Delivery of bid/ask info without a new tic?

[bfry5282]

Wow! Congratulations... I knew eSignal support was FAB !! I'm gonna try this one RIGHT NOW !!

Thanks!

[bfry5282]

OK, Jason, I tried this volume(0,1,getSymbol()+",D") on the symbol 6E #F in a T chart. It always returns ZERO, and I triple checked the logic. If I find I've made an error, I'll post it, but it's pretty simple. The volume call is supposed to return cumulative daily volume, and all we're trying to do is to detect when it increments.

Maybe it works for other symbols, but I need 6E #F (The Euro) to work... Could it be something to do with the space inside "6E #F"? Or maybe it's because it's a CME/Globex feed??

Please let me know whether yours works for 6E #F...

[bfry5282]

Here's what I did. lastVol and thisVol are declared at the outer level of the EFS.

var sym=getSymbol()+",D";
lastVol=thisVol; // remember from previous invocation
thisVol=volume( 0, 1, sym ); // cumulative daily volume
debugPrintln(sym + " :thisVol:" + thisVol+ " lastVol:" + lastVol);

Both values print as zero.

[Guest]

bfry,

this step

thisVol=volume( 0, 1, sym ); // cumulative daily volume

this step should have a += in it. I know it does not explain why they are all zero, but it may explain why you have a large number of zero’s.

Regards,

[bfry5282]

Yes, Steve, I'm doing it slightly differently from Jason. Still, when the answer is ALWAYS zero, there isn't much point in proceeding?

My string to the volume function is "6E #F,D", and I wonder whether that works the same as "IBM,D", or on the CME feed versus the NYSE or NASDAQ feeds.

I'm speculating this may work on IBM, but not on 6E #F, but that's pure superstition at this point.

I believe the volume(.....) call Jason is using is intended to return cumulative daily volume; correct me if this is wrong.

[eSignal_JasonK]

Hello bfry,

The 6E #F symbol doesn't have the daily volume reported to that symbol. So, the solution is to hard code the following symbol, EC #F,D, in your volume(0, 1, "EC #F,D") call. That will give you the volume figure you need. Try that out.

[bfry5282]

Jason,

OK, when I use "EC #F" as the symbol, appending ",D", the volume repeatedly reports to me (right now @15:39 EST...) 93071, but it never changes beyond that constant value. So, no cigar -- yet... !!!

If I reload it, I still get 93071 even though trades have taken place in the meantime... ?

[eSignal_JasonK]

Hello bfry,

The last trade I see was at 12:09 PST, about 40 minutes ago. Try testing again when the market is more active.

[ACM]

bfry5282
That happens because the daily volume on floor traded futures updates only once a day (and is anyhow the prior day's volume).
For more information on volume with futures click here
Alex

[bfry5282]

Jason, it was trading, thinly, but it was definitely trading when I did my tests. Alex is probably right. Anyway, it doesn't appear to work as proposed.

[bfry5282]

A note on futures trading times on CME/Globex

Alex, I trade the Euro on CME/Globex, and it trades 6pmEST around the clock to 5pmEST Sunday through Friday. The times listed for various products on CME, such as 6E #F (shown as EC), do not appear to agree with CME times, and it seems eSignal provides data for the EC/6E symbol 23 hours per day unless I'm mistaken. Correct me if I'm wrong here... I rely heavily upon custom eSignal analysis routines to be able to trade the Euro profitably, so I'm always looking at a half-dozen eSignal charts 24 hours per day, most days, and I'm very pleased with eSignal's data quality and performance. It's really rock solid, and the EFS software I run is pretty sophisticated. (I do sleep , but I mean that I leave eSignal active 24 hours/day analyzing intrabar data on intervals down to 1S and including T charts.)

[ACM]

bfry5282
Actually it is 6:00pm-5:00pm Mon-Fri and 6:30pm-5:00pm Sun-Mon (all times EST).
Irrespective as far as I can see the listing on eSignal's CME symbols page is 24 Hours for 6E (under Side by Side Currency Products) and 7:20am-2:00pm CST for EC (under Currency Products) and the charts appear to reflect that at least at my end (with the exclusion of the settlement trade at around 2.10pm CST).
FWIW I agree with your assessment of the quality of eSignal's feed as I compare it against my Globex terminal and it is always spot on.
Alex

[eSignal_JasonK]

Hello bfry,

Ok, thanks to Alex, we have another idea to try which should get us around the daily volume problem. For the symbol in the volume() function, use 6E #F,1440, which should give us the same total volume figure that would be reported the next day for the daily interval. There might be a performance issue with a 1440-minute interval because the data for a bar this size has to be added up before it's returned to EFS. So if there is a performance problem here, I have another idea we could try. Let's try this one first and see what happens.

[bfry5282]

Data Manager API?

What DLL can I call to get this info? I appreciate all the hard work, but I just don't think it's going to work reliably. I know it's not perfect, and it misses some trades, but simply testing for:

if (lastPrc!=thisPrc || lastVol != thisVol) { ; } // new trade

can detect a substantial portion of trade activity, even though it doesn't catch everything. It misses only those trades for which (lastPrc==thisPrc && lastVol==thisVol), and that doesn't usually miss really significant trade activity; only relatively insignificant trade activity.

Until we can get a reliable indicator to distinguish trade tics from bid/ask updates for the T chart, maybe it's really not worth trying?

I'd like to get the interface to the Data Manager, and just hook up directly, from outside of the eSignal client. What do I need to do to use this API?

[bfry5282]

I just read that eSignal does not offer the Data Manager API to individual users. I'm still stuck trying to distinguish a tick from a bid/ask update, so I guess I'll switch to Plan B.