Program 80 | Bid/ask trade analyser

Program 80 uses a Time and Sales provider to analyze trade information.

The objective of program 80 is to highlight situations where trades of more than average size have occured within a bar.

It uses two different ways of analysing the situation to do this. I have called them ‘five percent volume ratio’ and ‘largest trade size.’ An explanation of how they are calculated is included below.

Since in TradeStation Time and Sales data is not available historically, program 80 stores and retrieves calculated values using Streamwriter and Streamreader writing to and reading from a text file on the user’s hard drive (the name and location of the file being defined by a user input.This means that once data has been processed and a calculation has been made, the result for those bars will be available the next time the program is opened on a specific chart.

You may also be interested in Tutorial 145 | Using Streamwriter & Streamreader to store and read bid/ask data and Tutorial 143 | Trade size analysis which cover similar subject areas.

Program 80 is available for immediate download for $69.95. The download is a TradeStation ELD file that includes the unprotected and commented program. This program will not work in MultiCharts because it uses the TradeStation collections and other functionality that is not available in the MultiCharts environment.

Overview of how program 80 works

The Time and Sales provider, Streamwriter and Streamreader are created in a Once statement along with vectors, a dictionary and a Tokenlist. An update event is created for the Time and Sales provider. The Streamreader reads the contents of the text file (if it contains any data from a previous use of the program) and copies the values into the Dictionary.

For historic bars the program compares the bar datetime of the bar being processed to see if there is a corresponding entry in the dictionary (real time values are indexed by the bardatetime value). If so, the values are copied into a TokenList (which accepts a comma separated list and puts the values in different elements). The historic values are then plotted.

For real time bars after the first full bar is processed, when a time and sales update-event occurs one of three actions is taken:

  1. If the update is NOT a trade, and the update is a bid, the bid price is stored in a variable (LastBidPrice).
  2. If the update is NOT a trade, and the update is an ask, the ask price is stored in a variable (LastAskPrice).
  3. If the update IS a trade, the size of the trade (number of contracts or shares) is stored in a vector (TradeVect).

In addition, if the price of the trade is equal to or less than the last recorded bid price it is stored in a vector called BidTradeVect. If the price of the trade is greater or equal to the last ask price it is stored in a vector named AskTradeVect.

The values are stored in the vectors using a method in the program named Record. The Record method makes sure that the values are stored in the respective vectors by order of size. In other words, the vectors are continually maintained in size order.

On the closing tick of each bar two calculations are made:

FIVE PERCENT VOLUME RATIO CALCULATION

An analysis of the vectors is made of the the top five percent of trades ordered by size divided by the total volume for a bar. This is calculated for:

  • all trades,
  • trades at ask price, and
  • trades at bid price.

The calculation is done using a method called AnalyzeVector. A plot is made of these values. The negative value of the trades at ask price ratio is plotted

LARGEST TRADE SIZE CALCULATION

Since all the trades are already sorted in the vector by size, it is a trivial matter to find the largest trade size by retrieving the value stored in the zero position of the respective vectors. This is done using the AnalyzeVector method. The values are plotted. The negative value of the largest trade ask price is plotted.

The results or both the five percent volume ratio and the largest trade size calculations are written to a text file using Streamwriter with the BarDateTime as an index.

// The syntax used to write the data in the text file is as follows

SWData.WriteLine( BarDateTime.Format( "%m/%d/%y %H:%M:%S" ) + "," + NumToStr( FVolRatio, 2 ) + "," + NumToStr( BidFVolRatio, 2 ) + "," + NumToStr( AskFVolRatio, 2 ) + "," + NumToStr( HNumContracts, 0 ) + "," + NumToStr( BidHNumContracts, 0 ) + "," + NumToStr( AskHNumContracts, 0 ) );
  • When using this indicator, a different value of FileNameAndPath must be used for each instance of the programs.
  • When the program is first applied to a chart it will generate an error if the file name is already being used on another chart.
  • Various commented-out print statements are included in the program source code. These were used for debugging purposes and are not required to run the program.
  • The program relies on indexing values based on the bar datetime. This will restrict its use with bars other than intraday time based bars.

