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Tutorial 154 | A simple Market Depth Provider tutorial

A Gold Pass member asked for a tutorial about how to create a custom indicator using the Market Depth Provider that calculated the sum of level 1 through level 5 ask volume and the sum of level 1 through level 5 bid volume and then create and plot the ratio of the Ask Side/Bid Side.

This tutorial only applies to TradeStation. It was written in version 9.5 and has been tested in version 9.5 and 10.

The software only works with real time data.

Tutorial 154 applied to an @VX chart in TradeStation 10

The tutorial 154 ELD is available for free download by Gold Pass members in the Gold Pass area below.

Tutorial 154 notes

Tutorial 154 uses the tool box to create a Market Depth Provider. The load property is set to true and the symbol property to symbol. An update event is created. For every update the program goes through a For loop to sum the contracts in the first few bid levels and ask levels.  The number of levels is based on the MaxLevels input.

The ratio of SumAskSize / SumBidSize is plotted.

Video summary of tutorial 154

Part 2 | Calculate and plot the highest value of the ratio for each bar

Part 2 of the tutorial shows how to calculate and plot the maximum and minimum values of the ratio for each bar. As with the first part of the tutorial the values are only plotted as bars develop in real time.

A chart where the indicator discussed in part 2 has been applied for a while. The green plot is the maximum value of the ratio for each bar. The red plot is the minimum value of the plot for each bar.

Gold Pass area

If you are a Gold Pass member you can download the tutorial ELD file below, please make sure that you are logged in with your Gold Pass user name and password.
This content is for members only.
THESE INDICATORS, SHOW ME STUDIES, STRATEGIES AND OTHER PROGRAMS HAVE BEEN INCLUDED SOLELY FOR EDUCATIONAL PURPOSES.

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