Trades on Ask vs Trades on Bid

[eSignal_JasonK]

Hello Lancer,

Historical bid/ask information is not exposed to EFS currently. The only access to bid/ask data is from the two functions Jay listed.

[TURLIES]

Hi Jason,
Firstly, thanks for creating a Bid/Ask volume study, it has been a request for some time and it's great to see it developed.

Secondly, will eSignal be offering the ability to use BidSize and AskSize data in an efs?

This would offer far more depth and accuracy to the Bid/Ask study, where data could be calculated as, for example :

Bid Volume = (Trades at Bid Price * BidSize)
and same structure for Ask.

Thanks,
Paul

[eSignal_JasonK]

Hi Paul,

Well it just so happens that we now have a few new EFS functions added in build 606.

getMostRecentAskSize()
getMostRecentTradeSize()
getMostRecentBidSize()

Please give me some more details as to how you would like to use the data and display the results.

[TURLIES]

Hi Jason,
That's great news - and perfect timing aswell! (i just upgraded to 606 the other day).

I've just knocked up an efs that tries to calculate what 'i think' i'm looking for. I'm new to Bid/Ask analysis, and what 'i think' i need to calculate, to provide me with a more detailed and accurate view of Bid/Ask depth and supply/demand, is as follows :

Trade at Ask = (TradeSize * AskSize)
Trade at Bid = (TradeSize * BidSize)

(I watched the Time & Sales window and this seems the obvious answer to me - but i could be completely wrong!)

Let me know what you think, and any other other help/feedback from BB members will be welcome.

Paul

[eSignal_JasonK]

Hi Paul,

How about this:

    if (vClose >= nAsk) {
        nAskVol += (nTradeSize * vClose);
    } else if (vClose <= nBid) {
        nBidVol += (nTradeSize * vClose);
    } else {
        nInsideVol += nTradeSize * vClose;
    } 

This will show you the total dollar amounts traded at the Ask, Bid and inside.