Video explanation

TECHNICAL CONSTRUCTS USED IN THE PROGRAM

A study of this program should provide insights in the use and application of:

  • Time and sales providers
  • Streamwriter and Streamreader objects
  • Vectors
  • Storing values in vectors in size order
  • Copying data from a text file to a Dictionary
  • Copying comma delimited information from a dictionary into a Tokenlist

Please contact markplex.com if you find any bugs or have questions.

THESE INDICATORS, SHOW ME STUDIES, STRATEGIES AND OTHER PROGRAMS HAVE BEEN INCLUDED SOLELY FOR EDUCATIONAL PURPOSES.

TO THE BEST OF MARKPLEX CORPORATION’S KNOWLEDGE, ALL OF THE INFORMATION ON THIS PAGE IS CORRECT, AND IT IS PROVIDED IN THE HOPE THAT IT WILL BE USEFUL. HOWEVER, MARKPLEX CORPORATION ASSUMES NO LIABILITY FOR ANY DAMAGES, DIRECT OR OTHERWISE, RESULTING FROM THE USE OF THIS INFORMATION AND/OR PROGRAM(S) DESCRIBED, AND NO WARRANTY IS MADE REGARDING ITS ACCURACY OR COMPLETENESS. USE OF THIS INFORMATION AND/OR PROGRAMS DESCRIBED IS AT YOUR OWN RISK.

ANY EASYLANGUAGE OR POWERLANGUAGE TRADING STRATEGIES, SIGNALS, STUDIES, INDICATORS, SHOWME STUDIES, PAINTBAR STUDIES, PROBABILITYMAP STUDIES, ACTIVITYBAR STUDIES, FUNCTIONS (AND PARTS THEREOF) AND ASSOCIATED TECHNIQUES REFERRED TO, INCLUDED IN OR ATTACHED TO THIS TUTORIAL OR PROGRAM DESCRIPTION ARE EXAMPLES ONLY, AND HAVE BEEN INCLUDED SOLELY FOR EDUCATIONAL PURPOSES. MARKPLEX CORPORATION. DOES NOT RECOMMEND THAT YOU USE ANY SUCH TRADING STRATEGIES, SIGNALS, STUDIES, INDICATORS, SHOWME STUDIES, PAINTBAR STUDIES, PROBABILITYMAP STUDIES, ACTIVITYBAR STUDIES, FUNCTIONS (OR ANY PARTS THEREOF) OR TECHNIQUES. THE USE OF ANY SUCH TRADING STRATEGIES, SIGNALS, STUDIES, INDICATORS, SHOWME STUDIES, PAINTBAR STUDIES, PROBABILITYMAP STUDIES, ACTIVITYBAR STUDIES, FUNCTIONS AND TECHNIQUES DOES NOT GUARANTEE THAT YOU WILL MAKE PROFITS, INCREASE PROFITS, OR MINIMIZE LOSSES.

