[amibroker] Re: Tick data, how important is bids/asks?

["iqfeed" <iqfeed@xxxxxxx>]

This would be a lot of data to store (each bid/ask update on depth) in history.  When it comes to ES, you should actually be seeing 10 levels of depth.  This is what the exchange provides and is what is available in IQFeed.  Some contracts are still limited to 5 levels of depth, but many of the more active futures contracts are sending 10 now.

--- In amibroker@xxxxxxxxxxxxxxx, Dennis Brown <see3d@xxx> wrote:
>
> 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.
> 
 
> BR,
> Dennis
> 
> 




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