Pace Indicator

[Mauro]

Hello

Is it possible to make an EFS "Pace Indicator" that shows the number of trades (regardless of the # of shares or contracts in each transaction) in the last XX secs (for example 15) ?

I have found that such type of indicator is very useful for very short term trading and it helps capturing short term bottoms and tops because the pace usually slows there.

For the same purpose, an indicator that shows the amount of transactions ( as % ) being made at the bid in the last XX secs (for example 15 secs) would be very useful to spot the increasing buying or selling pressure. In this case 50 % would reflect that half of the trades are being made at bid and half at ask. A 90 % reading should show us that 90 % of the trades in the last XX sec are at Ask price telling us that active buying is present at that moment.

Any feedback will be deeply appreciated

[eSignal_JasonK]

Hi Mauro,

Below is a simple formula that will count trades and plot them as a histogram in an indicator pane. It will total the number of trades based on the interval your chart is set to (must be a real-time interval). Hope this helps.

function preMain() {
    setStudyTitle("Trade Count")
    setCursorLabelName("Trades ")
    setPlotType(PLOTTYPE_HISTOGRAM);
}

var TradeCount = 0;

function main() {
    if (getCurrentBarIndex() != 0) {
        return;
    }
    if (getBarState() == BARSTATE_NEWBAR) {
        TradeCount = 0;
    }
    TradeCount += 1;
    return TradeCount;
}

[Mauro]

Hi Jason

Thank you very much for the answer

It seems that the code counts not only the trades but also any bid or ask price or size change

Best Regards

[gspiker]

If this formula is used on an interval chart (in realtime) vs a tick chart, it should only get you trades. The engine should ONLY run the formula anytime OHLC or volume changes, and since volume will change on every trade, it should catch every trade. It should ignore bid and ask, which are only counted on tick charts.

[Mauro]

I have tried the code but it doesnt indicate the right number of trades as shown by the time & sales. ( I am using ES H3 ).

It always indicate less trades than T&S.

Any idea ?

[dloomis]

You will need to add some debugPrintln statements - try printing out the time and close() at the same time as the TradeCount is incremented.

I think this will show where the missing trades are.

I suspect TradeCount is not being incremented unles the price ticks up or down. I wonder if the unchanged trades are getting counted.

[mattgundersen]

What build # of eSignal are you using? (It's in the help about box)

Recommend you upgrade to build # 527 (available at share.esignal.com in the beta 7-2 group)

m.

[Mauro]

Matt
I am using 7.1 Build 500

I will try with 7.2 , incorporating some debugPrintln statements. I will let you know.

Any comments about one of the ideas in my first post :

" an indicator that shows the amount of transactions ( as % ) being made at the Ask in the last XX secs (for example 15 secs) would be very useful to spot the increasing buying or selling pressure. In this case 50 % would reflect that half of the trades are being made at Bid and half at Ask. A 90 % reading should show us that 90 % of the trades in the last XX sec are at Ask price telling us that active buying is present at that moment."

The Pace indicator, associated with an indicator like this, would be very useful to detect short term tops and bottoms.

[mikey]

Mauro,

I was thinking along similar lines as regards analyzing tick trade data to look for market sentiment. Your approach is attempting to fing trend strength (more bids being hit that asks lifted per time interval), which appears to be a valid thing to look for.

I have a similar idea: I'd like to time how fast the market is moving between bids and asks within the current time bar. I've noticed at times that when prices reach a critical level, the market is nervous, and there is lots of trading in both directions. You can see this by looking at any time frame (1-min or 5-min); when the market reaches a certain key level, you can see the latst trade price "flutter" very quickly between bids and asks. This, I beleive, shows "nervousness" as market participants don't know whether to fade the level or go with the breakout. If there's no flutter with increased volume, I would guess that prices will blow through the level. If there's a lot of flutter, then depending on volume and amount of time spent at the key level, it may fail and retrace.

What I need to measure is sort of the opposite of what you are looking for. I guess you could call my indicator the "Nervousness Indicator".

If anyone here can help me figure out how to code this, I would be most grateful!!

Does anyone know how to check if the last trade was at the bid side or ask side?

Mikey