MC code to track order size

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aczk
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MC code to track order size

Postby aczk » 13 Jun 2012

Hi
Wondering if this is possible in MC:

To create an indicator that reads the level II order flow and shows me where the big orders happen. For example in the eurostoxx I want to see when big lots (100+) exceed their average number/frequency for a certain period.

Anyone ever coded something like this.

thx

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JoshM
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Re: MC code to track order size

Postby JoshM » 16 Jun 2012

aczk wrote:To create an indicator that reads the level II order flow and shows me where the big orders happen. For example in the eurostoxx I want to see when big lots (100+) exceed their average number/frequency for a certain period.

Depending on what you mean (from what I know about it);

Yes, it's possible to track order sizes and compare these to the average number/frequency for a certain period.

No, it's not possible to divide the level II pending orders into their respective order size.

aczk
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Re: MC code to track order size

Postby aczk » 17 Jun 2012

hi thx for the reply

The first, tracking order size, determine if it is "large" and showing what bars had this.

any idea how to code this.

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TJ
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Re: MC code to track order size

Postby TJ » 17 Jun 2012

aczk wrote:hi thx for the reply

The first, tracking order size, determine if it is "large" and showing what bars had this.

any idea how to code this.


you have to wait for the .NET version of MultiCharts.


see a chart example from Andrew Kirillov:

Image

viewtopic.php?f=1&t=10424#p50710
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Re: MC code to track order size

Postby JoshM » 22 Jun 2012

TJ wrote:
aczk wrote:hi thx for the reply

The first, tracking order size, determine if it is "large" and showing what bars had this.

any idea how to code this.


you have to wait for the .NET version of MultiCharts.

I think that it also would be possible with the DOM PowerLanguage reserved words to track the bid/ask size for a given bar (if that is Aczk's goal).


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