|
PureBytes Links
Trading Reference Links
|
> I am not an avid intraday trader but I know that within
> IB TWS I can backfill bid/ask for current day.
TWS does NOT offer even single TRADE ticks in backfill.
All they offer is CONSOLIDATED, 1-SECOND BARS.
1 second is their finest resolution. These are not ticks nor true bid/asks.
And their bars may not even catch correct high/low occuring during given period.
See reqHistoricalData TWS docs:
http://individuals.interactivebrokers.com/php/webhelp/Interoperability/Socket_Client_C++/eclientsocket.htm#reqIntraday
You need to use true tick-by-tick feed.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "treliff" <treliff@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Monday, August 13, 2007 2:34 AM
Subject: [amibroker] Re: Real time indicators using GETRTDATA
> Indeed Tomasz, I bet for 95% of users (that includes James and me)
> only *current day* backfill is not just sufficient, but anything more
> is useless. I am not an avid intraday trader but I know that within
> IB TWS I can backfill bid/ask for current day.
>
> That said, being able to log in at 1 PM and in a mouseclick backfill
> AB with current day bid/ask would turn me into an avid intraday
> trader at once....
>
> -treliff
>
> --- In amibroker@xxxxxxxxxxxxxxx, james <jameswillia@xxx> wrote:
>>
>> Tomasz,
>>
>> I'm not so worried about history as using it in real time trading
> to create
>> a market delta indicator where you can see in real time how much
> volume is
>> going through at the bid compared to the ask and at what size of
> trades and
>> creating a nice chart to display this info....??
>>
>> Cheers, James.
>>
>>
>> On 8/13/07, Tomasz Janeczko <groups@xxx> wrote:
>> >
>> > Hello,
>> >
>> > Yes, it is technically possible using AddToComposite, even now,
> but... I
>> > see no point in doing so because
>> > a) you would need to keep this open all the time to collect data
> and if
>> > your connection fails you will get data hole that you could not
> fix
>> > b) the length of history obtained this way will be small (equal
> to number
>> > of days you are running such a formula).
>> >
>> > Best regards,
>> > Tomasz Janeczko
>> > amibroker.com
>> >
>> > ----- Original Message -----
>> > *From:* james <jameswillia@xxx>
>> > *To:* amibroker@xxxxxxxxxxxxxxx
>> > *Sent:* Monday, August 13, 2007 2:16 AM
>> > *Subject:* Re: [amibroker] Re: Real time indicators using
> GETRTDATA
>> >
>> >
>> > Hi Tomasz,
>> >
>> > Is there any way to put the bid/ask data into an array to chart
> in real
>> > time?? Could the static arrays you mentioned to Dennis be useful
> in this
>> > scenario...??
>> >
>> > Cheers James.
>> >
>> >
>> > On 8/13/07, Tomasz Janeczko <groups@xxx> wrote:
>> > >
>> > > > TA bid/ask wizardry, not realizing there are some very down-
> to-earth
>> > >
>> > > > applications of bid/ask, like option trading where bid/ask is
> really
>> > > > all you got, "last" may have occurred hours or even days ago.
>> > >
>> > > The main problem with historical bid/ask is that data vendors
> offer it
>> > > rarely (most often only "trade" ticks are available as
> backfill).
>> > > Even if they do, bid/ask comes ONLY in "tick" historical data
> set, and
>> > > this means
>> > > that backfill is limited to few days at most (eSignal for
> example gives
>> > > just 10 days of tick data)
>> > >
>> > > Lack of longer data means that the data is practically useless
> for
>> > > long-term analysis.
>> > >
>> > > Best regards,
>> > > Tomasz Janeczko
>> > > amibroker.com
>> > > ----- Original Message -----
>> > > From: "treliff" <treliff@xxx <treliff%40gmail.com>>
>> > > To: <amibroker@xxxxxxxxxxxxxxx <amibroker%40yahoogroups.com>>
>> > > Sent: Monday, August 13, 2007 1:37 AM
>> > > Subject: [amibroker] Re: Real time indicators using GETRTDATA
>> > >
>> > > > James,
>> > > >
>> > > > Since there are no arrays available you can't just "code this
> into
>> > > > the program".
