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[User Discussion] - DOM-Data Spreadsheet

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[2013-08-20 16:11:23] #1 [Go To First Post]
AndyL - Posts: 119
Hello, I made a spreadsheet where i display DOM data using spreadsheet-study and and the "DOM-Data" indicators. The sheet looks like this: Quantity x Price 10 x 1.34282 50 x 1.34285 500 x 1.34289 . . Now i want to calculate the price for 100 contracts. If this would be a static sheet, it would be easy. But with realtime data and changing quantities i am not sure how to do it. Is there an easy way to do it, or maybe a ready made indicator for this? Regards, A. Date Time Of Last Edit: 2013-08-20 16:12:52

[2013-08-20 18:43:50] #2 [Go To First Post]
AndyL - Posts: 119
Determining the price of 100 contracts (as per my example) before sending an order is unsupported and hence a user-discussion? I would have thought basic pre-trade price-info is core functionality..

[2013-08-20 20:29:33] #3 [Go To First Post]
Sawtooth - Posts: 3976
It might be possible but it's not clear to me what you want to do. Please explain again.

[2013-08-21 00:05:48] #4 [Go To First Post]
AndyL - Posts: 119
tom: often i want to trade more size than what is available on the first level of the marketdepth. For example, i want to sell 100 contracts, but there are less than 100 contracts available on the best bid - in my example above 10 contracts. In my example above, if i would send a sell-market order for 100 contracts, it would sweep the first 2 levels of the book and eat 40 contracts into the third level. The average price of the position would be: (101.34282 + 501.34285 + 401.34289)/100 = 1.34286 This is the price that i want to display in the spreadsheet - just the price of 100 contracts according to the current DOM snapshot. Simple enough for this static example - but with realtime updates its more complicated. Sometimes there are 100 contracts available on the best bid, sometimes its spread out over 2 or more levels of depth. I suppose i would have to somehow loop over the dom-data, add up prices until i have 100 contracts - but i suppose this wont work with spreadsheets alone. P.S. i attached a screenshot from the spreadsheet, maybe it explains it better Date Time Of Last Edit: 2013-08-21 00:16:50*


Sierra-DOM-Sheet.png / V - Attached On 2013-08-21 00:15:40 UTC - Size: 806.43 KB - 858 views

[2013-08-21 02:03:40] #5 [Go To First Post]
Sawtooth - Posts: 3976
Here's a standalone spreadsheet that calculates what you want. It references the DOM Data study's outputs on a spreadsheet study, from columns AA,AB,AC,AD. The values you want are in B2 and C2. The only cell you edit is A2.


DOM data.scwbf - Attached On 2013-08-21 02:01:58 UTC - Size: 7.7 KB - 544 views

[2013-08-21 03:06:00] #6 [Go To First Post]
AndyL - Posts: 119
tom: thanks! Nice spreadsheet skills.

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