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Trade Point Technologies

  #31 (permalink)

Elite Member
SE-Asia
 
Futures Experience: Intermediate
Platform: NinjaTrader
Broker/Data: Amp
Favorite Futures: ES
 
Posts: 145 since Jun 2009
Thanks: 61 given, 115 received


RJay View Post
Hi DavidHP,

Trying to get my head around some things like this,

"We feel that the bid/asked approach to designating buying or selling volume is flawed in several ways."

"To demonstrate one of those flaws, please consider the situation where a very large buyer places a limit order at the current asked price - the order is larger than the asked size so he is partially filled at the asked and as the order took all the asked size the asked moves up and so does the bid. Now the remainder of this large buyer's order is on the bid and trade that fills this large buyer, on his bid, is recorded as selling volume. "

"Thankfully there are intelligent agents capable of sorting all this."


Does anyone know what " intelligent agents" means??

RJay

In the NT Forum theres an indicator named GOMCD with a recorder indicator, in the file the author "define" the following :

 
Code
if (ask<bid) // should not happen but does
				{ 
					if (price<ask) 		    tickType=TickTypeEnum.BelowBid;
					else if (price==ask) 	tickType=TickTypeEnum.AtAsk;
					else if (price<bid) 	tickType=TickTypeEnum.BetweenBidAsk;
					else if (price==bid) 	tickType=TickTypeEnum.AtBid;
					else 					tickType=TickTypeEnum.AboveAsk;
				}
				else if (bid<ask) //normal case
				{
					if (price<bid) 		    tickType=TickTypeEnum.BelowBid;
					else if (price==bid)	tickType=TickTypeEnum.AtBid;
					else if (price<ask)	    tickType=TickTypeEnum.BetweenBidAsk;
					else if (price==ask) 	tickType=TickTypeEnum.AtAsk;
					else					tickType=TickTypeEnum.AboveAsk;
				}
				else //bid==ask, should not happen
				{
					if (price<bid)		    tickType=TickTypeEnum.BelowBid;
					else if (price>ask)	    tickType=TickTypeEnum.AboveAsk;
					else				    tickType=tickType=TickTypeEnum.BetweenBidAsk;
				}
Then according to this she calculates the cumulative delta, don't know if this information is what you look for or help you.

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