order book details

Richard Yu

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Join Date: Jul 2004

Posts: 295
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#1

order book details

07-06-2005, 10:10 PM

I would like to hv a EFS calculating the VWAP of the order books. I am only aware of the functions to the most recent bid/ask price/size. Are there any functions that can show the whole order books?

thx
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ACM

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Join Date: Oct 2002

Posts: 19393
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#2

07-06-2005, 11:34 PM

Richard

I am only aware of the functions to the most recent bid/ask price/size

Those are the only bid/ask functions available to EFS at this time.
Alex
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