BidAskAnalysis.efs volume

[Loren_H]

I have a question about a couple of EFS files, namely, the BidAskRatio.efs and the BidAskAnalysis.efs. These two would be of immense interest if they worked the way I assume they were intended. I have noticed that instead of recording all volume traded at the bid or offer (I use it for e-mini futures, mainly ES), only volume traded at the time of a price change is recorded. In other words, if the last sale was at the bid and the next trade is for one lot at the offer, the one lot is recorded. If another 1000 trade at the offer without an intervening trade at the bid or an increase in the offer, that volume is ignored. Is there some way to get the total volume traded at the bid or offer included without a price change?

[senyorqueso]

Hi - well spotted - I've been using this efs recently and I hadn't noticed this. It can lead huge numbers of trades slipping through unnoticed.

I know main() should execute on every tick, but what is a tick? I had thought that each trade was a tick, but now I'm not so sure. If 2 trades go through at the same price without the bid or ask changing does the 2nd trade cause a tick? If not, the efs wouldn't execute.

Basic stuff I suppose, but I'm a new user of esignal - can anyone anser this?

[buzzhorton]

There are some inputs that you can change.

Also, you can use it on a tick chart instead of an interval chart.

I made a minor modification to check for the most recent trade size:

var xTradeVol = getMostRecentTradeSize(); // TRO

[Loren_H]

Thank you buzzhorton.

Would it be possible for you to show a snippet of the code showing where to insert the new variable? I have not learned the EFS language and am a bit of a novice at programming anyway. Will this change also work on interval charts or just tick charts? Any help you provide would be greatly appreciated.

Loren_H

[buzzhorton]

Loren:

I posted it already.


HTH.

[Loren_H]

buzzhorton - I really appreciate your responses, but it turns out that what I am looking for is not solved by your new code. I downloaded your formula and tracked it alongside the original. The output was identical on my one minute ES #F chart. I think the problem lies with the main() function. If it is true that the main() function initiates with a new tick, then additional volume at a given price (bid or offer) will be excluded if there is no change in the traded price. If there was a way to initiate the analysis with each trade as opposed to each tick, I think such a change would give me what I am looking for. If you or anyone else can help I'd be very grateful.

[buhrmaster]

I have been running my own version of bid-ask analysis code on tick charts, not on minute charts, and I think it runs fine. As I recall on minute charts the efs will only be hit if there is a change in price. If you want time charts consider using seconds charts (e.g. 60S = 1 minute). The ticks may hit the efs everytime there is a new trade using this.

[buzzhorton]

Yes, there is only a slight difference in my version.

I looked at the code and think perhaps if you change the input to tick instead of volume, it may be what you want.

At first glance, I don't see anything in the code that ignores the same price.

HTH.

[Loren_H]

Thank you both for your responses but, alas, neither fix worked. Switching to tick as the source in edit studies only returned a digit when price changed. Changing to a 60 second chart gave the same result as a minute chart. For example, comparing the output of the efs to the volume recorded in a time and sales window of the 13:08 bar (random) in ES, the efs returned these totals: Ask total - 10
Inside total - 0
Bed total - 9
Using a calculator and going through the trades in the time and sales window the totals were:
Ask total - 941
Inside total - 0
Bid total - 106
I think you'll agree those are significant differences. If anyone has another fix for me to try I'd appreciate it. Thanks in advance!

[senyorqueso]

Yes - I've been going through the same stuff - comparing the efs output with t&s and whatever chart type (interval, tick) i try there's a great number of trades being missed out by the efs.

Could it be that the trades are coming through too fast for the efs to handle?

[buhrmaster]

We may be talking about very different things. If so, I apologize.

I assumed you were referring to the bid-ask efs's that JasonK had worked on (http://forum.esignalcentral.com/show...s&pagenumber=2).

If so if you look down at some of the screen shots you see that they are using 30S and 2000V. In addition if you read through the thread JasonK says it only works on tick based data.

What is your interval for the tick chart? For ES for example I use 500T. I am pretty certain I am capturing all the volume because I went through a similar exercise many months ago. However I have seen occasional times when the efs is bypassed but not to the extent you've been seeing.

[senyorqueso]

Thanks - We are talking about the same stuff - I'll take another look tomorrow and try to work out what's going on.

[eSignal_JasonK]

Hello All,

Let me try to shed some light on this topic.

Any electronically traded symbol (ES, NQ etc) does not generate an execution of main() for every trade. Either a change in price must occur or the subsequent trade at the same price occurred at the bid where the previous trade occurred at the ask. This happens because of the format of the data received in the feed. Only minute based charts are affected. To get an execution of main() for every trade the chart interval needs to be set to a tick-based interval such as 60S. Our development team is aware of this. However, at this time, it cannot be determined if this behavior can be changed. If this behavior is changed we will let you know. Until then, formulas that require an execution of main() for each trade will need to be processing tick-based chart intervals.

[senyorqueso]

Thanks Jason - seems to be fine with 60S now, although I thought I tried this yesterday and still saw problems - I'll try again later when the trades are coming through faster.

So what exactly is 60S? Not 60 seconds by the looks of it.

What is odd now though is that my volume study in my 1 min chart is showing values generally less than the volumes showing up in the 60S (and I can see from T&S that trades are not showing up in my 1m volume). Do I also need a tick or 60S chart to get the correct volumes?

[its1111]

Hi Jason

Thank you very much for sheading some light on this, because this is a very important indicator for me. Let me ask you then since a 5 min chart of this efs does not give the signals yet as I understand it seconds charts are better should I therefore put up a 300 second chart for 5 minutes, would that in theory work better for the efs to be more accurate or say a 555 T chart as a guess to duplicate 5 minutes. I realize that depends on how busy the market is for the 555t but I am trying to get some kind of idea on what would work best.
Or if you have any other ideas I would really like to hear them.
As always thanks for your help.
Mark