Cummulative Bid Ask Volume

[FibbGann]

Here is a small screen shot, allowing you to track 100's of stocks at once.

[Natalie]

Originally posted by JasonK
Hello Natalie and Iron,

Just wanted to let you know I've been doing some testing on this issue. What I've found is that there is a problem with certain symbols. Seems to be related to the electronically traded symbols such as ES and NQ. Regular symbols such as IBM, INTC etc. are executing properly. This problem will be reported to our development team.

I used the formula below to compare the EFS execution with the Time and Sales window. For better comparison, set the Time and Sales window to only display trades. With ES and NQ, for example, when a string of trades occur at the same price and they are all at the ASK, EFS is only executing on the first trade in that series. As soon as a trade occurs at the BID or at a different price than the last trade, then the EFS gets executed.

EFSvsTimeSales_bug.efs

Hi Jason,

The answer lies in opening up the T&S to be accessed, (or more to the point hardcoding as a built in indicator this variation of volume based upon T&S data since it would operate very much quicker than an efs could).

I don't understand why this kind of data is not open to access anyway (not to mention depth data) since these are the most standard tools of the trader - The order flow, size, depth and activitiy rates.

Kind regards

Natalie

[gspiker]

I don't understand why this kind of data is not open to access anyway (not to mention depth data) since these are the most standard tools of the trader - The order flow, size, depth and activitiy rates.

Well not for all traders, some don't care about such things.

But, your point is well taken, T&S and Market Depth should be opened up (this has been requested in the past). Imagine the fun things you could do in an EFS, showing (based on speculation I admit) which MM's are the most active in REAL trades and what their stance is - Which MM's are pulling their bids/asks and if they are what sizes they tend to use before fading. Alerts based on large block trades, esp if they are out of the bid/ask range...etc.

Garth

[Natalie]

Originally posted by gspiker
Well not for all traders, some don't care about such things.

Well true Garth but I think enough probably do and it is the natural progression.

But, your point is well taken, T&S and Market Depth should be opened up (this has been requested in the past). Imagine the fun things you could do in an EFS, showing (based on speculation I admit) which MM's are the most active in REAL trades and what their stance is - Which MM's are pulling their bids/asks and if they are what sizes they tend to use before fading. Alerts based on large block trades, esp if they are out of the bid/ask range...etc.

Garth

Then the fun can start with things like that. Even on the futures, measuring the true weight and activity would be interesting too. I'll bet there are some good signals that can be found, even if only confirmations of other things and filtering systems...

Kind regards

Natalie

[FibbGann]

Yes, the program I posted below shows you all these things. Talk about taking a huge burden off of trying to keep up with the MM's Level II and Time & Sales. This tool has made it SO MCUH easier on me. Oh well I will just keep running two platforms until one fullfils the proper essentials of many traders.

Fibbgann

[fanie]

Dynamic Ticker Window

Dear Sirs

I have read the post about the dynamic ticker window posted by FibbGann . Is it possible to download this study?

Thank you very much in advance.

[FibbGann]

You have to get Cybertrader Pro.


Fibbgann

[bassocat5]

For JasonK

Jason,

I appreciate your investigating this problem and just wanted to point out that this isn't just a time and sales issue. ANY volume related indicator (and any efs that uses volume) does not get updated properly either. If you look at volume on multiple time frames (in my case, 1,3 & 5 minute on the ES), they wont add up. Of course, I'm speaking of bars that are computed "real time".

thanks,
Rich

[Natalie]

Originally posted by JasonK
Hello Natalie and Iron,

Just wanted to let you know I've been doing some testing on this issue. What I've found is that there is a problem with certain symbols. Seems to be related to the electronically traded symbols such as ES and NQ. Regular symbols such as IBM, INTC etc. are executing properly. This problem will be reported to our development team.

I used the formula below to compare the EFS execution with the Time and Sales window. For better comparison, set the Time and Sales window to only display trades. With ES and NQ, for example, when a string of trades occur at the same price and they are all at the ASK, EFS is only executing on the first trade in that series. As soon as a trade occurs at the BID or at a different price than the last trade, then the EFS gets executed.

EFSvsTimeSales_bug.efs

Hi Jason,

Is there any timescale for fixing the bug at all?

Also, I wonder if is possible to 'modify' cumulative Bid/Ask so that it starts at NMH, and then will add this bar so far to a number of previous bars (not including yesterday), with the ability to be able to specify the length required? Then with each new bar, it will drop off the first bar so that the same number of bars bid/ask is showing. Basically 2 lines one Green one red - something like that?

Of course fixing the bug is an important factor in this too unfortunately...

It would also be nice to be able to pick up historical value for this on downloads (at least going back 10 days since the T&S goes back 10 days...) - Are there any possibilities of this happening too?

Many thanks as always for your help.

Kind regards

Natalie

[eSignal_JasonK]

Hello Natalie,

All I can say right now is that the problem is being investigated. When I receive more specifics on the issue I'll be sure to post some information to this forum. I can tell you that the next group of EFS fixes, which hopefully will include this one, will be included in the 7.6 release at the earliest. However, I can't promise you anything.

I will look into the bid/ask formula as soon as I can. I'm a bit backed up currently, so please be patient.

As for historical bid/ask data, it's not currently exposed to EFS for performance reasons. However, you can always submit suggestions to [email protected].

[Natalie]

Hi Jason,

Many thanks for your reply.

Any idea when we will be onto 7.6? (I notice 7.5 is still quite buggy atm though so presumably that will take quite a bit of fixing first...)

I think I will drop them a line about opening up the Bid/Ask data, and the ideal solution would be to have them built in (hard coded) like standard volume and other basic studies rather than running through .efs, making them much more easily accessible, quicker to operate and less greedy.

Or have you already passed the comments on within e-signal?

Many thanks

Natalie

[eSignal_JasonK]

Hello Natalie,

I'm not sure what the dates for 7.6 are.

As for exposing historical Bid/Ask data, I have not passed any request for that to development. Other users may have requested it before, not sure. Feel free to do so.

[michaelm]

Jason,

Can this be tweaked so as to show bid ask volume per bar, rather than cummulative?
Thanks.

Originally posted by JasonK
Hello All,

Check out this version. I made a few tweaks to David's formula.
cumBidAskVol.efs

Since the formula only collects data for display in real time, would anyone have any interest in having the cumulative numbers start at zero at the beginning of each bar vs. from the time the formula is loaded? We could make it an option as well.



Himalaya, the formulas do execute on every trade, not just a change in price. The problem you might be seeing has to do with fast markets. At times, there may be several trades that occur in such a short period of time that the EFS can't execute for every trade. Some trades will get skipped in this case. It's a known problem. Not sure if or when a solution to that will be found.

[eSignal_JasonK]

Hello Michael,

There happens to be a formula in our on-line EFS Library that should work for you. Check out BidAskVolume.efs.

[michaelm]

Yes, indeed. I have that one, too, but find the histogram in cumbidaskvol.efs visually easier. So, I what I'm looking for is bidaskvol.efs with histogram plot as in cumbidaskvol.efs.

Thanks, Jason.