BidAskAnalysis.efs volume

[buhrmaster]

Originally posted by JasonK

Any electronically traded symbol (ES, NQ etc) does not generate an execution of main() for every trade.

Jason, thanks for the clarification. There are other electronically traded symbols on non-GLOBEX exchanges such as ECBOT. Are these treated the same way as ES, NQ, etc.? Or can time charts be used and still capture every tick in main()? Also, what you wrote suggests that stocks work fine with any chart type. Is that also correct? Thanks.

[its1111]

Hello All

Well today i decided to put 9 charts with this efs blown up on the chart. What I have found out is that when you put up a 5 min chart and say I have a 0 lot for the vol on one a 50 lot for the vol on another and say a 100 lot on the vol for another 5 min chart I get a nice breakdown of the differnt players., but the time and sales don't work right.
Now when I put up a seconds chart or a tick chart and put and on edit studies have the same 0 50 and 100 numbers for the volume, I get a much better time and sales but I get the same exact figures accross all three charts, it shows absolutely no differnce for the volume studies for seconds and tick charts. In other words when I edit for 0 50 and 100 contracts I get the same number for all three charts, which shows it isnt working.
So now the five minute seems to work for the volume studies but doesnt give the right time and sales going through. The seconds and tick charts gives the better time and sales but no differnce when editing the volume, so really it doesnt work, anyone have any ideas.
Thanks for any help
Mark

[buhrmaster]

A picture or two might clarify your point.

[its1111]

H Buhr

I know that I can put one picture of the chart up, but I have nine charts next to each other with differnt settings how could I do that? I am watching the charts next to each other real time, so pretty hard to show, if you have any ideas please let me know
thanks
Mark

[Loren_H]

JasonK - Thanks for the clarification. I seem to have arrived at a solution using your suggestion of a 60s chart and buzzhorton's variation of the original efs which adds the getmostrecenttradesize variable. I will continue to monitor the results.

As an aside, and I apologize for my lack of knowledge on the subject, it seems counterintuitive to have an existing part of eSignal (the time and sales window) which captures and sorts the data perfectly, and yet be unable to devise a way to simply add the already sorted volume in the three variables using a timer. But, as I have said, I am not a programmer and don't know what is involved.

[eSignal_JasonK]

senyorqueso, yes 60S is a chart with 60 second bar intervals.

its1111, 300S interval would be better because it will give you 5 minute bars. A 555T chart would also execute main() on every trade but the time each 555T bar would cover would vary depending on the level of activity for the symbol. Regarding the volume filter, I just tested the version that is currently in the library and it is excluding any trades with a volume less than the number specified for the filter. Check to make sure that you are using "Volume" for the Source parameter and not "Tick."

buhrmaster, regarding ECBOT, I believe those should be fine. I've not heard any reports on ECBOT regarding this problem. Have you tested the formula with some of those symbols? Also equity symbols do not have this problem. They execute properly on minute or tick-based charts.

[its1111]

Thanks Jason for the reply

You are correct I had the tick box checked in the edit sudies, I thought if you were watching tick charts that you had to had the tick study checked so thanks for the heads up. They seem to be working now and will watch them through out the day. Appreciate your time
Mark

[senyorqueso]

Jason - yes, all looks good now - pre-market the 60s bars were nothing like a minute each, but presumably it needs a tick to start a new bar.