Futures Bid Ask Data

[rcamrn123]

Is there any way to extract from futures intraday data the following information (ES for example):-

1. Number of trades at Ask filtered by number of contracts
2. Number of trades at Bid filtered by number of contracts


Fpr example I want to know how many trades on a tick chart say for each tick are 50 contracts or more whether at ask price or bid price.

Any help would be appreciated.

Robert

[eostrom]

you can view trades at certain volumes or at the bid/ask using the time and sales window within the eSignal program. Although it will not count up the total that you are looking for.

[rcamrn123]

I am looking for a way to extract that information and incorporate it inot an indicator and display on the chart to help with trading decisions.

Currently my only choice it seems is to collect bar's worth of tick data and volume data from maybe using ref and then incorporating the information into a formula to say calculate average volume/trade. However it does not tell me if there were large orders being placed per trade (say 50+) by institutes or professional traders versus those who just trade a few contracts per trade (say less than 5) to see buying/selling pressure at troughs and peaks to evaluate potential fading at price extremes.

For example there are symbols for the general market such as:-

$BLKVOL.US-ST Total "Volume" of all trades that have a "Trade Size" >= 10000 Total Volume of Block Trades
$BLKTDS.US-ST Total number of all trades that have a "Trade Size" >= 10000 Total Number of Block Trades

It would be great to have something like this for each futures symbol

Robert

[eSignal_EricL]

We will consider providing this information in the future.

[rcamrn123]

Thanks for that.

The only functions that I could find so far are:-

getMostRecentAsk();
getMostRecentBid();

which helps, however can only gather information at the time and cannot be used for back testing or prototyping. If these functions alone could be paired with historical tick & volume data in addition to price would be very useful.

I am now programming using the above 2 functions. are ther any others such as these that relate to bid/ask price data?

Robert

[eSignal_EricL]

There are a couple more bid and ask functions you made find useful:
getMostRecentAskSize(): http://kb.esignalcentral.com/article...ticle=1109&p=4
getMostRecentBidSize(): http://kb.esignalcentral.com/article...ticle=1110&p=4

[rcamrn123]

I have now looked at all the functions:-

getMostRecentAsk()

getMostRecentAskSize()

getMostRecentBid()

getMostRecentBidSize()

getMostRecentTrade()

getMostRecentTradeSize()

All good but only in real time and you have to collect the data.

No way to use historically for testing/back testing.

In Tradestation you get:-
UpTicks
DownTicks

In addition to ticks, volume, price data historically

The Uptick/Downtick data is extemely useful to understand the total volume for each bar as it will not show you the split between buying pressure vs. selling pressue.

Getting this data would be a great addition to eSignal feed.

Robert

[rcamrn123]

When will Esignal have historic databases of Bid/Ask Ticks and Volume?

Currently you can only obtin Bid/Ask Ticks and Volumes in real time and build indicators with data you save from the time of initialization.

However you cannot access historic data as it is not available and therefore cannot perform any back testing and indicator development unless it is done in real time. Also any changes in real time will reset the data and you have to gather again to see what the result is to modify further.

In other platforms (such as Tradestation), historic Bid/Ask data is available as standard so when can we see this capability from Esignal?