Thanks a lot.
- Attachments
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- T&S.png
- (54.08 KiB) Downloaded 3324 times
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- Plot_T&S.wsp
- (119.87 KiB) Downloaded 971 times
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- Test_Plot_T&S.pln
- (1.13 KiB) Downloaded 1001 times
Volume for any tick is easy to know ... but how to know if it was done on the bid or the ask.... ? Comparing the tick volume with the bid and ask time series gives some problems. It would be nice to get a volume based on the bid/ask like Bars.askticksvalue & Bars.bidticksvalue or bars.volumeside ....
- Henry MultiСharts
- Posts: 9165
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franky, please find attached the code that plots "Price, Volume, Filled at Ask/Bid" values.Volume for any tick is easy to know ... but how to know if it was done on the bid or the ask.... ? Comparing the tick volume with the bid and ask time series gives some problems. It would be nice to get a volume based on the bid/ask like Bars.askticksvalue & Bars.bidticksvalue or bars.volumeside ....
- Attachments
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- T&S.png
- (29.44 KiB) Downloaded 3286 times
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- Test_T_and_S_ab_traded.pln
- (1.73 KiB) Downloaded 1080 times
Hi Henry,
that is a fine piece of code and nearly what i am currently looking for, if it would also print the current bid/ask depth (would need both regardless of trade direction) on every trade made. I spent two days to implement this myself but failed, maybe you could provide an update?
Something like that would be awesome:
Price(1,769.75) / Volume(9) / FilledAt(Ask) /CurrentBidDepth(435 = lmt-orders on bid) / CurrentAskDepth(50 = lmt-orders on ask)
Thanks a lot for your time in advance.
Stefan
that is a fine piece of code and nearly what i am currently looking for, if it would also print the current bid/ask depth (would need both regardless of trade direction) on every trade made. I spent two days to implement this myself but failed, maybe you could provide an update?
Something like that would be awesome:
Price(1,769.75) / Volume(9) / FilledAt(Ask) /CurrentBidDepth(435 = lmt-orders on bid) / CurrentAskDepth(50 = lmt-orders on ask)
Thanks a lot for your time in advance.
Stefan