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Multicharts and bid/ask volume
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Multicharts and bid/ask volume

  #21 (permalink)
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In QuoteManager / MultiCharts I've got my data collection set to record 'All' which includes bid/ask, and I 'connect' to symbol and load QuoteManager on startup (it runs 24/7), so I think I am good and am recording all the info.

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  #22 (permalink)
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Big Mike View Post
In QuoteManager / MultiCharts I've got my data collection set to record 'All' which includes bid/ask, and I 'connect' to symbol and load QuoteManager on startup (it runs 24/7), so I think I am good and am recording all the info.

Mike

Thats fine.......I did notice that MC has an option to record Bid/Ask..I think MarketDelta and perhaps Investor R/T have the same feature....I use GomRecorder to record this data in Ninja (thanx Gomi!).......but from what I got so far all the historical Bid/Ask data is something that the user should create/maintain.....it looks to me that data feeds do not offer this service.......

 
  #23 (permalink)
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Hi everybody,

I make a little investigation on this. I compare the feed with marketdelta IQfeed and I export the data. They look like this.

Why other platform aren't able to backfill askprice and bid price and others not.

-SYMBOL DATE PRICE TICKVOL BID ASK
ESM0 04/06/2010 18:20:19 1185.00000 1 1185.00000 1185.25000
ESM0 04/06/2010 18:21:32 1185.00000 5 1185.00000 1185.25000
ESM0 04/06/2010 18:21:33 1185.00000 1 1185.00000 1185.25000
ESM0 04/06/2010 18:21:35 1185.00000 6 1185.00000 1185.25000
ESM0 04/06/2010 18:21:44 1185.00000 1 1185.00000 1185.25000
ESM0 04/06/2010 18:22:00 1185.00000 5 1185.00000 1185.25000
ESM0 04/06/2010 18:23:21 1185.25000 10 1185.00000 1185.25000
ESM0 04/06/2010 18:23:59 1185.25000 1 1185.00000 1185.25000
ESM0 04/06/2010 18:24:00 1185.25000 1 1185.00000 1185.25000
ESM0 04/06/2010 18:24:00 1185.25000 1 1185.00000 1185.25000
ESM0 04/06/2010 18:24:04 1185.00000 2 1185.00000 1185.25000
ESM0 04/06/2010 18:24:34 1185.25000 10 1185.00000 1185.25000
ESM0 04/06/2010 18:24:58 1185.00000 1 1185.00000 1185.25000
ESM0 04/06/2010 18:25:02 1185.00000 1 1185.00000 1185.25000
ESM0 04/06/2010 18:25:04 1185.00000 1 1185.00000 1185.25000
ESM0 04/06/2010 18:25:04 1185.00000 1 1185.00000 1185.25000

 
  #24 (permalink)
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I chatted with someone else at IQfeed and he says they do supply historical bid/ask data:

Attached Thumbnails
Multicharts and bid/ask volume-iqfeed2.png  
 
  #25 (permalink)
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dkelly View Post
Using IQfeed data, I was curious how Multicharts separated the trade volume coming in at the bid and trade volume at the ask. I had Multicharts side by side with Sierra and Ninja. Sierra and Ninja gave exactly the same results, and Multicharts didn't. Now I'm left thinking I can't use Multicharts for this kind of analysis.

From what I understand the issue is that the CurrentBid/Ask is being read asynchronously. So the possibility exists for these to change while processing the incoming ticks. TS Support confirmed the issue and said they planned to address it in 6.0 (Release version, not beta).

Don't have enough posts to insert a link but a search of "IntraBarPersist" will most likely find the 3 page thread.


Last edited by sandie; April 13th, 2010 at 09:21 AM.
 
  #26 (permalink)
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sandie View Post
From what I understand the issue is that the CurrentBid/Ask is being read asynchronously. So the possibility exists for these to change while processing the incoming ticks. TS Support confirmed the issue and said they planned to address it in 6.0 (Release version, not beta).

Don't have enough posts to insert a link but a search of "IntraBarPersist" will most likely find the 3 page thread.

Is MultiCharts capable of loading historical bid/ask data from DTN IQFeed?

 
  #27 (permalink)
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Bid Ask Indicators and Mulitcharts

There has been some ambiguity in previous posts. I just want to clarify that, for it to be possible for indicators like the volume ladder and buy sell volume to work properly, the charting application does not need to provide bid ask SIZE.

What you DO need to know is: for each trade that is reported, whether the trade price was at, above, or below the current bid or ask. You DON'T need to know the actual value of the current bid or ask price.

If, for each trade, you can get the actual current bid and ask price as well as the close price, that is just as good.

Maybe I am missing something but still not sure from reading previous posts whether Multi Charts supports this, can anyone help?

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  #28 (permalink)
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You are 100% correct Zondor, you only need the bid and ask price for each trade. Interestingly, this is exactly how IQFeed delivers their tick stream.

It has been a while since I talked to MC, so this may have changed, but the last time I talked with them they were not able to do this kind of analysis, but they claimed they would be working on it for the future. The problem is that you need to change the way you store tick data, so it is not a seamless change.

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  #29 (permalink)
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aslan View Post
You are 100% correct Zondor, you only need the bid and ask price for each trade. Interestingly, this is exactly how IQFeed delivers their tick stream.

It has been a while since I talked to MC, so this may have changed, but the last time I talked with them they were not able to do this kind of analysis, but they claimed they would be working on it for the future. The problem is that you need to change the way you store tick data, so it is not a seamless change.

I hope the MultiCharts programmers had time to work on Cumulative Delta Volume. Looks like they have all their energy directed to DOM.

 
  #30 (permalink)
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Hi,

I am pushing up this old topic.
I have MC8 and DTN IQFeed as a data feed.
Is there now a built-in way to have real Cumulative Delta in MultiCharts? [I have not found]
Or shall we use an external indicator? Which one is the most up-to-date?

Thanks in advance for your help!

Nicolas


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