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Date/Time: Fri, 26 Apr 2024 22:01:43 +0000

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Time and sales and Depth of market

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[2013-03-31 16:05:29] #1 [Go To First Post]
nioko54130 - Posts: 108
Hi dear support group! I'm looking for an improvment about the dom, and the time and sales with sierrachart. As you know, in the dom, we have a lot of order which are added, and cancelled at each level of the dom ; and sometimes, this kind of orders which are cancelled or added, are done at a very high frequency. I know you can provide the best bid size, and the best ask size into the time and sales ; and it is very interesting ; but the best ask size, and the best bid size are available on the time and sales, only for each transaction. So it will be very good if we can get an historic of this cancelled/added order for each level and for each part of time in sort of getting a register of the evolution of the market depth even if this evolution occure on a very fast time period. I don't know if it is technically possible with sierrachart, and i don't know if it will be more usefull to see it on the time and sales, or on a second dom ; but it would be very usefull to get this kind of tool. Thank's a lot! Date Time Of Last Edit: 2013-03-31 20:59:27

[2013-04-06 16:53:41] #2 [Go To First Post]
nioko54130 - Posts: 108
some news please ?

[2013-04-06 19:28:16] #3 [Go To First Post]
SgtJ - Posts: 154
Being able to historically see pulled orders outside of the best bid/ask would be interesting. Maybe within a separate market depth window or even better, if it could be charted like the vol @ price study on a 5min chart, etc, except it would represent pulled bids and pulled offers. There is a vendor breaking into this area but not yet to the "vap" degree.

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