Disclaimer The information, materials, products and services on this Web site are made available subject to the following terms and conditions. Markplex Corporation reserves the right to change these terms and conditions at its sole discretion. This Web site and any downloads, videos, tutorials, programs and information contained herein is presented solely for educational, informational, and/or entertainment use and under no circumstances should be used for actual trading. We at Markplex Corporation are not Broker/Dealers, Financial Advisers or Registered Analysts. No offer or solicitation to buy or sell securities, securities derivatives, futures products or off-exchange foreign currency (forex) transactions of any kind, or any type of trading or investment advice, recommendation or strategy, is made, given or in any manner endorsed by Markplex Corporation. You are fully responsible for any investment or trading decisions you make. Futures and options trading has a large potential risk. You must be aware of the risks and be willing to accept them in order to invest in the futures and options markets. This Web site is neither a solicitation nor an offer to buy and/or sell futures or options. No representation is being made that any account will or is likely to achieve profits or losses similar to those discussed on this Web site. Past performance, whether actual or indicated by historical tests of strategies, is no guarantee of future performance or success. No warranties of profitability are being made or given. There is a possibility that you may sustain a loss equal to or greater than your entire investment regardless of which asset class you trade (equities, options futures or forex); therefore, you should not invest or risk money that you cannot afford to lose. CFTC RULE 4.41 - Hypothetical or simulated performance results have certain inherent limitations. Unlike an actual performance record, simulated results do not represent actual trading. Also, since the trades have not actually been executed, the results may have under- or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. Screen shots on this site are examples and are not meant to imply that any of the programs or tutorials available on this Web site will generate profitable trades. EasyLanguage or PowerLanguage trading strategies, signals, studies, indicators, showme studies, paintbar studies, probabilitymap studies, activitybar studies, functions (and parts thereof) and associated techniques referred to, included in or attached to this tutorial or program description are examples only, and have been included solely for educational, informational, and entertainment use. Markplex Corporation does not recommend that you use any such trading strategies, signals, studies, indicators, showme studies, paintbar studies, probabilitymap studies, activitybar studies, functions (or any parts thereof) or techniques. The use of any such trading strategies, signals, studies, indicators, showme studies, paintbar studies, probabilitymap studies, activitybar studies, functions and techniques does not guarantee that you will make profits, increase profits, or minimize losses. Markplex Corporation assumes no liability for any damages, direct or otherwise, resulting from the use of this information and/or program(s) described, and no warranty is made regarding its accuracy or completeness. Use of this Web site including the information, tutorials and/or programs included on it is at your own risk. You shall indemnify and hold Markplex Corporation harmless from any and all liability, loss, trading losses, costs, damage, or expense, including attorneys' fees you or third party may suffer (other than damage to your tangible property or injuries to employees occurring during the course of work) as a result of claims, demands, costs, or judgments arising out of third party and any other claims based on Markplex Corporation's performance, including, but not limited to losses resulting from the use of Markplex Corporation developed software, programs, web sites, tutorials, or the TradeStation charting and/or trading platform. Any testimonials on this Web site may not be representative of the experience of other clients and are not indicative of future results or success.
This Web site contains or may contain references and links to other companies and/or their Web sites, none of which is under the control of Markplex Corporation. Markplex Corporation makes no representations, warranties or endorsements whatsoever about any other Web sites to which you may have access through the Markplex Corporation Web site, or any products or services of those other companies, even if the products or services of those other companies or their Web sites are described or offered on the Markplex Corporation Web site or integrated with Markplex Corporation's products or services. TradeStation®, EasyLanguage® and PowerEditor® are registered trademarks of TradeStation Technologies, Inc. Other brand and product names which appear on this site are the trademarks or service marks of their respective owners, including: Microsoft® is a registered trademark in the United States Microsoft®Excel® is a registered trademark of Microsoft® Neither TradeStation Technologies nor any of its affiliates has reviewed, certified, endorsed, approved, disapproved or recommended, and neither does or will review, certify, endorse, approve, disapprove or recommend, any product or service that offers training, education or consulting regarding the use of EasyLanguage.

By continuing to use and navigate our sites, services, applications, tools or messaging, you are agreeing to our Terms and Conditions and the use of cookies, web beacons and similar technologies as described in our Privacy Policy and Privacy Policy on the use of cookies.

Cookie settings

Below you can choose which kind of cookies you allow on this website. Click on the "Save cookie settings" button to apply your choice.

FunctionalOur website uses functional cookies. These cookies are necessary to let our website work.

AnalyticalOur website uses analytical cookies to make it possible to analyze our website and optimize for the purpose of a.o. the usability.

Social mediaOur website places social media cookies to show you 3rd party content like YouTube and FaceBook. These cookies may track your personal data.

AdvertisingOur website places advertising cookies to show you 3rd party advertisements based on your interests. These cookies may track your personal data.

OtherOur website places 3rd party cookies from other 3rd party services which aren't Analytical, Social media or Advertising.