Volume analysis

[nimrod]

Is there any way to make the various BidAsk volume analysis scripts in the EFS library (ie BidAskRatio.efs, BidAskvolume.efs & BidAskAnalysis.efs) load historic data? Their usefulness is compromised by starting from scratch when loaded, and even when changing chart time, or making a configuration change to the study.

The data is all available in time and sales so there must be some way of making use of it - mustn't there ???

[ACM]

nimrod
The functions used in those scripts ie getMostRecentXxx() do not have access to historical time and sales data. They can only return the current market data, which is why you get flat lines on historical bars.
Alex

[nimrod]

Originally posted by Alexis C. Montenegro
nimrod
The functions used in those scripts ie getMostRecentXxx() do not have access to historical time and sales data. They can only return the current market data, which is why you get flat lines on historical bars.
Alex

Thanks Alex.

Do you know of any studies (commercial or otherwise) that do show similar information using historical data. I am aware of the Kryza volume analysis studies which do but would prefer to see information as presented by the bidask studies for use in conjunction with the ESig volume profile facility

Any suggestions?

[ACM]

Nimrod
I personally don't know of any (which does not mean that they don't exist)
Perhaps someone else may be able to provide a suggestion
Alex

[augustus]

Hi,

if you use Tradestation 8 with owndata you get historic bid/ask data from the esignal data stream.

Also programs like marketdelta ( www.marketdelta.com ) or http://www.trademavenllc.com/tm_pages/professional.html display hstoric bid/ask data from esignal.

This means that the information must be present in the data stream, so i don't know why they are not requestable in efs.

[nimrod]

Originally posted by augustus
Hi,

if you use Tradestation 8 with owndata you get historic bid/ask data from the esignal data stream.

Also programs like marketdelta ( www.marketdelta.com ) or http://www.trademavenllc.com/tm_pages/professional.html display hstoric bid/ask data from esignal.

This means that the information must be present in the data stream, so i don't know why they are not requestable in efs.

Thanks Augustus,

I have tried Market Delta and TradeMaven. They are what have given me a taste for better volume analysis. ESigs Market Profile is good as far as it goes but some simple enhancements would make it a whole lot better IMHO

[nimrod]

Originally posted by Alexis C. Montenegro
Nimrod
I personally don't know of any (which does not mean that they don't exist)
Perhaps someone else may be able to provide a suggestion
Alex

Alex

Is the Time & Sales data-stream available to EFS?

Specifically would it be possible to contruct scripts like the 'bidAskRatio' , 'bidaskvolume' etc which DO access the historical T&S data?

Also, it would be nice to be able to show running totals/per defined period in filtered and unfiltered T&S windows. Any way of acheiving this through EFS or otherwise that you know of?

[ACM]

Nimrod
As I indicated in a prior reply EFS can only access Time & Sales data in real time and cannot retrieve historical Time & Sales data. You may want to send a request for enhancement to [email protected]
Alex

[ryang]

Decoding Esignal Tick Data

Hi, thank you for the thread. I want to use the bid/ask volume results in my backtesting.

I know that Esignal does not provide Time/Sales data support (to an EFS) for historical bars, but I can download the tick data from Esignal.

I downloaded the tick data, and I'm trying to figure it out so I can parse it myself and modify the backtesting trade blotter manually given the additional indications from the bid/ask volume.

Here is the general format for the tick data that I downloaded:

T,090302,033430,29,100,PSE
...
Q,090302,033430,28.5,29.27,1,4,PSE,PSE

Please let me know if this interpretation is correct:

T rows: (T)rade / Date / HHMMSS / FillPrice / FillSize / FillVenue
Q rows: (Q)uote / Date / HHMMSS / BidPrice / AskPrice / BidSize / AskSize / BidVenue / AskVenue

Also, is there a new quote record every time there is any change in the inside market only?

Thank you for your help!

- Roger

[eSignal_AlexM]

Please let me know if this interpretation is correct:

T rows: (T)rade / Date / HHMMSS / FillPrice / FillSize / FillVenue
Q rows: (Q)uote / Date / HHMMSS / BidPrice / AskPrice / BidSize / AskSize / BidVenue / AskVenue

Your interpretation is correct.

As to your question i'm not sure i understand it. EFS is executed on every new trade tick unless you have setComputeOnClose(true) in preMain.

[ryang]

Great, thank you.