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Title: Re[2]: [amibroker] Using Bid Ask in RT trading
Thank you, I'll try that. Below I'll copy some Bid/Ask plotting code that will work regardless of the TimeFrame you are using. Of course you need RT data from IB or eSignal.
any other suggestions anyone?,
herman
// RT Bid Ask chart
function TickArray2( Ticker, TickPriceName, NumTicks, Reset )
{
Tickprice = GetRTDataForeign( TickPriceName, "AAPL" );
InIndicator = Status( "Action" ) == 1;
LQ = Nz( StaticVarGet( "Tick" + 0 ) );
StaticVarSet( "LastQuotePrice", TickPrice );
if ( TickPrice != LQ AND InIndicator ) // if new price add Tick to array
{
TA = Null; // Clear Output array
NumTicks = Min( BarCount - 2, NumTicks ); // Stay in array size
for ( n = NumTicks; n >= 0; n-- )
{
T = StaticVarGet( TickPriceName + ( n - 1 ) );
StaticVarSet( TickPriceName + n, T );
TA[ BarCount - 1 - n] = T; // Fill return array
}
StaticVarSet( TickPriceName + 0, TickPrice );
TA[BarCount-1] = TickPrice;
}
else
{
TA = Null; // Clear Output array
NumTicks = Min( BarCount - 2, NumTicks ); // Stay in array size
for ( n = NumTicks; n >= 0; n-- )
{
T = StaticVarGet( TickPriceName + n );
TA[ BarCount - 1 - n] = T; // Fill return array
}
}
return TA;
}
function TickArraysReset( TickPriceName )
{
global NumTicks;
StaticVarSet( "Init"+TickPricename, 1 );
for ( n = NumTicks; n >= 0; n-- ) StaticVarRemove( TickPriceName + n );
}
GraphXSpace = 20;
TickerName = Name();
Clear = ParamTrigger( "Clear Tick Charts", "CLEAR" );
NumTicks = Param( "Tick-Array Length", 20, 3, 1000, 1 );
TickPriceName = "Last";
if ( IsNull( StaticVarGet( "Init"+TickPriceName ) ) OR Clear ) TickArraysReset( TickPriceName );
TA = TickArray2( TickerName, TickPriceName, NumTicks, Clear);
Plot( TA, TickPriceName, 1, 1);
TickPriceName = "Bid";
if ( IsNull( StaticVarGet( "Init"+TickPriceName ) ) OR Clear ) TickArraysReset( TickPriceName );
TA = TickArray2( TickerName, TickPriceName, NumTicks, Clear);
Plot( TA, TickPriceName, 4, 1);
TickPriceName = "Ask";
if ( IsNull( StaticVarGet( "Init"+TickPriceName ) ) OR Clear ) TickArraysReset( TickPriceName );
TA = TickArray2( TickerName, TickPriceName, NumTicks, Clear);
Plot( TA, TickPriceName, 5, 1);
Friday, January 30, 2009, 8:34:10 AM, you wrote:
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Herman,
I am using:
StaticVarSet( "bidRT", GetRTData( "Bid" ) );
StaticVarSet( "askRT", GetRTData( "Ask" ) );
bidRT = StaticVarGet( "bidRT" );
askRT = StaticVarGet( "askRT" );
Then I buy (through ibc) at a limit price of lastvalue(askRT) or short at the lastvalue(bidRT) limit price.
It almost always executes immediately, in fact, I can’t recall missing an execution although there may have been a few.
I have played around a little bit with shaving off a ticksize or two, but then in a fast market, you miss the trade. And how do you know when the market is going to take off?
I have used this mainly in trading the futures on my paper account with IB, though it should work with stocks as well.
I really like the idea of using limit orders instead of market orders.
Best regards,
Grover
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of Herman
Sent: Friday, January 30, 2009 3:25 AM
To: AmiBroker User Group
Subject: [amibroker] Using Bid Ask in RT trading
Would anyone have coded rules on using Bid Ask prices to improve trade execution?
Is it worth the effort?
ideas and/or links would be appreciated,
herman
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