Bid/ask history in efs

[codehead]

Bid/ask history is not available in esignal 11 (and previous versions). So, to do any bid/ask analysis, it has to be run from the time you open esignal and the efs.

Bid/ask history is available in the data stream, however. If you run tradestation with the esignal data feed, you get bid/ask history.

Most bid/ask analysis is relative--you need to look at recent action as a reference, probably at least the action over the prior day.

Will esignal ever get this capability? Anyone else besides me want to see this? (Anyone understand what I'm talking about?)

(And yes, I have submitted this request before, during esignal 11 beta testing.)

[ScottJ]

Historical b/a data is available upon request. You simply need to contact Support and ask to be routed to "full" Trade and Quote servers. By default, users are pointed to trade-only servers as those produce faster chart results since there's less data on those servers.

Thanks.

[codehead]

Originally posted by ScottJ
Historical b/a data is available upon request. You simply need to contact Support and ask to be routed to "full" Trade and Quote servers. By default, users are pointed to trade-only servers as those produce faster chart results since there's less data on those servers.

Thanks.

It seems as though one of us is misunderstanding the other. Right now (and I just did it, right now), I can feed esignal data into tradestation (via OwnData) and fill a chart with a simple indicator that gives me a moving average of uptick volume minus downtick volume. The entire chart, spanning the past few days, backfills. I can't do this on esignal 10/11. Am I missing something here?

Maybe OwnData is building the history, piecing together different data history requests, but if so it's fast, transparent, and it gets the job done. I don't know of any acceptable way to do this in esignal (other than download tick history and do a tick replay, which is not acceptable).

[codehead]

After additional thought, even if I request this "full" data feed, how would I access the bid/ask history? The efs methods, such as getMostRecentAsk() and getMostRecentBid() only grab the most recent ask or bid.

[codehead]

Still waiting for reply...

[eSignal_AveryH]

When the entitlement is added to your account you are then be routed to the servers that provide the historical bid/ask. The data would then be visible via a Time and Sale window or a tick charts.

[codehead]

Originally posted by eSignal_AveryH
When the entitlement is added to your account you are then be routed to the servers that provide the historical bid/ask. The data would then be visible via a Time and Sale window or a tick charts.

Not interested in perusing time and sales, but could you give me an idea of what you mean by "visible via... tick charts"? And could I get at the info from efs? For instance, tradestation easylanguage has reserved words UpTicks and DownTicks, for volume traded at the uptick or downtick. From efs, I can only look at the volume on the current tick, and deduce whether it was a sell to the bid or buy at the ask by checking getmostrecentbid and getmostrecentask, which are not bar-oriented, and therefore can't be used to backfill.

Again, I'm wondering if I getting an answer to the right question. If I am, sorry for being dense, but...

I can get this info *now* in tradestation from my esignal data feed. And I just did a search and see that someone else claims they get it in Investor/RT from esignal feed:

http://forum.esignal.com/showthread.php?threadid=28357

So, the info seems to be there already. Secondly, even if I do what you say (request a full quote server), I still know of no way to get at it from efs.

Perhaps you're misunderstanding the question? (Or I'm misunderstanding the answer...)

[codehead]

Additional info:

eSignal_JasonK: "We don't have bid and ask information exposed [to efs] for historical bars..."

http://forum.esignal.com/showthread.php?postid=48136

[eSignal_AveryH]

Per our discussion I've spoken with our Product Managers and JKECK about the possiblity of being able to access historical bid and ask using EFS.

What I've found it is that this request is already made and a ticket added to further investigate it implemenation. With most of the development focus on getting eSignal 11 released this request has been backlogged. No time frame has been set on when they would start working in it just yet.

[codehead]

Originally posted by eSignal_AveryH
Per our discussion I've spoken with our Product Managers and JKECK about the possiblity of being able to access historical bid and ask using EFS.

What I've found it is that this request is already made and a ticket added to further investigate it implemenation. With most of the development focus on getting eSignal 11 released this request has been backlogged. No time frame has been set on when they would start working in it just yet.

That's for following up, Avery. I hope to see it not *too* far down the road (I'll have to use some other software till then for analyzing bid/ask volume), but at least it cleared up the deal about the servers.

[codehead]

It's had been while since I looked at exactly what I could look at in tradestation with esignal data, and I didn't give the right description...

It looks like it gets uptick/downtick volume, which is not the same thing as bid/ask volume, necessarily. Still, it should give the same general indication of what's going on in either case. Maybe uptick/downtick volume is easier to implement for esignal than bid/ask history? In any case, esignal has neither currently.

If it's not obvious, the reason for looking at such things is to detect professional activity. If you already know the magic combination and it doesn't change, history is not needed. But how do you research for this? You need to look at history. Otherwise you have to build it manually in real time over a period of time (at least a couple of weeks), then maybe tweak what you're looking for and repeat the process... over and over...