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Recording Bid and Ask Volume and Price


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Recording Bid and Ask Volume and Price

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  #1 (permalink)
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I am looking to measure spreads and average volume at the inside bid and ask. I am using CQG and DTN IQfeed with multicharts. Is there a way in easy language to record or export that information and then export it to a txt or csv file?

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treydog999 View Post
I am looking to measure spreads and average volume at the inside bid and ask. I am using CQG and DTN IQfeed with multicharts. Is there a way in easy language to record or export that information and then export it to a txt or csv file?

I use Tradestation, so you should be able to use this. Maybe the keywords "insidebid" and "insideask" are different. I had data1 as E6, and data2 as 7E. I ran this on 1 minute bars, during active US hours.

It prints to the Print Log, and then you can copy and paste it to Excel.

var: bl(" "); //TAB character in between quotes, not spaces - easier to transfer to Excel

If time>559 and time<1400 then
If BarStatus( 1 ) = 2 then print(date,bl,time,bl,insidebid of data1:0:4,bl,insideask of data1:0:4,bl,insidebid of data2:0:4,bl,insideask of data2:0:4);

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seoul, Korea
 
Experience: Intermediate
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kevinkdog View Post
I use Tradestation, so you should be able to use this. Maybe the keywords "insidebid" and "insideask" are different. I had data1 as E6, and data2 as 7E. I ran this on 1 minute bars, during active US hours.

It prints to the Print Log, and then you can copy and paste it to Excel.

var: bl(" "); //TAB character in between quotes, not spaces - easier to transfer to Excel

If time>559 and time<1400 then
If BarStatus( 1 ) = 2 then print(date,bl,time,bl,insidebid of data1:0:4,bl,insideask of data1:0:4,bl,insidebid of data2:0:4,bl,insideask of data2:0:4);

Thanks for the idea, insidebid and inside ask are the same. I will follow up on that.

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Last Updated on December 2, 2012


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