Bid Ask Size Plot on Advanced Chart

[drizzi]

Volume EFS's

Plumber

Your volume derived indicators look great and I have been looking for something similiar. Would you be willing to share your EFS's for the Bid/Ask Relative Vol and the Moving Averages of the same as they appear on the chart you posted.

Thanks
Doug

[eSignal_JasonK]

Hello laocoon,

What specific symbol(s) are you referring to?

[laocoon]

Originally posted by JasonK
Hello laocoon,

What specific symbol(s) are you referring to?

Sorry for that, I forgot to mention that this happens with the DAX futures (symbol AX M5-DT)

Thanks

[eSignal_JasonK]

Hello laocoon,

I checked a few one minute bars today and the bars I checked were spot on with the Time and Sales data. Are you sure you are only adding up trade volume from time and sales? Are you filtering out quotes?

What version are you running?
Please post a snap shot of your time and sales properties. I'll compare my settings with yours and see if that has anything to do with it.

Are you only seeing differences on AX M5-DT or do you have the same problem with any other symbol?

[laocoon]

Originally posted by JasonK
Hello laocoon,

I checked a few one minute bars today and the bars I checked were spot on with the Time and Sales data. Are you sure you are only adding up trade volume from time and sales? Are you filtering out quotes?

What version are you running?
Please post a snap shot of your time and sales properties. I'll compare my settings with yours and see if that has anything to do with it.

Are you only seeing differences on AX M5-DT or do you have the same problem with any other symbol?

Hi JasonK

Sorry for my late reply.
I checked my setup again, and the issue is still apparent. I'm getting inconsistent results between the T&S chart and the Bid/Ask Volume Study for almost every candle. I tested the DAX futures as well as the Eurostoxx futures (AX M5-DT & ET M5-DT).

I'm really only talking about actual trades, not Bid/Ask quotes. when comparing the T&S and the study live, it surely produces some strange stuff, such as a couple of orders going over the Tape at the Inside (displayed in light grey in my setup), while the Bid Vol (red line) on the Study rises, etc.

Thanks for your help.

Cheers

PS: I'm running the latest version of eSignal and my T&S settings are default, I just changed the colors of the trades above/at/below bid/ask.

[Anson]

I think I know what the problem is.
The Bid/Ask volume efs reads the ticks differently from the T&S sometimes.

Quite often... if you refresh your T&S, you will see changes to the colors. Trades on the bid can change to trades on the offer. Inside trades can suddenly change to trades on the bid or offer. Or some trades that were on bid/offer suddenly change to inside trades. I know these all too well as I watch my T&S everyday and keep refreshing them.

What first appears on T&S may not always be an accurate reflection. Bid/Ask efs, however, cannot be refreshed or you lose the tick data already collected so far. Hence, I don't refresh it.

I wonder why the T&S doesn't remain consistent tho. It's almost like it depends upon reading previous bid/ask quotes to know if it traded on the bid/offer rather than actually derive the value from the exchange data itself.

Perhaps eSignal can comment.

[laocoon]

Originally posted by Anson
I think I know what the problem is.
The Bid/Ask volume efs reads the ticks differently from the T&S sometimes.

Quite often... if you refresh your T&S, you will see changes to the colors. Trades on the bid can change to trades on the offer. Inside trades can suddenly change to trades on the bid or offer. Or some trades that were on bid/offer suddenly change to inside trades. I know these all too well as I watch my T&S everyday and keep refreshing them.

What first appears on T&S may not always be an accurate reflection. Bid/Ask efs, however, cannot be refreshed or you lose the tick data already collected so far. Hence, I don't refresh it.

I wonder why the T&S doesn't remain consistent tho. It's almost like it depends upon reading previous bid/ask quotes to know if it traded on the bid/offer rather than actually derive the value from the exchange data itself.

Perhaps eSignal can comment.

I'm afraid you're confirming my worst fear, ie that the Time & Sales chart of eSignal isn't reliable. How in the world can a trade change from being on the bid to being on the ask, there's only one reality out there and that's the market and it cannot depend on the quote provider you're using....!!

Refreshing the T&S would be completely useless for me since I'm a scalper and therefore rely on split-second setups where I must be able to totally trust my data.

Please comment on that eSignal since this is a major issue....(not just for me obviously but for every serious scalper out there...)

[Anson]

Oh.. FWIW.. I'm mostly watching the Eurostoxx50 with my T&S... so on the same page as laocoon. ie. Eurex data.

[eSignal_JasonK]

Hello laocoon,

I see the behavior your talking about after refreshing the time and sales window on AX M5-DT. I've started an investigation with our QA department. This problem doesn't occur with regular US equity symbols, so it may be related to certain markets or data feeds. However, the data that collected in real time on AX M5-DT should be accurate and should match the EFS totals.

[Anson]

Originally posted by JasonK
Hello laocoon,

I see the behavior your talking about after refreshing the time and sales window on AX M5-DT. I've started an investigation with our QA department. This problem doesn't occur with regular US equity symbols, so it may be related to certain markets or data feeds. However, the data that collected in real time on AX M5-DT should be accurate and should match the EFS totals.

Jason, do you mean what I said about refreshing and seeing differences? It would be great if you could pass that on to them.

[eSignal_JasonK]

Hello Anson,

Yes, that's correct.

[eSignal_JasonK]

Hello Anson/laocoon,

I think this problem is also specifically tied to the "Long View" setting of the time and sales window. Try changing the view setting to "Short View." In my initial testing with this view today, I'm seeing the trades properly formatted in real time and after a refresh of the time and sales window.



Please try this view setting as a temporary work-around and report back if you encounter the same problem when comparing these results to the EFS.

[Anson]

Originally posted by JasonK
Hello Anson/laocoon,

I think this problem is also specifically tied to the "Long View" setting of the time and sales window. Try changing the view setting to "Short View." In my initial testing with this view today, I'm seeing the trades properly formatted in real time and after a refresh of the time and sales window.



Please try this view setting as a temporary work-around and report back if you encounter the same problem when comparing these results to the EFS.

Jason,

I've been using "Short View" for the last few months! I'm not comparing to any EFS tho... comparing only to the refresh of T&S.

I'll let Laocoon test against EFS.

[laocoon]

Originally posted by JasonK
Hello Anson/laocoon,

I think this problem is also specifically tied to the "Long View" setting of the time and sales window. Try changing the view setting to "Short View." In my initial testing with this view today, I'm seeing the trades properly formatted in real time and after a refresh of the time and sales window.



Please try this view setting as a temporary work-around and report back if you encounter the same problem when comparing these results to the EFS.

Hello JasonK

I've extensively tested both views, ie, the Long View and the Bid/Ask Compacted, the results are unfortunately no different.
The T&S chart can for example display a series of trades inside, while the efs study displays an increase of the Ask Volume (ie, contracts traded at the Ask).

Sorry, but we're not there yet....

[laocoon]

Originally posted by JasonK
Hello Steve,

We have some formulas in our EFS Library that might be what you are looking for. Try one of the following.

BidAskSize.efs
BidAskAnalysis.efs
BidAskVolume.efs

Hi JasonK

I'm trying to customize the BidAskVolume.efs study so as to have the contracts traded at bid/at ask/inside displayed in % of the total volume of the bar. Right now the study shows the number of contracts in absolute terms, which is fine but I'd like to have the % as well. Could you help me out on this one, thanks a lot.

Regards