>> > > >
>> > > > In my opinion it's just a matter of choice to make bid/ask
> arrays
>> > > > available, but AFAIK none of the programs do this. No offense
> to the
>> > > > developers, but probably they all assume that we want to
> create some
>> > > > TA bid/ask wizardry, not realizing there are some very down-
> to-earth
>> > > > applications of bid/ask, like option trading where bid/ask is
> really
>> > > > all you got, "last" may have occurred hours or even days ago.
>> > > >
>> > > > And yes, it IS a nightmare, despite $150 I'd stick with
> Marketdelta:)
>> > > >
>> > > > -treliff
>> > > >
>> > > > --- In amibroker@xxxxxxxxxxxxxxx <amibroker%
> 40yahoogroups.com>, james
>> > > <jameswillia@> wrote:
>> > > >>
>> > > >> Thanks Treliff,
>> > > >>
>> > > >> I recently noted your workaround, it sounds like a
> nightmare :),
>> > > > but if its
>> > > >> the only way then its the only way.....
>> > > >>
>> > > >> Amibroker should be able to code this into their program
> pretty
>> > > > easily??
>> > > >> There is obviously massive demand out there for this
> functionality
>> > > > as
>> > > >> marketdelta charges about 150$ per month for their
> software....
>> > > >>
>> > > >> Cheers, James.
>> > > >>
>> > > >>
>> > > >> On 8/13/07, treliff <treliff@> wrote:
>> > > >> >
>> > > >> > James, you can use this method:
>> > > >> >
>> > > >> >
> http://finance.groups.yahoo.com/group/amibroker/message/108194
>> > > >> >
>> > > >> > to create bid/ask arrays but simply using Marketdelta
> linked to AB
>> > > >> > seems a lot easier.
>> > > >> >
>> > > >> > -treliff
>> > > >> >
>> > > >> > --- In amibroker@xxxxxxxxxxxxxxx <amibroker%
> 40yahoogroups.com><amibroker%40yahoog
>> > > roups.com>,
>> > > > james
>> > > >> > <jameswillia@> wrote:
>> > > >> > >
>> > > >> > > Thanks Jerry,
>> > > >> > >
>> > > >> > > but do you have any idea how I put that data into an
> array on a
>> > > >> > tick by tick
>> > > >> > > basic so that the data can be maniputated to something
> like
>> > > >> > > www.marketdelta.com . Is that possible?? Could I use
>> > > >> > addtocomposite or
>> > > >> > > something??
>> > > >> > >
>> > > >> > > Cheer, James.
>> > > >> > >
>> > > >> > > On 8/13/07, Jerry Gress <pleasenospamplease@> wrote:
>> > > >> > > >
>> > > >> > > > Hello,
>> > > >> > > >
>> > > >> > > > From 3/14/07
>> > > >> > > > "
>> > > >> > > > GetRTData("Bid")
>> > > >> > > > GetRTData("Ask")
>> > > >> > > >
>> > > >> > > > http://www.amibroker.com/f?getrtdata
>> > > >> > > >
>> > > >> > > > Best regards,
>> > > >> > > > Tomasz Janeczko
>> > > >> > > > amibroker.com
>> > > >> > > > "
>> > > >> > > >
>> > > >> > > > Jerry Gress
>> > > >> > > > Stockton, Ca.
