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Hello Sanjiv,
It requires knowing if the trade was at the bid or the ask on each tick. A request has already been made for AB to do this. I don't think it can be done with AFL in the current release.
BR,
Dennis
On Nov 15, 2009, at 10:28 PM, sanjiv wrote:
> Hello Mr. Dennis,
>
> Regarding segregating volume into the buyers vs. sellers, the new fields AUX1 and AUX2 should help for storing the information. However, before that we need to have logic/rules to do the segregation.
>
> It will be nice to have your views about viable approaches to do the segregation.
>
> With Ragards
>
> Sanjiv Bansal
>
>
> --- 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.
>>
>> 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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