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how to store/save data from Depth of Market Indicator
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how to store/save data from Depth of Market Indicator

  #1 (permalink)
Trading Apprentice
Honolulu + Hawaii / USA
 
Futures Experience: Intermediate
Platform: TradeStation
Favorite Futures: Gold
 
Posts: 18 since Jul 2014
Thanks: 16 given, 1 received

how to store/save data from Depth of Market Indicator

i can't find a data provider who provides (milli)second by (milli)second historical depth of market book, so i figure i could write a code that and build my own.

below is the Market Depth of Chart by Multicharts

[RecoverDrawings = false];

if not LastBarOnChart_s then #return;

Inputs: UpdateSpeed_seconds(0.1);

RecalcLastBarAfter(UpdateSpeed_seconds);

repeat

if not dom_isconnected then
break;

value11 = 0;
value12 = 0;
for value1 = 0 to dom_askscount - 1 begin
value12 = dom_asksize(value1);
if value12 > value11 then value11 = value12;
end;

for value1 = 0 to dom_bidscount - 1 begin
value12 = dom_bidsize(value1);
if value12 > value11 then value11 = value12;
end;

if 0 >= value11 then
break;

for value1 = 0 to dom_askscount - 1 begin
draw_DOM_level(
dom_askprice(value1), dom_asksize(value1), value1, value11,
gradientcolor( value1, 0, 10, RGB(255,0,0), RGB(80,0,0) ),
dom_askscount - 1 = value1
);
end;

for value1 = 0 to dom_bidscount - 1 begin
draw_DOM_level(
dom_bidprice(value1), dom_bidsize(value1), value1, value11,
gradientcolor( value1, 0, 10, RGB(0,0,255), RGB(0,0,80) ),
dom_bidscount - 1 = value1
);
end;

plot1("OK", "Status", white);

#return;

until(False);

plot1("Level2 data is not avaliable", "Status", red);

is there a way, i can store,save that data to be used at another time for time backtesting?

thanks!

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  #2 (permalink)
 Vendor: www.abctradinggroup.com 
Hamburg Germany
 
Futures Experience: Advanced
Platform: Multicharts, Tradestation
Broker/Data: DTN IQ
Favorite Futures: ES
 
Posts: 1,777 since Apr 2013
Thanks: 283 given, 1,061 received

honoluluhustler,

yes, but you would need your own database or create huge text files storing this data.

Regards,
ABCTG

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  #3 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
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