Cumulative Bid/Ask Analysis

[laocoon]

Hi

I've seen the many studies on this forum analysing Bid/Ask data in various ways, but I didn't find what I'm looking for so far.

I'd like to use Level II Data in a cumulative way (in this case for the DAX Futures). Here's the idea: I want to use the sum of all orders (in the Depth of Market Display DOME) on both the Bid and the Ask side of the market and display the result graphically with a line chart. I'm talking about orders only, not about actual trades.

Thanks for your help.

Best

[ACM]

laocoon
As far as I know Market Depth is not exposed to efs.
Alex

[laocoon]

Originally posted by Alexis C. Montenegro
laocoon
As far as I know Market Depth is not exposed to efs.
Alex

Hi Alex

Thanks for your reply. Could you doublecheck this just to be sure that it is not working, thanks.

Will the new EFS be able to do that?

Best

[eSignal_JasonK]

Hello laocoon,

Alex was correct in that Level II Market Depth is not exposed to EFS currently. There are no current plans, as far as I know, to add this in EFS2. Please feel free to submit a request to our development team at [email protected].