suggestion MC

Questions about MultiCharts and user contributed studies.
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suggestion MC

Postby drudominique » 03 May 2010

Good morning.

Can you please implement as quickly as possible and instruction ASKSIZE BIDSIZE.

thank you very much.

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Bruce DeVault
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Postby Bruce DeVault » 04 May 2010

This could be done, but bear in mind these are snapshots only, so the information content of this would be pretty fleeting - the size shown would be whatever the size happened to be at that moment as of the last snapshot, and in reality, the size posted for liquid instruments changes many, many times per trade tick (which is the shortest update interval possible in EL, even if every size update were captured which is not the case), which means the value returned would be somewhat random although within the range of values that were actually there and thus still of some usefulness - just maybe more limited than might be initially supposed.

I do support doing this for language completeness (especially considering the architectural limitations may be loosened in the future), just wanting to make sure you understand that from an analysis rather than programming perspective it may not be quite as useful as you're thinking because of the architectural situation.

Probably the most common thing people try to do with this type of information on a level one quotes basis is to attempt to analyze "pulled orders" by comparison of the level one quotes with the executed trades themselves, but the problem with this is you're only seeing the changes captured when the strobe light flashes to take the snapshot, and there are at least 10x as many size changes (that's actually a significant understatement) for liquid instruments that you're not seeing, so the analysis ends up being really limited compared to the intention.

Posts: 70
Joined: 17 Mar 2010

Postby drudominique » 04 May 2010

yes I understand but even if the information is ephemeral it is still useful to make calculations of probability and statistics.

technical issue.

ts in the time and sales are dirty or we can even orders that were executed why no platform does not get its information?

french :

oui je comprends mais même si l'information est éphémère elle est quand même utile pour faire des calculs de probabilité et des statistique .

question technique .

dans ts il y a le time et sales ou nous pouvons voire les ordres qui ont été exécuté pourquoi aucune plateforme ne peut récupérer ses informations ?

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