Volume Ladder / Cons T&S

July 31st, 2015, 11:42 AM

hi anyone on TS using a good Volume Ladder...want to see the Trades at Bid/Ask and also associated Trade Volume.

Hearing there have been good improvements in TS and some of these might be possible now. Not sure if there have been any improvements in Historic capabilities as compared to the other platforms where stuff on Ninja shows up great for Jigsaw and GOM.

But if anyone using something for Consolidate Tape or Volume/BxA Ladder please drop in a note on how you have found this playing out in TS. If not any ideas on developing one?...is it worth it or many current limitations.

thnx
s

July 31st, 2015, 12:14 PM

@DionysusToast hi Pete am guessing you have looked into the viability of similar development on Tradestation before as you currently have for other platforms. Any current thoughts on development on Tradestation...and if not why?

thnx
s

Jigsaw Trading · August 3rd, 2015, 04:37 AM

I was a Tradestation user previously but there were issues at the time:

1 - They didn't give you the ability to programmatically manipulate the market depth/time & sales
2 - It's written in C and Easylanguage is Fortran. So extending that is much more difficult than extending a .NET based product like Ninja, OEC Trader and MultiCharts.

January 10th, 2016, 07:23 PM

does tradestation have vwap indicator ? do you have it here ?

January 22nd, 2016, 10:39 PM

mtang88

does tradestation have vwap indicator ? do you have it here ?

I think this particular VWAP code is OK to post here.

Code

 vars:
	PrW(0),
	ShW(0),
	VWAP(0);

if date > date[1] then begin
	PrW = 0;
	ShW = 0;	
end;

PrW = PrW + (AvgPrice * (UpTicks+DownTicks));
ShW = ShW + (UpTicks+DownTicks);

if ShW > 0 then
	VWAP = PrW / ShW;

Plot1(VWAP, "VWAP");

Volume Ladder / Cons T&S

Discussion in TradeStation

Volume Ladder / Cons T&S