a one minute tick bar chart ... or reasonable facsimile thereof

[mikejhelms]

Hi. Is it possible to simulate a one minute bar in a tick chart so that an efs will update with every change in the bidsize and asksize regardless whether or not a trade has taken place? The problem I am having is if a study calculating the average one minute asksize is put on a one minute chart only asksize data at the time of trades during that one minute will be included in the average. While if the study is put on a tick chart, all quote and trade data will be included in the average but the time interval associated with the average will vary since the number of quotes and trades varies in any given one minute interval. So my question is, is it possible to calculate a one minute average of asksize that includes both trade and quote data? Thanks for any suggestions.

Mike

[ACM]

Mike
You could use a 60 seconds chart (ie 60s as the interval). Seconds charts are tick based so an efs will execute on every trade.
Alex

[mikejhelms]

And hopefully on every non-traded-quote. I'll find out on Monday. Thanks.

Mike

[ACM]

Mike
An efs will execute only on trades even when it is running on tick based charts (ie intervals T, V, S and P)
Alex

[buhrmaster]

I run the same bid-ask efs (in which I accumulate net bid-ask values, as a running total) on a tick chart and a seconds chart. While the study's values do track each other their total values vary, suggesting that some ticks are being missed in one or the other chart. The differences aren't big, but they do vary over the course of the day. And naturally it is better than using a minutes chart.

[mikejhelms]

buhrmaster, it doesn't surprise me that the variations you found were minor considering it seems only a small percentage of trade data processed using 60 second bars is missed using one minute bars. But that loss of data input into an efs is insignificant compared to the substantial amount of non-traded quote data (that is quotes that are reported but not traded on and displayed in a T&S chart) that seems not to be processed by an efs at all, if I understand Alex's reply correctly. Am I correct that this is the case and if so have you found a workaround method to have non-traded quote data processed by an efs in real-time?

Mike

[buhrmaster]

Mike,

For what I'm doing I only need data related to actual trades. I don't believe you can achieve your goal with EFS.