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Honolulu + Hawaii / USA
Posts: 18 since Jul 2014
Thanks Given: 16
Thanks Received: 1
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i can't find a data provider who provides (milli)second by (milli)second historical depth of market book, so i figure i could write a code that and build my own.
below is the Market Depth of Chart by Multicharts
[RecoverDrawings = false];
if not LastBarOnChart_s then #return;
Inputs: UpdateSpeed_seconds(0.1);
RecalcLastBarAfter(UpdateSpeed_seconds);
repeat
if not dom_isconnected then
break;
value11 = 0;
value12 = 0;
for value1 = 0 to dom_askscount - 1 begin
value12 = dom_asksize(value1);
if value12 > value11 then value11 = value12;
end;
for value1 = 0 to dom_bidscount - 1 begin
value12 = dom_bidsize(value1);
if value12 > value11 then value11 = value12;
end;
if 0 >= value11 then
break;
for value1 = 0 to dom_askscount - 1 begin
draw_DOM_level(
dom_askprice(value1), dom_asksize(value1), value1, value11,
gradientcolor( value1, 0, 10, RGB(255,0,0), RGB(80,0,0) ),
dom_askscount - 1 = value1
);
end;
for value1 = 0 to dom_bidscount - 1 begin
draw_DOM_level(
dom_bidprice(value1), dom_bidsize(value1), value1, value11,
gradientcolor( value1, 0, 10, RGB(0,0,255), RGB(0,0,80) ),
dom_bidscount - 1 = value1
);
end;
plot1("OK", "Status", white);
#return;
until(False);
plot1("Level2 data is not avaliable", "Status", red);
is there a way, i can store,save that data to be used at another time for time backtesting?
thanks!
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