Replay data & Excel

[mooseman]

whammer,

your message has =WINROS|LAST!'A1'
Try dropping the single quotes before and after A1, should be =WINROS|LAST!A1 to pick up the contents of A1

Dave

[derekg]

NYSE only?

Just a semi-on-topic question - is there a way to isolate the data so you get the bid/ask/last from NYSE only (ignoring the ECN's)?

[eSignal_JasonK]

Hello derekg,

We do have getMostRecentBid() and getMostRecentAsk() EFS functions. However, there isn't a method for excluding ECNs currently.

[derekg]

Thanks Jason. Do you know if there's a way to do it through the =WINROS|LAST! command into excel? I recall another feed could do this as long as we changed the command to ...LAST:N

[eSignal_JasonK]

Hello derekg,

Yes you can. Here's all the DDE fields available through winros.

Example;
=WINROS|BID!IBM.

52HDATE 52-week high date (fundamental data)
52LDATE 52-week low date (fundamental data)
52WHIGH 52-week high (fundamental data)
52WLOW 52-week low (fundamental data)
ASK Current ask for stock
ASKEXG Exchange where the ask occurred
ASKSIZE Size of the ask offer
ASSETS Assets for money market
BASE A code that determines the method of base code translation
BID Current bid for stock
BIDEXG Exchange where the bid occurred
BIDSIZE Size of the bid offer
C Close/Open/Settlement indicator (C/O/S)
CHANGE Net change between the last trade and the previous day's close
COUPON Coupon rate
DAY Calendar day that applies to the values
DAYYIELD7 Seven-day yield for money market
DIVIDEND Dividend (fundamental data)
DIVINT Dividend interval (fundamental data)
EFFYIELD Effective seven-day yield for money market
EPS Earnings per share (fundamental data)
HEADLINECOUNT Number of headlines for the issue
HIGH Today's highest value of stock
LAST Current value of stock
LISTEXG Exchange where listed
LOW Today's lowest value of stock
MATURITY Average maturity for money market
MIDPRICE On the LSE only, the midpoint between the last price and the bid price
MINUTESDELAYED Number of minutes issue is delayed
NAME Company name (fundamental data)
NAV Net asset value
NEWSCOUNT Number of news alerts for the day
NEWSDAY The day the news alert occurred
NEWSTIME Minutes after midnight since the last news alert
OFFER Current offer for mutual fund
OPEN Today's opening value
OPENINT Number of outstanding issues
OPENRANGE Average of fluctuation before market opens
PE Price/earnings ratio (fundamental data)
PREV Yesterday's last value of stock
SHARES Shares 0utstanding (fundamental data)
STATUS Status bytes of the ROS record
TICK Number of real-time transactions that day
TICKS A 4-byte array that indicates the last four price changes. Each byte can be +, -, or a space.
TIMEREALTIME Time (hours, minutes, seconds) of the last real-time activity
TIMEUPDATE Time (hours, minutes, seconds) of the last data change
TOTALVOL Total volume for the day
TRADEEXG Exchange where last traded
TRADESIZE The number of trades
XDATE Dividend date (fundamental data)
YEARUPDATE Date (mm/dd/yy) of the last real-time activity
YEARREALTIME Date (mm/dd/yy) of the last real-time activity
YIELD Yield (fundamental data)

[mgin]

Output efs data to Excel

I think I understand how to get "standard" efs data into Excel (OHLC, etc.) but is there a way to output the data from the bidaskvolume.efs (pasted below) to Excel via DDE by modifying the code below? Or is there an optimal way to get the same information that this code outputs by using the standard DDE bid/ask size and volume fields? Output the raw data into excel and perform the calculations there? I like the histogram but I would like to send the output to Excel via DDE for further processing. Would welcome any insight.

http://forum.esignalcentral.com/showthread.php?s=&threadid=9810&highlight=bid+ask