>> > > >> > > >
>> > > >> > > > -----Original Message-----
>> > > >> > > > From: amibroker@xxxxxxxxxxxxxxx <amibroker%
> 40yahoogroups.com><amibroker%
>> > > > 40yahoogroups.com><amibroker%40yahoog
>> > > >> > roups.com>
>> > > >> > [mailto:
>> > > >> > > > amibroker@xxxxxxxxxxxxxxx <amibroker%
> 40yahoogroups.com><amibroker%
>> > > > 40yahoogroups.com ><amibroker%40yahoog
>> > > >> > roups.com>] On Behalf
>> > > >> > > > Of jimmyzee1975
>> > > >> > > > Sent: Saturday, August 11, 2007 5:35 PM
>> > > >> > > > To: amibroker@xxxxxxxxxxxxxxx <amibroker%
> 40yahoogroups.com>
>> > > <amibroker%
>> > > > 40yahoogroups.com><amibroker%40yahoog
>> > > >> > roups.com>
>> > > >> > > > Subject: [amibroker] Real time indicators using
> GETRTDATA
>> > > >> > > >
>> > > >> > > > Hello,
>> > > >> > > >
>> > > >> > > > I would like to design a real time indicator which
> charted the
>> > > >> > number
>> > > >> > > > of trades which hit the bid in relation to the number
> of
>> > > > trades
>> > > >> > which
>> > > >> > > > hit the ask and also graph the size of those trades,
> perhaps
>> > > >> > splitting
>> > > >> > > > them up into retail and commercial size graphs.
>> > > >> > > >
>> > > >> > > > Does anyone have any idea on how to use the GETRTDATA
>> > > > function to
>> > > >> > > > achieve this? Is there some example code someone could
> point
>> > > > me
>> > > >> > to??
>> > > >> > > >
>> > > >> > > > Cheers, James.
>> > > >> > > >
>> > > >> > > > Please note that this group is for discussion between
> users
>> > > > only.
>> > > >> > > >
>> > > >> > > > To get support from AmiBroker please send an e-mail
> directly
>> > > > to
>> > > >> > > > SUPPORT {at} amibroker.com
>> > > >> > > >
>> > > >> > > > For NEW RELEASE ANNOUNCEMENTS and other news always
> check
>> > > > DEVLOG:
>> > > >> > > > http://www.amibroker.com/devlog/
>> > > >> > > >
>> > > >> > > > For other support material please check also:
>> > > >> > > > http://www.amibroker.com/support.html
>> > > >> > > >
>> > > >> > > > Yahoo! Groups Links
>> > > >> > > >
>> > > >> > > >
>> > > >> > > >
>> > > >> > >
>> > > >> >
>> > > >> >
>> > > >> >
>> > > >>
>> > > >
>> > > >
>> > > >
>> > > >
>> > > > Please note that this group is for discussion between users
> only.
>> > > >
>> > > > To get support from AmiBroker please send an e-mail directly
> to
>> > > > SUPPORT {at} amibroker.com
>> > > >
>> > > > For NEW RELEASE ANNOUNCEMENTS and other news always check
> DEVLOG:
>> > > > http://www.amibroker.com/devlog/
>> > > >
>> > > > For other support material please check also:
>> > > > http://www.amibroker.com/support.html
>> > > >
>> > > > Yahoo! Groups Links
>> > > >
>> > > >
>> > > >
>> > > >
>> > > >
>> > >
>> > >
>> >
>> >
>>
>
>
>
>
> Please note that this group is for discussion between users only.
>
> To get support from AmiBroker please send an e-mail directly to
> SUPPORT {at} amibroker.com
>
> For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> http://www.amibroker.com/devlog/
>
> For other support material please check also:
> http://www.amibroker.com/support.html
>
> Yahoo! Groups Links
>
>
>
>
>
Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
For other support material please check also:
http://www.amibroker.com/support.html
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> Your email settings:
Individual Email | Traditional
<*> To change settings online go to:
http://groups.yahoo.com/group/amibroker/join
(Yahoo! ID required)
<*> To change settings via email:
mailto:amibroker-digest@xxxxxxxxxxxxxxx
mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|