Fort Collins, Colorado
Experience: Intermediate
Platform: NT7
Trading: ES
Posts: 57 since Feb 2011
Thanks Given: 48
Thanks Received: 45
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I am trying to create an indicator that plots the Average Trade Size of the last several trades in Time of Sales. This is a form of Market Profile in a sense, but it doesn't seem to exist within the context of the @gomi indicators that I have seen. If it does, I would love to be pointed in the right direction.
Here is what I am trying to do. Let's say I have the following simplistic Time and Sales data.
2:14:59PM 1366.50 1
2:14:55PM 1366.50 5
2:14:55PM 1366.50 1
2:14:44PM 1366.50 10
2:14:44PM 1366.50 11
2:14:26PM 1366.50 2
2:14:26PM 1366.75 3
2:14:26PM 1366.75 23
With a "normal" Market Profile indicator, it would total the contracts at the Bid (Red) and plot 30 and the contracts at the Ask (Green) and plot 26. Presumably showing more interest at the Bid and hence the "urgent," at-the-market money is selling, and will eventually push the market down if it continues.
In its most simple form, what I would like to do is show the average size of the transactions, so for the Bid, the plot would be 30/6 for 5 and for the Ask, it would be 26/2 for 13. Presumably showing that the "Big Money" is buying at the market, and hence will push the market up.
Two different ways to look at the data. Obviously, to do this, I need access to the raw Time and Sales data. I think that the GomRecorder should be able to give me access to this data in a file, but I am not strong enough at coding to be able to figure out how to get at it. It doesn't seem to be as simple as
If (SalePrice=Bid){B++; TotalSalesAtBid = TotalSalesAtBid + NewSale;}
If (SalePrice=Ask){A++; TotalSalesAtAsk = TotalSalesAtAsk + NewSale;}
and then AskAvg = TotalSalesAtAsk/A; BidAvg = TotalSalesAtBid/B;
It would be great if this data is easily accessible in NT8, or if it is in MC. But I can't seem to find how to plot the data.
Any help would be appreciated. Thanks!
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