/************************************************** ***************
Provided By : eSignal. (c) Copyright 2003
************************************************** ***************/

function preMain() {
setStudyTitle("Bid\/Ask Volume");
setCursorLabelName("Ask Vol", 0);
setCursorLabelName("Inside Vol", 1);
setCursorLabelName("Bid Vol", 2);
setDefaultBarFgColor(Color.green, 0);
setDefaultBarFgColor(Color.black, 1);
setDefaultBarFgColor(Color.red, 2);
setDefaultBarThickness(8, 0);
setDefaultBarThickness(6, 1);
setDefaultBarThickness(4, 2);
setPlotType(PLOTTYPE_HISTOGRAM, 0);
setPlotType(PLOTTYPE_HISTOGRAM, 1);
setPlotType(PLOTTYPE_HISTOGRAM, 2);
}

var nBidVol = 0;
var nInsideVol = 0;
var nAskVol = 0;
var vVol = null;
var bPrimed = false;

function main() {
if (getCurrentBarIndex() < 0) return;

var nState = getBarState();
if (nState == BARSTATE_NEWBAR) {
nBidVol = 0;
nInsideVol = 0;
nAskVol = 0;
vVol = 0;
}

var vPrevVol = null;
if (vVol != null && bPrimed == true) vPrevVol = vVol;

var nAsk = getMostRecentAsk();
var nBid = getMostRecentBid();
var vClose = close();
vVol = volume();

var vTradeVol = vVol - vPrevVol;

if (bPrimed == false && vVol != null) {
bPrimed = true;
return;
} else {
if (vClose <= nBid) {
nBidVol += vTradeVol;
} else if (vClose >= nAsk) {
nAskVol += vTradeVol;
} else {
nInsideVol += vTradeVol;
}
}

return new Array(nAskVol, nInsideVol, nBidVol);
}

[eSignal_JasonK]

Hello mgin,

The easiest way would be to set up a DDE link for each of the three outputs from the formula. Incorporate this code into your version.

var ddeAskVol = null;
var ddeInsideVol = null;
var ddeBidVol = null;

function main() {
    var sSymbol = getSymbol();
    if (ddeAskVol == null) ddeAskVol = new DDEOutput(sSymbol +"_AskVol");
    if (ddeInsideVol == null) ddeInsideVol = new DDEOutput(sSymbol + "_InsideVol");
    if (ddeBidVol == null) ddeBidVol = new DDEOutput(sSymbol + "_BidVol");

    // your formula code here
    
    if(nAskVol != null) ddeAskVol.set(nAskVol);
    if(nInsideVol != null) ddeInsideVol.set(nInsideVol);
    if(nBidVol != null) ddeBidVol.set(nBidVol);
    
    return new Array(nAskVol, nInsideVol, nBidVol);
} 

Your excel formulas would look like below if IBM is the symbol, for example. If the symbols you use have spaces, you'll need to remove or replace the spaces with another character like an underscore. Let me know if you need help with that.

Excel:
=eSignal|EFS!IBM_AskVol
=eSignal|EFS!IBM_InsideVol
=eSignal|EFS!IBM_BidVol

[JIMMYZ]

Is there a way to post into excel the high and low for the first 10 minutes for about 20 stocks. I only need the first 10 minutes and everything that I have put together so far has slowed my system too much to use it on a daily basis. I have used the firstxminshl EFS and it works fine, but I can not put this data into excel to use it intraday. Any help would be appreciated. Thanks for the time and suggestions in advance.

[benjamine]

Hi,

I am having a hard time making this work. I managed to save the code JasonK posted and to activate the formula in the instrument´s chart. However, when I enter the formula in excel, I get [object series] in the cell I entered the formula. How can I fix this? I think I am very close to making it work.

[ACM]

benjamine
FWIW the code Jason posted is intended to be integrated in the code previously posted by mgin and not to be used on its own.
Once you do follow the instructions Jason provided the formula should work as intended [it is at my end]
Alex

Hi,

I am having a hard time making this work. I managed to save the code JasonK posted and to activate the formula in the instrument´s chart. However, when I enter the formula in excel, I get [object series] in the cell I entered the formula. How can I fix this? I think I am very close to making it work.