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Nand, Rick,
As for the trade size:
if you are using TICK mode the VOLUME of each tick equals trade size.
So in fact trade size is available (but only in tick mode).
Please note that using tick more produces HUGE amounts of data
(several megabytes per day per symbol).
if you are using bar mode (5-sec, 15-sec, n-tick, n-minute)
the bar volume is a sum of Trade sizes that occurred during given
period.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "nkis22" <nkishor@xxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Thursday, October 17, 2002 12:33 AM
Subject: [amibroker] Re: Quote Window Information
> Yes, of course.
> Currently it is very hard to watch the bid-ask and trade
> size. Besides often bid/ask can be fake, and trade and
> time stamp in the quotations window is too slow. It is the trade
> size that really confirms the transaction. I'd rather make
> an indicator of the trade,bid,ask size than to look at the
> trade time stamp in the quotations window.
>
> Plus, alarms for the quote window, when it comes, will be
> very handy too.
>
> nand
>
>
> --- In amibroker@xxxx, "Rick Parsons" <RickParsons@xxxx> wrote:
> > I also think there is potential with the bid size. If the bid size
> is larger than the ask size this may be an indicator to go long, if
> ask is bigger than bid, it may be an indicator to go short. This
> probably would be a MA.
> >
> > Kevin Haggerty discusses this in the "The Best, Conversations with
> Top Traders".
> >
> > And I agree it would give Amibroker something very unique.
> > I would not worry about the historical aspect as long as we can
> accumulate and save data over time.
> >
> > Rick
> > -----Original Message-----
> > From: nkis22 [mailto:nkishor@x...]
> > Sent: Wednesday, October 16, 2002 5:15 PM
> > To: amibroker@xxxx
> > Subject: [amibroker] Re: Quote Window Information
> >
> >
> > Trade Size has no historical data, but can it be used
> > in AFL to calculate intraday indicators, and then these indicators
> > could then be an array saved. I think this will be ABs uniqueness
> > that will allow day trading based on auction market theory. GIve
> > it a thought.
> >
> > nand
> >
> >
> >
> > --- In amibroker@xxxx, "Tomasz Janeczko" <amibroker@xxxx> wrote:
> > > Rick,
> > >
> > > The problem is that there is no historical data for most of
> those
> > items. These are just current values.
> > > The others are included in existing fields - for example Trade
> Size
> > is used to build bar volume.
> > >
> > > Best regards,
> > > Tomasz Janeczko
> > > amibroker.com
> > > ----- Original Message -----
> > > From: Rick Parsons
> > > To: amibroker@xxxx
> > > Cc: TJ
> > > Sent: Wednesday, October 16, 2002 8:33 PM
> > > Subject: [amibroker] Quote Window Information
> > >
> > >
> > > Tomasz,
> > >
> > > I notice in the Quote Editor, the information captured is
> > basically H,L,O,C,V,OI. However in the Realtime Quote Window,
> there
> > is additional information such as Trade Size, Bid, Ask, Bid Size,
> Ask
> > Size etc.
> > >
> > > I am wondering if some of this information could be used in
> > charting/scanning/AA backtesting. Is it possible to capture this
> > additional information for this purpose or to enhance Amibroker
> to do
> > so?
> > >
> > > Thanks,
> > >
> > > Rick
> > >
> > >
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> > >
> > >
> > >
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>
>
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>
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>
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>
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