how to store/save data from Depth of Market Indicator - futures io
futures io futures trading



how to store/save data from Depth of Market Indicator


Discussion in MultiCharts

Updated
    1. trending_up 1,912 views
    2. thumb_up 0 thanks given
    3. group 2 followers
    1. forum 2 posts
    2. attach_file 0 attachments




Welcome to futures io: the largest futures trading community on the planet, with well over 125,000 members
  • Genuine reviews from real traders, not fake reviews from stealth vendors
  • Quality education from leading professional traders
  • We are a friendly, helpful, and positive community
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts
  • We are here to help, just let us know what you need
You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

(If you already have an account, login at the top of the page)

 
Search this Thread
 

how to store/save data from Depth of Market Indicator

(login for full post details)
  #1 (permalink)
Honolulu + Hawaii / USA
 
 
Posts: 18 since Jul 2014
Thanks: 16 given, 1 received

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!

Reply With Quote

Can you help answer these questions
from other members on futures io?
Work with historical tcks data on MUltichart NET PowerLa …
MultiCharts
COTbase for quant trading?
Elite Algorithmic NinjaTrader Trading
If ES tracks SPX, why do support/resistance, Level 2, vo …
Emini and Emicro Index
Where can I find Cost to Trade and Book Depth info?
Emini and Emicro Index
SimplerOptions
Trading Reviews and Vendors
 
Best Threads (Most Thanked)
in the last 7 days on futures io
Selling Options on Futures?
109 thanks
Battlestations: Show us your trading desks!
108 thanks
Rank your Futures vs Stocks trading priority
55 thanks
Want your NinjaTrader indicator created, free?
27 thanks
Whats this confusion with margins?
23 thanks
 
(login for full post details)
  #2 (permalink)
 
 
Posts: 2,230 since Apr 2013
Thanks: 409 given, 1,471 received

honoluluhustler,

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

Regards,
ABCTG

Follow me on Twitter Reply With Quote
 
(login for full post details)
  #3 (permalink)
Site Administrator
Swing Trader
Data Scientist & DevOps
Manta, Ecuador
 
Experience: Advanced
Platform: My own custom solution
Trading: Emini Futures
 
Big Mike's Avatar
 
Posts: 49,783 since Jun 2009
Thanks: 32,311 given, 97,573 received


IQFeed provides millisecond resolution and historical bid/ask. There is also a discount for Elite Members.

Mike

We're here to help -- just ask

For the best trading education, watch our webinars
Searching for trading reviews? Review this list

Follow us on Twitter, YouTube, and Facebook

Support our community as an Elite Member:
https://futures.io/elite/
Follow me on Twitter Visit my futures io Trade Journal Reply With Quote


futures io Trading Community Platforms and Indicators MultiCharts > how to store/save data from Depth of Market Indicator


Last Updated on August 13, 2014


Upcoming Webinars and Events
 

NinjaTrader Indicator Challenge!

Ongoing
 

Battlestations! Show us your trading desk - $1,500 in prizes!

March
 

Importance of Finding Your Own Way w/Adam Grimes

Elite only
 

Journal Challenge w/Jigsaw

April
     



Copyright © 2021 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts