I have been watching aggregate T&S for a while now, and was wondering what the accumulation of big prints looked like using a size filtered CD or Volume indicator, but there were no tools available that could display aggregate tick historical data. I worked with gomi and vvhg on this project, and was able to modify the GomRecorder to record aggregate ticks that now match vvhg 's AggregateTS. What this allows users to do is record aggregate tick data, and use their favorite Gom Indicators to run studies on aggregate size (I have been experimenting with CD using aggregate ticks and size filters).
Before downloading this, please read:
and
Please be familiar with the Gom Framework, and the process of recording data, as well as the idea behind trying to aggregate ticks back into the original market order. Also, have the latest version of the GomRecorder before installing this package.
Included in this package is a modified version of the GomRecorder which will expose the AggregateBinary file format, and a simple tool called XavFilterSizeAnalyzer which helps you chose the proper filter size for aggregate ticks, by displaying the tick% and volume% of the current size filter.
The modifications to the GomRecorder will not show up as a new indicator. All it does is expose the Aggregate Binary file format, and lets you chose an aggregation mode which matches vvhg 's AggregateTS:
You must record aggregate binary data in order to use this file format with any indicator. What I do is have a workspace which records Binary and AggregateBinary, and does nothing else. I never close this workspace, just keep it minimized. This allows me to mess around with size filters, without having to stop recording.
**DO NOT USE AGGREGATE BINARY WITH GOM LADDER** (sweeps will only be recorded at one price level ;) )
In order to backfill AggregateBinary data using DOM aggregation, you must download level II data.
Summary:
0)UNDERSTAND HOW TO USE THE GOMRECORDER FRAMEWORK AND ASSOCIATED INDICATORS
1) Have the latest version of the GomRecorder installed
2) Install this package
3) Record AggregateBinary data using the GomRecorder indicator on a RECORD ONLY workspace(its just the easiest way to do it)
4) Once you have aggregate binary data recorded, apply the AggregateBinary file format to your favorite Gom indicators, using the delta size filter of your choosing