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MultiCharts order flow information gathering
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MultiCharts order flow information gathering

  #1 (permalink)
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MultiCharts order flow information gathering

Now that MC 8 beta 2 supports Level II analysis from EasyLanguage, I am wondering if anyone has interest in creating a function that will dump data to Excel (csv) for further analysis or patterns, etc?


Quoting 
dom_askprice ( DOM)

Returns ask price for the certain depth level of a particular symbol.

Usage

dom_askprice(num) [data(N)]
where:

(num) is the number of depth level

(N) – number of the data series

Example

dom_askprice(4); will return the ask price for the 5th level of depth for the data1

dom_askprice(2) data2; will return the ask price for the 3rd level of depth for the data2

dom_askscount( DOM)

Returns the number of ask depth levels available for a particular symbol.

Usage

dom_askscount [data(N)]

where: (N) – number of the data series

Example

dom_askscount will return 10 if 10 ask levels of the market depth are available for the data1

dom_askscount data2 will return 6 if 6 ask levels of the market depth are available for the data2

dom_asksize( DOM)

Returns the ask size for the certain depth level of a particular symbol.

Usage

dom_asksize(num) [data(N)]
where:

(num) is the number of depth level

(N) – number of the data series

Example

dom_asksize(2) will return 1500 if the ask size for the 3rd level of depth on data1 is 1500

dom_asksize(0) data2 will return 750 if the ask size for the 1st level of depth on data2 is 750

dom_bidprice( DOM)

Returns bid price for the certain depth level of a particular symbol.

Usage

dom_bidprice(num) [data(N)]
where:

(num) is the number of depth level

(N) – number of the data series

Example

dom_bidprice (4); will return the bid price for the 5th level of depth for the data1

dom_bidprice (2) data2; will return the bid price for the 3rd level of depth for the data2

dom_bidscount( DOM)

Returns the number of bid depth levels available for a particular symbol.

Usage

dom_bidscount [data(N)]

where: (N) – number of the data series

Example

dom_bidscount will return 10 if 10 bid levels of the market depth are available for the data1

dom_bidscount data2 will return 6 if 6 bid levels of the market depth are available for the data2

dom_bidsize( DOM)

Returns the bid size for the certain depth level of a particular symbol.

Usage

dom_bidsize(num) [data(N)]
where:

(num) is the number of depth level

(N) – number of the data series

Example

dom_bidsize (2) will return 1500 if the bid size for the 3rd level of depth on data1 is 1500

dom_bidsize (0) data2 will return 750 if the bid size for the 1st level of depth on data2 is 750

dom_isconnected( DOM)

Returns a logical value indicating the availability of the market depth data; returns a value of True if the market depth data is available and a value of False if the market depth data is not available.

Usage

dom_isconnected

Example

Print the ask size for the 1st level of market depth if the market depth data is available

variables:

var0(0);

if dom_isconnected then

var0 = dom_askprice(0);

print(var0);

Any input on which columns and what order to present to Excel in the csv, for a useful analysis?

Mike

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  #2 (permalink)
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  #3 (permalink)
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Before I even look at this, can anyone confirm if EasyLanguage is processing these requests for every market depth move, or is it only on Last changes?

I mean lets say I run it on a 1-tick chart, that still has me missing the majority of market depth movements.

I looked at their documentation and didn't see it clarified as to how to access all market depth changes, even without a Last change.

@MultiCharts, could you clarify?

Thx,
Mike

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Need help?
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  #4 (permalink)
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Played with this for a minute, first problem I ran into is that you have to have a DOM window open to the instrument being charted for it to work.

Hopefully it saves some time for someone else.

I can also confirm it is only updating on a Last change. No update on all the depth changes. Would be nice if this was improved to be able to monitor actual depth changes like NinjaTrader.

Will play some more soon.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
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  #5 (permalink)
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Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
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  #6 (permalink)
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Big Mike View Post
I can also confirm it is only updating on a Last change. No update on all the depth changes. Would be nice if this was improved to be able to monitor actual depth changes like NinjaTrader.

You could try to use RecalcLastBarAfter() to force a recalculation of the indicator/signal.

For what it's worth, I think it's a great idea to collect market depth. I'm planning to do the same, but I'm waiting for the Release version of MC8 before updating -- so no valuable input from me (yet).

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  #7 (permalink)
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Jura View Post
You could try to use RecalcLastBarAfter() to force a recalculation of the indicator/signal.

For what it's worth, I think it's a great idea to collect market depth. I'm planning to do the same, but I'm waiting for the Release version of MC8 before updating -- so no valuable input from me (yet).

Well in its current form, there is no depth to record really. I mean it's not real true L2 depth events, it only changes on every Last.

I was more interested in looking at patterns within the depth, as in changes in orders between the Last executions.

I still intend to play with it, but I think NinjaTrader is the better platform if you need event driven on-market-depth.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
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  #8 (permalink)
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Jura View Post
You could try to use RecalcLastBarAfter() to force a recalculation of the indicator/signal.

Worth a shot, if it will accept double values so a value such as 0.01 seconds could be entered.

But it looks like it only accepts an int, meaning once per second.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote
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  #9 (permalink)
Elite Member
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Mike, did you look at the included ---Market Depth on Chart--- indicator, it is the first at insert study.
The indicator update with
UpdateSpeed_seconds(0.1);
RecalcLastBarAfter(UpdateSpeed_seconds);

so it is not event driven.

It updates as similar as the DOM with Interactive, if you use TT Trader connection you could try to lower the update limit to 0.01. The only problem is that you can only use the broker data for the DOM data displayed, the indiactor cant receive Level 1 and Level 2 data from Iqfeed. So i need to run a IQFeed chart with a hidden IB chart in the background.

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  #10 (permalink)
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SPMC View Post
Mike, did you look at the included ---Market Depth on Chart--- indicator, it is the first at insert study.
The indicator update with
UpdateSpeed_seconds(0.1);
RecalcLastBarAfter(UpdateSpeed_seconds);

so it is not event driven.

It updates as similar as the DOM with Interactive, if you use TT Trader connection you could try to lower the update limit to 0.01. Not sure if a human eye could see differences that fast.
The only problem is that you can only use the broker data for the DOM data displayed, the indicator cant receive Level 1 and Level 2 data from Iqfeed. So i need to run a IQFeed chart with a hidden IB chart in the background.

Thanks, no I did not see it. I don't really look through that list every release, just look only at the stuff I have written.

So it seems Jura was right with his suggestion, and it does accept a double. Very nice.

I will test out your workaround with IQFeed.

Thx

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote
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