Bid_Ask Volume efs

[Seshadri]

Jason,

Is it possible to get this efs modified so that it draws one line representing a ratio between Ask volume and Bid volume? The line color to be blue if the ratio is greater than 1 and to be colored red if the ratio is less than 1. This line is to be drawn for each price bar. Alternatively the Ask volume and Bid volume can be shown as two lines also. Looking forward to your comment. Thanks in advance.

Sesh

[its1111]

Sesh
I wanted to chime in and say what a great idea, I never even thought of putting the bid/ask as a line on a chart, nice thinking
Mark

[theplumber]

Cancelations and market orders skew the process of making anything meaningful of this data. The screenshot is the bid/ask efs floating around here. Notice the red on the run up this morning? This is what I mean, that's me slamming the asks, but it shows up as ask volume, which would show as red or in a bid minus ask efs show up as a negative. The only problem is price keeps going up. It can show capitulation, which is what I use it for but true supply/demand? You would have to work the API of your order entry to somehow represent cancellations and orders getting slammed (market orders).

[Seshadri]

Greatly Honored

Mark and Plumber,

I am greatly honored to receive your comments. Plumber, just to clarify my reasons why this might be useful - if more people are hitting the Ask then it should mean that there is a lot of demand and so we should expect the price to go up. That is why I had requested for Ask volume, i.e. volume at Ask price to be in blue. Similarly it would make sense for price to go down if there are more hits on the bid. I think what you saw this morning was exactly that. The way the efs is designed right now is probably giving the wrong impression. I thought about the inside bids but logically price should not move much if it is on an inside bid. Also cancelled bids and asks should not matter because we are only interested in traded volume which is simply being split into two - at ask price and bid price. I sincerely hope that someone will be able to come up with an efs which can capture this information.

As a side note, Plumber I am avid follower of your posts on this forum. Thanks a lot for thinking loudly so even novices like me can benefit.

Sesh

[bfry5282]

Futures market depth

I've done this sort of analysis but, at least for futures on Globex, a strong inside ASK is often associated with price moving down.

What is needed is access to outer price tiers, aka Market Depth. Generally, smart money stomps on the bid or ask several tiers away from current price, in order to establish themselves first in time/price/volume queue on the exchange. Thus, we see persistent volume several tiers below the BID, for example, and a strong *inside* ASK which is simply "trailing" the price down, catching any straggling retail buyers.

4 times out of 5, price hits where the persistent smart money has already placed their bets.

[theplumber]

Re: Futures market depth

Originally posted by bfry5282
I've done this sort of analysis but, at least for futures on Globex, a strong inside ASK is often associated with price moving down.

What is needed is access to outer price tiers, aka Market Depth. Generally, smart money stomps on the bid or ask several tiers away from current price, in order to establish themselves first in time/price/volume queue on the exchange. Thus, we see persistent volume several tiers below the BID, for example, and a strong *inside* ASK which is simply "trailing" the price down, catching any straggling retail buyers.

4 times out of 5, price hits where the persistent smart money has already placed their bets.

Yes your right, but what shows up on any efs study is the opposite indication. What you described is slamming. Say people are slamming the upside, when they sit at a price after they sweep the highest volume after that initial shock will be red instead of green b/c now the most trades go off at the bid instead of the ask, which is the opposite of market direction. I've used MarketDelta, thinking I could just have a visual of tape reading but the flaw is they use someone elses data feed. They would have to get their own from the exchange, filter it somehow so they could give weighting to slamming and sweeps (like Fed day or employment Fridays) but I've never seen it done right ...yet. Even Neoticker with their own "tick" reading for what ever stock or future you trade still doesn't capture the true guerilla warefare going on with ES. This is a hard to explain in writing concept, the only way to get my point across is showing someone with a ladder order entry.

[Himalaya]

Bid/Ask Volume.efs

Can anyone tell me if the BId/AskVolume.efs can be backtested with the strategy analyzer?

I know it only updates realtime on the chart but can the info be queried at least the 10 days that tick data is available?

