Thanks Mr. Dennis,
If we think of feaure to segregate the Volume on the basis of Bid/Ask, then there might be two parts to implementing the feature: The data source has to provide the required information, and AmiBroker has to have capabilities to Store and Process the information.
I am based in India and realtime/intraday data sources do not seem to broadcast all the ticks. We seem to get a semblence of all ticks as the volume broadcast with each new tick seems to hold all the volume since the previous broadcast. So we feel that all data is coming to us. However, there have been instances when my own trades have taken place within a small range within a second, while the data source reports JUST ONE TICK on intervals of 2-3 seconds. I have cross checked with EOD information about number of trades, and have found that RT/intraday sources are able to broadcast only a fraction of ticks. So unless the data sources report ALL the trades,
with supporting information the Buy/Sell segregation may not be possible or usable.
It will be nice to know if data sources in US or your country provide the all the ticks with supporting information.
I have also wondered if Buy/Sell segregation will help in trading and will try to implement it in Amibroker once the new AUX1, AUX2 data format comes out of BETA within the limitations as detailed above. Let's see how it works out and if it presents any usable patterns.
Presently, my database is in OHLCV format. I am having impression that AmiBroker database can not hold Bid/Ask Price/Quantity information and there is no format specially for Tick data. Please correct if I am wrong. Incidentally, my inclination so far has not been towards Tick/High_Frequency trading. So these things have not bothered me a lot.
However, please do update about your views and experinces.
With Regards
Sanjiv Bansal
--- In
amibroker@xxxxxxxxx ps.com, Dennis Brown <see3d@xxx> wrote:
>
> 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@xxxxxxxxx ps.com, Dennis Brown <see3d@> 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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