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Date/Time: Thu, 27 Feb 2025 04:59:47 +0000

[Programming Help] - Write 1 trade bar data to file with Bid/Ask size at time of sale

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[2021-06-03 17:59:03] #1 [Go To First Post]
User339484 - Posts: 71
What I am trying to do is write every trade to file as well as the bidsize and asksize at the time of trade. So if there was a resting bid of 200 and someone sells 50 into it, it would say Bid volume: 50 Bidsize:200 NOT Bidsize:150 I have tried using the write to file study with market depth bars set to 1, but it leaves a lot of blank zeros. These numbers also don't match the time and sales Asksize/Bidsize. What would be the best way to go about doing this? Thanks! Date Time Of Last Edit: 2021-06-03 17:59:53
0x Thank you
Private File

[2021-06-04 17:47:02] #2 [Go To First Post]
User339484 - Posts: 71
What I am trying to do is have 4 indicator rows. Row 1: 1 trade chart Row 2: Ask size at time of trade (only 1 depth) Row 3: Ask Volume and Bid volume Row 4: Bid size at time of trade (only 1 depth) What I have tried is: Both old and new market depth bars. Set to 1 depth. This does not work it skips trades. Seems glitched, also the numbers don't match time and sales. I used the time and sales bid and the time and sales ask columns. From there I referenced the study with a code so it locks in the last number. This looked like it was working but if you see in the picture when I am writing to file the bidsize and asksize at time of trade are not matching up.
0x Thank you
depth1.png / V - Attached On 2021-06-04 17:39:08 UTC - Size: 330.87 KB - 212 views

[2021-06-10 14:47:47] #3 [Go To First Post]
User339484 - Posts: 71
Any idea?
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[2021-06-10 16:54:42] #4 [Go To First Post]
User339484 - Posts: 71
IS THERE NO WAY TO GET A VALUE OF THE BEST BID AND BEST ASK AT TIME OF EACH TRADE? MARKET DEPTH BARS OLD VS NEW VS TIME AND SALES ALL SHOW DIFFERENT BEST BID/ASK QUANITITY
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[2021-06-12 16:14:21] #5 [Go To First Post]
User339484 - Posts: 71
Still trying to do this.
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[2021-06-14 17:45:57] #6 [Go To First Post]
User339484 - Posts: 71
Still can't get this working
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[2021-06-14 18:38:22] #7 [Go To First Post]
User907968 - Posts: 833
ASCIL code for everytime best bid or best ask updates value? | Post: 269130
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