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Yes I looked and included trade size. I had a presentation
about it in Vancouver two years ago on IFTA conference. The results seemed
promising at first look,
but further investigation shown no statistical significance.
But I was mainly interested in mid term trading (trade length of few days),
rather than scalping or other very short term trading schemes.
For scalpers it may be useful, but this is not my cup of
tea.
Best regards,
Tomasz
Janeczko
amibroker.com
----- Original Message -----
Sent: Monday, August 13, 2007 2:57
AM
Subject: Re: [amibroker] Re: Real time
indicators using GETRTDATA
Tomasz,
did you look at including the trade size into that. There are a LOT of
people out there who would disagree with you and they are paying big money to
access software that provide this functionality eg www.marketdelta.com , It probably
only has a use in very short term trading but is one of the ways to get a
consistent market edge IMO??
Cheers,
On 8/13/07, Tomasz
Janeczko <groups@xxxxxxxxxxxxx> wrote:
Just FYI: I was doing that kind of studies ( I wrote small
utility to download historical bid/ask and import to AB) 3 years ago and
volume on bid / volume on ask is basically white noise and has no
informative value, imho.
----- Original Message -----
Sent: Monday, August 13, 2007 2:30
AM
Subject: Re: [amibroker] Re: Real
time indicators using GETRTDATA
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@xxxxxxxxxxxxx
> 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).
----- Original Message -----
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@xxxxxxxxxxxxx
> 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@xxxxxxxxx
>
To: < amibroker@xxxxxxxxxxxxxxx>
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 $150 I'd stick with Marketdelta:)
>
> -treliff
>
> --- In amibroker@xxxxxxxxxxxxxxx, james
<jameswillia@xxx> wrote:
>>
>> Thanks
Treliff,
>>
>> I recently noted your workaround,
it sounds like a nightmare :),
> but if its
>> the
only way then its the only way.....
>>
>>
Amibroker should be able to code this into their program pretty
> easily??
>> There is obviously massive demand out
there for this functionality
> as
>> marketdelta
charges about 150$ per month for their software....
>>
>> Cheers, James.
>>
>>
>>
On 8/13/07, treliff <treliff@xxx> 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%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%40yahoog
>>
> roups.com>
>>
> [mailto:
>> > > > amibroker@xxxxxxxxxxxxxxx <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%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
>
>
>
>
>
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Please note that this group is for discussion between users only.
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