Support Board
Date/Time: Thu, 27 Feb 2025 05:03:07 +0000
Post From: Write 1 trade bar data to file with Bid/Ask size at time of sale
| [2021-06-03 17:59:03] |
| User339484 - Posts: 71 |
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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
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