[daedalus]

I'm pretty sure swansjr did filter the contract sizing as posted above.

I failed to do even that with my attempt.

[swansjr]

Originally Posted by flyingdutchmen »

did anybody manage to filter the amount of contracts like the indicator in the movie ? im having a hard time filtering them to my conditions
mincontracts - maxcontracts

I'm having some success as seen in the screen shots above. I still have some ideas I want to test to make it look more like the EOT indicator.

[flyingdutchmen]

Originally Posted by swansjr »

I'm having some success as seen in the screen shots above.

how did you succeed - would you mind sharing ....

i pretty much have it the way i want it to be but i still need to filter
the contracts somehow

btw. second film dumb money part2 somewere in the midle the guy says something like
" i turned on the pc at 9am because the indicator only plots live " you can also see there
that in the beginning of the chart the indicator didnt plot so it definitly does NOT use historical data

[swansjr]

Originally Posted by flyingdutchmen »

how did you succeed - would you mind sharing ....

i pretty much have it the way i want it to be but i still need to filter
the contracts somehow

btw. second film dumb money part2 somewere in the midle the guy says something like
" i turned on the pc at 9am because the indicator only plots live " you can also see there
that in the beginning of the chart the indicator didnt plot so it definitly does NOT use historical data

Strictly speaking TradeStration's EasyLanguage does not have support for Time and Sales, which is what we need to accurately do this. However, I'm using the quote field called TradeVolume to get an approximation of what's going on. This field gives you the trade size of the "last order." Within a single bar this will be updated very frequently. Because of something called "tick netting" (I don't know the details) orders maybe lumped together when they are reported. So, the last order may not be the last order! It may be a lump sum of a few orders. Anyway, to get a feel for this simply create an indicator and have it print the TradeVolume value. You will see the order sizes in real time.

Values coming off of TradeVolume look something like this: 1,2,2,3,1,1,2,1,20,3,4,2, 1,1,30,1,1,2,3...

From there you can process these values as you see fit.Oh yes, TradeVolume only works on live data - not historical data. I will be posting the indicator. I just want it to look a little better before I do.

[BlowFish]

The way most applications get volume for this print is by subtracting the volume last tick from volume this tick.

[zdo]

this might help...

inputs: 
     BlockSize( 5 ) ;	 
 
vars: 
     IntrabarPersist TSstore( 0 ) , 
     IntrabarPersist TradeSize( 0 ) , 
     IntrabarPersist TickHist( 0 ), 
     IntrabarPersist BStatus( 0 ) ; 
 
if BStatus = 2 then begin 
     TSstore = 0 ; 
     TickHist = 0 ; 

end; // f BStatus = 2
 
if BarStatus( 1 ) <> 2 then begin 
     TradeSize = Ticks - TickHist ; 
     TickHist = Ticks ; 
     if TradeSize >= BlockSize then 
	 ...

end ; // if BarStatus( 1 ) <> 2
 
... 
...
 
BStatus = BarStatus( 1 ) ;

see
https://www.tradestation.com/Discuss...greater%20than
etc

hth

[swansjr]

I may be mistaken but in this code you are counting ticks not order size. A single tick may be a one contract order or it may be 50 contract order. If we are interested in tracking orders that are 20+ contracts per order, how will you differentiate between the two order sizes?

Originally Posted by zdo »

this might help...

inputs: 
     BlockSize( 5 ) ;	 
 
vars: 
     IntrabarPersist TSstore( 0 ) , 
     IntrabarPersist TradeSize( 0 ) , 
     IntrabarPersist TickHist( 0 ), 
     IntrabarPersist BStatus( 0 ) ; 
 
if BStatus = 2 then begin 
     TSstore = 0 ; 
     TickHist = 0 ; 

end; // f BStatus = 2
 
if BarStatus( 1 ) <> 2 then begin 
     TradeSize = Ticks - TickHist ; 
     TickHist = Ticks ; 
     if TradeSize >= BlockSize then 
	 ...

end ; // if BarStatus( 1 ) <> 2
 
... 
...
 
BStatus = BarStatus( 1 ) ;

see
https://www.tradestation.com/Discuss...greater%20than
etc

hth

[daedalus]

^^ Actually I ran it and it seemed to be working exactly how we wanted... Anything that came through the T&S window that was grater than the "blocksize" was getting recorded and added onto itself each bar...

Now we just have to make it look like your histogram swan... and since it was recording all orders on both the bid and the ask I guess we have to modify it to take just bids greater than the block size and seperate them from the ask's greater than the block size right?