BidAskRatio.efs

[eSignal_JasonK]

File Name: BidAskRatio.efs

Description:
Analyzes Bid/Ask tick or volume data by calculating various ratios selected by the user through the Edit Studies options.

Formula Parameters:
Analysis: Cumulative [Bar, Cumulative]
Study Output: Ask/Bid [Ask/Bid, Ask/Total, Bid/Total, Ask-Bid]
Source: Volume [Tick, Volume]
Trade Volume Filter: 0 (Exlcudes trades below specified filter)
Positive Color: blue
Negative Color: red
Thickness: 2
Plot Type: Line [Line, Histogram]

Notes:
This study may only collect and display data in real time only. It will collect and display data after the study has completely loaded. A reload of the study will start the analysis over because Bid/Ask data in not exposed to EFS for historical bars.


Download File:
BidAskRatio.efs



EFS Code:

/*********************************
Provided By : eSignal (c) Copyright 2004
Description: Bid/Ask Ratio

Version 2.0

Notes
*** 2.0 - 11/26/2004 ***
    - Added Trade Volume Filter.  Trade Volume less than the Filter
      number will be excluded when Srouce is set to Volume.
    - 5/27/05 - Fix for Trade Volume Filter.  Wasn't properly 
      reseting the total at new bar.

Formula Parameters:                 Defaults:
Analysis                            Cumulative
    [Bar, Cumulative]
Study Output                        Ask/Bid
    [Ask/Bid, Ask/Total, Bid/Total, Ask-Bid]
Source                              Volume
    [Tick, Volume]
Trade Volume Filter                 0
Positive Color                      blue
Negative Color                      red
Thickness                           2
Plot Type                           Line
    [Line, Histogram]
*********************************/

function preMain() {
    setStudyTitle("Bid\/Ask Ratio ");
    setCursorLabelName("Ask/Bid", 0);
    setDefaultBarThickness(2, 0);
    setShowTitleParameters(false);
    
    addBand(1, PS_SOLID, 1, Color.black, "even");
    
    var fp0 = new FunctionParameter("sType", FunctionParameter.STRING);
        fp0.setName("Analysis");
        fp0.addOption("Bar");
        fp0.addOption("Cumulative");
        fp0.setDefault("Cumulative");
    var fp1 = new FunctionParameter("sOutput", FunctionParameter.STRING);
        fp1.setName("Study Output");
        fp1.addOption("Ask/Bid");
        fp1.addOption("Ask/Total");
        fp1.addOption("Bid/Total");
        fp1.addOption("Ask-Bid");
        fp1.setDefault("Ask/Bid");
    var fp2 = new FunctionParameter("sSource", FunctionParameter.STRING);
        fp2.setName("Source");
        fp2.addOption("Tick");
        fp2.addOption("Volume");
        fp2.setDefault("Volume");
    var fp2a = new FunctionParameter("nFilter", FunctionParameter.NUMBER);
        fp2a.setName("Trade Volume Filter");
        fp2a.setLowerLimit(0);
        fp2a.setDefault(0);
    var fp3 = new FunctionParameter("cPos", FunctionParameter.COLOR);
        fp3.setName("Positive Color");
        fp3.setDefault(Color.blue);
    var fp4 = new FunctionParameter("cNeg", FunctionParameter.COLOR);
        fp4.setName("Negative Color");
        fp4.setDefault(Color.red);
    var fp5 = new FunctionParameter("nThickness", FunctionParameter.NUMBER);
        fp5.setName("Thickness");
        fp5.setDefault(2);
    var fp6 = new FunctionParameter("sPlotType", FunctionParameter.STRING);
        fp6.setName("Plot Type");
        fp6.addOption("Line");
        fp6.addOption("Histogram");
        fp6.setDefault("Line");
}

var nAsk = null;
var nBid = null;
var nRet = 1;
var aReturn = new Array(1); // return array;

// Volume
var nBidVol = 0;
//var nInsideVol = 0;
var nAskVol = 0;
var nTotalVol = 0;
var vVol = null;
var bPrimed = false;

