Volume @ Bid and Volume at ask (MD)
Posted: Sep 05 2006
Hi,
I have been doing a bit of research on MD (this tallies the volume that trades on the bid and that on the ask - the difference between the two is the delta). It can be a very useful tool.
I have bid ask and last going in as data 3 2 and 1. I then have a study that works out whether the last trade was on the bid or on the ask. This works find for data coming in live but when I restart MC the next day it only plots new data going forward. This is understandable on a minute bar chart for example.
I think some packages (neoticker for example) have a 'tick mode' that allows you to build time based bars (minute hour etc.) from tick data. That would be a useful addition at some stage?
Can you think of a short term solution to this perhaps I could have data 1 as a simple bar chart (lets say 1 minute) and then data 2 3 and 4 as hidden tick series of bid ask and last? Is this likely to work ?
Cheers,
Nick.
I have been doing a bit of research on MD (this tallies the volume that trades on the bid and that on the ask - the difference between the two is the delta). It can be a very useful tool.
I have bid ask and last going in as data 3 2 and 1. I then have a study that works out whether the last trade was on the bid or on the ask. This works find for data coming in live but when I restart MC the next day it only plots new data going forward. This is understandable on a minute bar chart for example.
I think some packages (neoticker for example) have a 'tick mode' that allows you to build time based bars (minute hour etc.) from tick data. That would be a useful addition at some stage?
Can you think of a short term solution to this perhaps I could have data 1 as a simple bar chart (lets say 1 minute) and then data 2 3 and 4 as hidden tick series of bid ask and last? Is this likely to work ?
Cheers,
Nick.