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Date/Time: Tue, 17 May 2022 13:13:22 +0000



Post From: Number Bars for Quotes

[2013-05-27 16:41:36]
Tintin - Posts: 23
Hi SC Team,

Can you add, in the Analysis/Studies, a Number Bars for Quotes.

The purpose is to see all the market depth level in the study and be able to count the number of time there are new quotes at each level of price for the time frame of your chart.

This will be of great interest to see where the quotes stuffs activities are the more important and need to be display just like the number bars study.

According to the fact that more and more big players have access to consolidate quotes (=full book) and that HFT's quotes suffs represent over 90% of the quotes updates ... it will be of great interest for retailers to have new tool help them to know if HFTs are on or off ...

Assuming we can use -ALL suffix for each symbol and that we can count millisecond quotes updates with datafeeds such as IQfeed / TT / CTS ... or why not maybe be able to have access to a new datavendor like Nxcore (Nanex).

So for the time frame of our chart we need to have :

level 5 : count the number of time there are new quotes updates
level 4 : count the number of time there are new quotes updates
level 3 : count the number of time there are new quotes updates
level 2 : count the number of time there are new quotes updates
level 1 : count the number of time there are new quotes updates
level-1 : count the number of time there are new quotes updates
level-2 : count the number of time there are new quotes updates
level-3 : count the number of time there are new quotes updates
level-4 : count the number of time there are new quotes updates
level-5 : count the number of time there are new quotes updates

so, if high in ES is bid 1650.00 then we need to see each 5 levels above on the ask side for count the number of time there are new quotes updates ... same on the bid side if low in ES is ask 1625.00.

If price activity goes sideways then on levels visiting by the bid and ask quotes updates, you need to use separator for the bid and ask counts.

Regards.

For those who want to go further into the use of consolidate quotes and the activities of the HFT's and algos, here are 2 videos ...
one from Nanex about high frequency trading : http://www.youtube.com/watch?v=l5KM2T1KWD8
one from a member of a pit's firm about the rise of algos trading : http://www.youtube.com/watch?v=032IVVZ0yXg








Date Time Of Last Edit: 2013-05-27 22:37:21