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I too would like to evaluate trades on the bid/ask. I've never used Quotetracker, is this the same tool that used to be Medved Quotetracker, a 3rd party freebie from the IB website? I have tried Market Delta which I previously mentioned on this list when we were discussing volume.
HOWEVER, if IB is just providing a 3 second snapshot (or whatever it is) and not true tick data, how would it be possible for anyone, including Market Delta to accurately provide information on whther a trade occurred on the bid or ask????
That is the question that prevented me from even trying to code an indicator of this sort. I don't believe it would be possible with IB.
James
----- Original Message ----
From: Bill Schmidt <wjschmidt@xxxxxxxx>
To: amibroker@xxxxxxxxxxxxxxx
Sent: Friday, December 22, 2006 12:57:14 PM
Subject: Re: [amibroker] Pressure Indicator
I asked support the same question. Here is Marcin's reply:
"Natively it's not possible to store bid/ask prices in AmiBroker database,
so the only workaround would be to catch Bid prices in the LAST field when
using DDE plugin. Alternatively - please search for an engine that will
allow you to store the quotes in the SQL database and then - use ODBC
plugin:
http://www.amibroke r.com/odbc. html"
On Fri, 22 Dec 2006 12:58:52 -0500, Charles J. Dudek
<trader@xxxxxxxxxxx com> wrote:
> I'm trying to create an indicator that will work like the "pressure"
> indicator in QuoteTracker, i.e. display the trend in shares selling
> at the bid or ask. Here is what I tried, with the idea of
> accumulating each trade and then displaying it on a one-minute chart,
> but it doesn't work the way I intended. I have to believe somebody
> else has written the code for this kind of thing, but I didn't find it
> in the library. Any ideas? TIA
>
> p=Param("Smoothing Period",10,2, 200,1);
> Cumnv=0;
> bd=GetRTData( "bid");
> ak=GetRTData( "ask");
> Lp=GetRTData( "Last");
> tv=GetRTData( "tradevolume" );
> Ct=GetRTData( "ChangeTime" );
> nv=IIf(Lp=ak, tv,IIf(Lp= ak,-tv,0) );
> Cumnv=IIf(ct< Now(format = 4)-100,Cumnv+ nv,nv);
> pressure=MA( nv,p);
> Hcolor=IIf(cumnv< 0,colorRed, IIf(cumnv> 0,colorGreen, colorWhite) );
> Plot(cumnv," Trade Vol",Hcolor, styleHistogram| styleOwnScale) ;
> Plot(pressure, "Pressure" ,Hcolor);
>
> Chuck
>
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