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Hello Jorgen,
Did a search on my saved messages using 'bid ask' and a very long message by
TJ on 9/5/2007 could address what your after. Can send copy direct if you
needed.
Regards,
Jerry Gress
Stockton, Ca.
-----Original Message-----
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf
Of jorgen_wallgren
Sent: Saturday, November 15, 2008 1:19 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] An Interesting RT Programming Challenge
Searching like crazy, I have realized that it's not much RT
programming done for AmiBroker and I have seen a couple of examples-
but didn't work properly. The examples missed out on lots of data.
Easy to check, since a screen capture of the T&S window will tell
when the code is fully functional.
One problem I am trying to solve is the fact that since the data I
get though the "GetRTData" calls are not an arrays, but the value at
the time of the call. Therefore, every time "GetRTData" is used- I
have to find a way to know if the data is the same old data or
updated data.
On Monday, I will test this idea for Trade Data: I let the Total
Volume tell me if data is new or not:
TradeVolume = GetRTData("TradeVolume");
Trade = IIf(StaticVarGet("TradedTotalVolume") < TotalVolume, 1, 0);
if(Trade)
{
StaticVarSet("TradedTotalVolume", TotalVolume);
// Write the Data to file for checking if I get all the data
correctly:
//UpdateTime, AskPrice, AskSize, BidPrice, BidSize, LastPrice,
TradeVolume
}
That should probably work just fine- I just hope that the code is
able to catch high speed/volume data. We shall see on Monday.
But I also want to catch the "UpdateTime, AskPrice, AskSize,
BidPrice, BidSize" data when it's not going through as a Trade-
since this will give great info what the Bulls and Bears are up to.
So in this case, I can't use the volume to tell me if the data is
updated or not. As you know, I have to figure out a way to
differentiate between several identical sets of data and data that
are just the same and not updated.
I tried already to use Time for this. But "UpdateTime" will
unfortunately give the same time as "ChangeTime"- at least when
using IQFeed. Another way could be to use "UpdateTime" and check my
PC's system time. But that doesn't work either since lots of data is
updated and coming in within 1 second. And the Microsoft OS can't
keep an exact time for long.
I am sure I will be back asking for more assistance regarding this
topic. But as a start- any idea how to do this? Obviously it can be
done- since AmiBroker has a Time & Sales Window. :-) But how?
Looking forward to suggestions.
Thanks,
Jorgen
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**** IMPORTANT ****
This group is for the discussion between users only.
This is *NOT* technical support channel.
*********************
TO GET TECHNICAL 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
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