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Change %change B/A Spread in quote window How calculated?

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  • Change %change B/A Spread in quote window How calculated?

    Can anyone tell me how the Change, % change and B/A spread are calculated. What values are used. Does anyone have any ESF code that would enable me to calculate the % change of price over the past 5 and 10 minute time frame on a one minute chart?
    Thanks
    Henry
    Henry

  • #2
    Henry
    Change is the difference between the Last traded price and the Prior Day's Close.
    %Change is calculated as ((Last - Prior Day's Close) / Prior Day's Close)*100
    B/A Spread is the spread between the best Bid and Ask
    Alex

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    • #3
      Henry

      Does anyone have any ESF code that would enable me to calculate the % change of price over the past 5 and 10 minute time frame on a one minute chart?

      Use the customROC.efs that is in the EFS2 Custom folder. Run the efs on the 1 minute chart, setting the ROC Length to 1 and the Interval to 5 (or any other interval you want). That will give you the percent change over 1 period based on the specified interval
      In the image below you can see the percent change based on 5 minute data on a 1 minute chart
      Alex

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