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Reconstruct the Time and Sales
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Reconstruct the Time and Sales

  #1 (permalink)
Elite Member
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Reconstruct the Time and Sales

This is an attempt of mine to reconstruct the Time and Sales and piece together the fragmented contract numbers. I used NT7 with a demo ZenFire account. I modified a strategy to show in the NT output window the last trade that occurred and added a timestamp from my PC clock with 15ms accuracy. The symbol recorded was ES at about 8:00 am EST. These are some of the outputs:

68753773 1411,5 1

68753779 1411,5 1
68753779 1411,5 22
68753779 1411,5 2
68753779 1411,5 1
68753779 1411,5 30
68753779 1411,5 30

68753939 1411,25 1

68754189 1411,5 2
68754189 1411,5 2
68754189 1411,5 6

68754339 1411,25 1

First column is a timestamp obtained by (DateTime.Now.Ticks / 100000). Itís essentially the smaller increment my PC clock granularity could get by using Ticks. (I could have used QueryPerformanceCounter API but I donít think this accuracy is critical). So the difference of the first two trades is 600000 Ticks = 600000 x 100 nanoseconds = 60000 microseconds = 60 milliseconds.

Is it then true to assume that all that 86 trades happening at exactly the same time 68753779 is indeed one big trade split up as smaller ones? (Big market order hitting small limit ones). Could it be that I am getting those trades bundled together because of a network card or internet bandwidth issue? What are your opinions? Has anyone else tried this?

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  #3 (permalink)
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Already done

https://futures.io/elite-circle/22235-aggregated-time-sales.html

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Hello, is it possible to get Agregated Time and Sales for non-elite trader?

Hello, is it possible to get Agregated Time and Sales for non-elite trader?

Thank you!

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alone View Post
Hello, is it possible to get Agregated Time and Sales for non-elite trader?

Thank you!

The best and easiest way is to become an Elite Member.
Any Elite Member that sends it to you otherwise risks getting kicked out of futures.io (formerly BMT).

Besides, the advantages of supporting futures.io (formerly BMT) are obvious and very inexpensive for the value.

Of course, you could hire a programmer to do the same thing.
I think you can find one to do that for about $100 an hour, should only cost you $500 or $600 to get it programmed.

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Takes an hour to program. Don't buy into Mike's greed. If you don't know how to program - learn. A skill you need to trade in the first place.

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grimReaper View Post
Takes an hour to program. Don't buy into Mike's greed. If you don't know how to program - learn. A skill you need to trade in the first place.

As I actually did program it, I can assure you that it takes more than an hour, way more!
And I do not believe that greed has anything to do with elite costing 50 bucks, that by the way are very well spent.
With the next statement I agree, it has been a huge advantage for me, although I think one can trade successfully without knowing how to program...

Vvhg

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grimReaper View Post
Takes an hour to program. Don't buy into Mike's greed. If you don't know how to program - learn. A skill you need to trade in the first place.


vvhg View Post
As I actually did program it, I can assure you that it takes more than an hour, way more!
And I do not believe that greed has anything to do with elite costing 50 bucks, that by the way are very well spent.
With the next statement I agree, it has been a huge advantage for me, although I think one can trade successfully without knowing how to program...

Vvhg

The aggregation logic can be done in about an hr, but the visual side is where the time really gets consumed


alone View Post
Hello, is it possible to get Agregated Time and Sales for non-elite trader?

Thank you!

FYI an Aggregated TS indicator would not work for forex...the most common aggregation methods work with CME Group products

London Calling
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  #9 (permalink)
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Xav1029 View Post
The aggregation logic can be done in about an hr, but the visual side is where the time really gets consumed

That's what I meant. For the visual, I just output into the output window.

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  #10 (permalink)
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grimReaper View Post
That's what I meant. For the visual, I just output into the output window.

Better don't. That would be the most expensive way of all (except actually printing them on paper).

And spending an hour programming something that is already available can only qualifyas a learning experience...

Vvhg

Hic Rhodos, hic salta.

Last edited by vvhg; February 8th, 2013 at 03:15 AM.
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