Support Board
Date/Time: Thu, 28 Nov 2024 01:24:21 +0000
Post From: Download Bid Ask data for 1 second chart 1-2 ticks above and below
| [2023-06-20 20:03:14] |
| Dean Roberts - Posts: 79 |
|
Hi Support I'm trying to download 1 second intraday data to back test my strategies in Python. I am trying to use the 'export bar and study to text file' function and it's working for the NQ and studies data. However, I am trying to use the calculation for BVAP vs AVAP calculation below so I'm hoping to find a study that will provide the Bid and Ask volume for the price 1-2 ticks above and below the 1 second candle close price so this calculation can be tested. I'm not sure there is a study that can provide that historical depth data and I know only 1 month of depth data can be downloaded. Is there a study that can provide a range of BVAP and AVAP for each second please? Example of calc to compare B/A VAP for buy signal; , BVAP(ID1.SG2+(TICKSIZE*1),0)>=AVAP(ID1.SG2+(TICKSIZE*2),0)*2 , BVAP(ID1.SG2,0)>=AVAP(ID1.SG2+(TICKSIZE*1),0)*2 , BVAP(ID1.SG2-(TICKSIZE*1),0)>=AVAP(ID1.SG2,0)*2 Much appreciated Cad |