[daedalus]

Well i started trying to code something like this up again today. But don't hold out hope folks... i'm about as useful with easylanguage as a blind person is at officiating a boxing match.

TradeVolume does seem to mimic the T&S window - but does so sporadically... also I can't seem to be able to pull any of its data off and store it in a variable as yet...

But i'll keep messing with it.

Cheers!

[swansjr]

Originally Posted by daedalus »

Well i started trying to code something like this up again today. But don't hold out hope folks... i'm about as useful with easylanguage as a blind person is at officiating a boxing match.

TradeVolume does seem to mimic the T&S window - but does so sporadically... also I can't seem to be able to pull any of its data off and store it in a variable as yet...

But i'll keep messing with it.

Cheers!

Thanks. When possible, I'll lend a hand with coding.

[daedalus]

Couple things to note thus far...

I can't find TradeVolume anywhere on google searches... it just references me back to this thread actually. It would be nice to know exactly what and how i'm calling things up.

BUT

Some things to consider... in the EOT videos they are able to show volume history on the indicator historically (ie it doesn't have to run in real time) which is somewhat odd because the TradeVolume function doesn't allow you to call up historical data.

It throws an error if you try and use TradeVolume[1] to get the previous entry... so maybe they are doing it some other way?

[swansjr]

TradeVolume is an elusive beast. I found it on the Trade Station Forum about a week ago.

I started a thread on TradeStation's EasyLanguage Forum and John from TS just replied about TradeVolume:

Individual trade volume is not provided by the exchange for the ES contract. The volume of several trades can be consolidated into a single tick. This practice is known as "tick netting."

"The quote field TradeVolume is not updated with each trade tick. Like other quote fields it is updated periodically... It is what we refer to as "snapshot" data.

So, what we seem to have is an imperfect way of obtaining trade volume on an intrabar basis. This is a start.

However, now it seems the EOT indicator can be used with historical data?! This is strange.

[HAL9000]

Hi,

if I see it right, in the second video MultiCharts is used.
I think you have seen this already, but just in case.


Well, I don't use EL myself, but one thought about these "snapshots":
My broker made clear right from the start, that he uses this method.
Currently I think, that many brokers use it. In this way or another.
But in my view the raw data, would simply overload the internet at some times (for example FOMC days).
Using this method, they control the data traffic, they know the maximum load for their servers
and they know they maximum throughput. If they just would send every single tick out,
they and you would pay this in time (i.e. you lag or crash).

On the other hand, it seems to me, that nowadays (electronic age)
you don't just order 200 ES contracts, instead you order 200 times 1 ES contract.
You "pulse" your order. From the commissions side it should be the same, so it makes sense to me.

I use a tape reader that is based on 5s bars which are received 1s late,
these bars provide also the wap, volume and number of trades, but
my broker says they should be accurate, and it seems to be true.
Looking at these information, you still see the patterns
(i.e. move on very high volume or move on very low volume to prepare ... whatsoever).
I think you see it even better.

OK, just my thoughts.
Maybe I look for some screenshots of my tapereader tomorrow to show,
what I meant to say. If you like?

[swansjr]

Originally Posted by HAL9000 »

OK, just my thoughts.
Maybe I look for some screenshots of my tapereader tomorrow to show,
what I meant to say. If you like?

Thanks Hal9000. Yes, please do post your screenshots.

[swansjr]

I modified the Bid/Ask Pressure indicator to use TradeVolume instead of Volume or Ticks. This should give an approximate value representing the trade volume of the last order. Further modification may be necessary to the indicator will most likely be needed.

Below is a chart from the overnight ES market. I know it’s not the best time to run the indicator but I just wanted to see if I was on the right track.

The first indicator was using an order size filter of 50 or greater. The second indicator (the one on the bottom) had an order size filter of 1.

The first thing you notice is they do track differently. I will let this run during “normal” market hours today and post the results. I may play around with the indicator a bit more (as I have some ideas to test) then if all looks well, I’ll post it.

[daedalus]

Good work man! You got a lot further than I did. I spent the evening in the EOT free indicator class trying to look at splitter examples for clues...

Didn't come up with much. Even with modifying the BA Pressure indicator to look for size it still leaves the fundamental question of how they are pulling this data historically and not just real time... and its one I don't have an answer to just yet.