[eSignal_JasonK]

Hello Himalaya,

Bid/Ask data is not available on a historical basis through EFS so you will not be able to back test on this data.

[bfry5282]

Your only hope would be to log all of the bid/ask data (not easy), and then analyze, but there's no "natural" way of doing it. From
a tick chart, you can log all bid/ask updates, but can't distinguish a trade from a bid/ask update.

An interval chart can tell you when trades, and only trades occur, and so with some communication between the two, you could derive a correct data series during streaming live.

You would have bid/ask data logged, and then during replay you could read the file, and insert the correct bid/ask volumes in your efs at just the right points in your analysis. All-in-all, probably just too much work unless you really just have to have the data to refine some critical algorithm!

[Seshadri]

Bid Ask Volume Data

If eSignal folks have tick data, i.e., every single trade, then would it not be possible to match the volume traded to either the bid or ask price for each trade? Rather than the OHLC prices it would be much more useful to know if the trade happened at the prevalent bid or ask price. I hope someone from eSignal can clarify. I think inside bids are probably more relevant for stocks. As far as the eminis are concened the bid-ask spread is a constant 0.25.

Sesh

[bfry5282]

Yes, this is one of the strong advantages of eSignal, which is that each tick can be attributed to the bid or to the ask. However, like most services, it is primarily "bar" oriented, and calculation of each trade's price/volume/bid/ask relationship requires knowledge of some "secrets" not generally known. This analysis is the basis for buying/selling pressure indicators which are significant predictors of price movement.

This analysis is even better for eMini Futures than for Stocks, because Futures trade more regularly, and market analysis is much easier to do. Anyway, best of luck.

[Seshadri]

Secret

Bfry,

Thanks for your comments. I don't believe there is any secret about the relationship between a trade's price and bid/ask volume. If you call your broker about a fill they will tell you exactly where the security traded at any given point in relation to the bid and ask and how much volume was traded at what price. So if they can tell you that it means that info is readily available. The only question is whether eSignal and other data providers give such information only to their big institutional clients and not to their retail customers or alternatively may be a premium service that only a few data providers can provide.

So can eSignal folks come out into the open and say categorically that they do not capture this data and do not provide it exclusively to their institutional clients?

Sesh

[Himalaya]

Bid/Ask

How far back does Esignal save Time and Sales data?

Even in a time and sales window you can color code the trades at bid/trades at ask, so the data is there in the time and sales info. It seems like the same info can be available to an efs.

[bfry5282]

When I say "secret", I just mean that the efs technique to evaluate volume requires some understanding of how to get each tick's volume in an interval chart. eSignal is bar-oriented or interval oriented, primarily. Chart reload gives only end of bar data but when streaming, intrabar ticks available, and can be analyzed trade by trade, as in the snippet below:

The volume() function gives cumulative volume during the bar, and so if you want the volume of a tick (do not setComputeOnClose()), then you have to subtract the current volume() from the prior one to get this tick's volume.

So, once you determine the volume of this tick, then you can volume-weight its relationship to the Bid and Ask and develop an indicator. Note that bid/ask sizes not available historically
or in tick replay mode.

var cumVol=0; // outer level
//...
// in main...
if (getBarState()==BARSTATE_NEWBAR) {
cumVol=0;
}

// volume() is cumulative for this BAR
var thisTicksVol = volume() - cumVol;
cumVol=volume(); // for next intrabar tick
//... and so on...
var prc=close(); // this tick
var bid=getMostRecentBid(); // may be zero or null occasionally
var insideBidders=getMostRecentBidSize(); // not in replay
// ... and so on...

[eSignal_JasonK]

Hello All,

As bfry has pointed out we only have the bid/ask info exposed to EFS in real time. The time and sales data goes back ten days, but this history of bid/ask data is not currently accessible through EFS. This is the same for our institutional clients. Exposing the bid/ask history that we do have has been requested in the past. If you would like to put another vote in the hat, please send an email to [email protected].