// Tick
var nBidTick = 0;
//var nInsideTick = 0;
var nAskTick = 0;
var nTotalTick = 0;

var bEdit = true;

function main(sType, sOutput, sSource, nFilter, cPos, cNeg, nThickness, sPlotType) {
    if (bEdit == true) {
        setStudyTitle("BidAskRatio:   " + sOutput + ": " + sSource + " (" + sType + ")");
        setDefaultBarThickness(nThickness, 0);
        setCursorLabelName(sOutput, 0);
        if (sPlotType == "Histogram") setPlotType(PLOTTYPE_HISTOGRAM, 0);
        if (sOutput == "Ask-Bid") {
            addBand(0, PS_SOLID, 1, Color.black, "even");
            nRet = 0;
        }
        bEdit = false;
    }

    if (getCurrentBarIndex() < 0) return nRet;
    
    var nState = getBarState();

    if (sSource == "Volume") {
        if (nState == BARSTATE_NEWBAR) {
            vVol = 0;
            if (sType == "Bar" || getDay(0) != getDay(-1)) {
                nBidVol = 0;
                //nInsideVol = 0;
                nAskVol = 0;
                vVol = 0;
                nTotalVol = 0;
                aReturn[0] = 0;
            }
        }
        
        var vPrevVol = 0;
        if (vVol != 0 && bPrimed == true) vPrevVol = vVol;
        
        var nTempAsk = getMostRecentAsk();
        var nTempBid = getMostRecentBid();
        if (nTempAsk != null && nTempAsk != 0) nAsk = nTempAsk;
        if (nTempBid != null && nTempBid != 0) nBid = nTempBid;
        var vClose = close();
        vVol = volume();
        
        var vTradeVol = vVol - vPrevVol;
        if (vTradeVol < nFilter) return aReturn;
        
        if (bPrimed == false && vVol != null) {
            bPrimed = true;
            return;
        } else {
            nTotalVol += vTradeVol;
            if (vClose <= nBid) {
                nBidVol += vTradeVol;
            } else if (vClose >= nAsk) {
                nAskVol += vTradeVol;
            } /*else {
                nInsideVol += vTradeVol;
            }*/
        }
    } else if (sSource == "Tick") {
        if (nState == BARSTATE_NEWBAR) {
            if (sType == "Bar" || getDay(0) != getDay(-1)) {
                nBidTick = 0;
                //nInsideTick = 0;
                nAskTick = 0;
                nTotalTick = 0;                
                aReturn[0] = 0;
            }
        }
        
        var nTempAsk = getMostRecentAsk();
        var nTempBid = getMostRecentBid();
        if (nTempAsk != null && nTempAsk != 0) nAsk = nTempAsk;
        if (nTempBid != null && nTempBid != 0) nBid = nTempBid;
        var vClose = close();
        
        nTotalTick++;
        if (vClose <= nBid) {
            nBidTick++;
        } else if (vClose >= nAsk) {
            nAskTick++;
        } /*else {
            nInsideTick++;
        }*/        
    }
    
    
    // Return Data
    var nReturn = 1;
    switch (sSource) {
        case "Volume" :
            switch (sOutput) {
                case "Ask/Bid" :
                    if (nBidVol == 0) nReturn = 1;
                    else nReturn = (nAskVol/nBidVol);
                    break;
                case "Ask/Total" :
                    if (nTotalVol == 0) nReturn = 1;
                    else nReturn = (nAskVol/nTotalVol);
                    break;
                case "Bid/Total" :
                    if (nTotalVol == 0) nReturn = 1;
                    else nReturn = (nBidVol/nTotalVol);
                    break;
                case "Ask-Bid" :
                    nReturn = (nAskVol-nBidVol);
                    break;
                default : nReturn = 1;
            }
            break;
        case "Tick" :
            switch (sOutput) {
                case "Ask/Bid" :
                    if (nBidTick == 0) nReturn = 1;
                    else nReturn = (nAskTick/nBidTick);
                    break;
                case "Ask/Total" :
                    if (nTotalTick == 0) nReturn = 1;
                    else nReturn = (nAskTick/nTotalTick);
                    break;
                case "Bid/Total" :
                    if (nTotalTick == 0) nReturn = 1;
                    else nReturn = (nBidTick/nTotalTick);
                    break;
                case "Ask-Bid" :
                    nReturn = (nAskTick-nBidTick);
                    break;
                default : nReturn = 1;
            }
            break;
        default: nReturn = 1;
    }
    
    if (nReturn >= 1) setBarFgColor(cPos, 0);
    else setBarFgColor(cNeg, 0);

    aReturn[0] = nReturn;
    return nReturn;
}