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Date/Time: Sun, 19 May 2024 15:10:31 +0000

Post From: Bid/Ask Depth Bars Study: Differences Between New (>= 1949) and Old Version

[2019-08-27 15:41:34] Link To Thread - Link To Post [Go To First Post]
User41727 - Posts: 124
What we can say is that the new implementation of Bid and Ask Depth Bars is very accurate. I don't doubt that. The values for the ratio calculation seem to be as expected with the new version based on the bid size to ask size ratio, but they are still often enough notably different from what the old version would calculate. I have looked into this a bit more, and I was using "Historical Market Depth - Last" as "Source Data" with the old version. From a cursory glance, the values calculated by the old version seem to be identical to the new version when using "Time & Sales" instead. Unfortunately, the documentation was never particularly clear on what exactly using the historical market depth as data source actually meant, and how exactly it differs from using T&S when only L1 quotes are available anyway. Maybe you could shed some light on that? In any case, I would greatly appreciate it if you could implement a way for the new study version to behave just as the old one did with the depth data. @NotIll It is as if the market changed the way it works after the update This is exactly the sense that I get. I have rolled back to 1943, which is still using the old study implementation, and seems to be working as expected. Date Time Of Last Edit: 2019-08-27 15:45:50