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Hello All,
Yes Dennis and being able to distinguished the larger bid/ask players via
vol would finally get AB closer to "Hybrid" Vol Range Bar charting which one
day will be the future!!!!
JG
Stockton, Ca.
P.s. Sort of like EOT Pro (no endorsement).
-----Original Message-----
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf
Of Dennis Brown
Sent: Sunday, November 15, 2009 1:20 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] Tick data, how important is bids/asks?
I find the bid/ask data to be extremely important when actually placing
manual trades on all but the most liquid issues. Luckily my broker (TOS)
gives me a DOM type display with bid/ask size 5 levels deep. This is not
something that I can use in a backtest though -- unless I were capturing it
every second.
For trading ES actively, the size of the bid/ask 5 levels deep is also very
important to me. It allows me to get an extra tick if the size on one side
is thin and thick on the other. Also seeing 5 levels deep, I can optimize
the placement of my stops at a price that has obvious support or resistance.
Yes the traders may change there mind and add or remove size now and then,
but so do I.
OTOH, the tick data can be very useful if you can sort volume into the
buyers vs. sellers. This gives a much more accurate read on who is in
control during a move. This data could be used in a backtest to advantage.
Suggestions have already been logged.
BR,
Dennis
On Nov 14, 2009, at 6:32 PM, Potato Soup wrote:
> I'm working with IQFeed tick data. They don't seem to provide bid/ask
quotes, just trades. What's the consensus on whether this matters? I've seen
it argued that a lot of games go on with quotes, fakeouts, etc. And that
trade ticks are all that matter. Seems though for less liquid instruments
you'd really want updated quotes, or the true price could be quite far from
the last trade.
>
> I realize most AmiBroker users don't trade on ticks, but thought I'd ask
here for comment anyway.
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