Support Board
Date/Time: Wed, 27 Nov 2024 23:45:31 +0000
[Programming Help] - Download Bid Ask data for 1 second chart 1-2 ticks above and below
View Count: 291
| [2023-06-20 20:03:14] |
| Dean Roberts - Posts: 79 |
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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 |
| [2023-06-21 14:52:32] |
| Sierra_Chart Engineering - Posts: 17198 |
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We are not understanding this. And you are confusing historical market depth data, with Bid Volume and Ask Volume. The two are different.
Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2023-06-21 16:08:55] |
| Dean Roberts - Posts: 79 |
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Apologies, you're right, I think I am confusing them. For any 1 second of data, I would like the BVAP and AVAP at 1-2 ticks above and below the candle closing price on a 1 second chart - to compare Bid and Ask 1-2 ticks above and below a potential trade entry level. Not sure if a study provides that that I can download data on? Thanks Cad |
| [2023-06-22 09:44:46] |
| Sierra_Chart Engineering - Posts: 17198 |
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Best thing is to use the Numbers Bars study to see all of this data: Numbers Bars This requires Service Package 11 or higher and we have given you a free trial of that for 30 days. Or the Volume by Price study: Volume By Price Study: Single Bar Volume Profiles with Bid Volume and Ask Volume Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2023-06-22 09:45:23
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| [2023-06-22 10:56:58] |
| Dean Roberts - Posts: 79 |
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Wonderful, thank you so much :-)
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