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Tutorial 219 | Plot the time since the last trade at bid/ask (approximate)

T219-2
Tutorial 219 (based on tutorial 218) calculates and plots the approximate time since the last trade at bid and the approximate time since the last trade at  ask. The functionality from tutorial 218 has been kept.
 
The tutorial uses tutorial 218’s code as a basis for the new program. Rather than use the local computer time to calculate current datetime, the program takes the time of the last tick (whether it be a bid, ask or trade) to provide an estimate of the time. This means that the symbol’s timezone is irrelevant as well as whether the symbol being analyzed is ‘delayed.’ 
 
The tutorial demonstrates how to subtract one datetime object from another to create a Timespan object. The tutorial then reads the TotalMilliseconds property from the Timespace object and plots it.
 
Tutorial 219 applied to an IBM chart three times, with PlotType = 2, 0 and 1
Tutorial 219 applied to an IBM chart three times, with PlotType = 2, 0 and 1
Tutorial 219 uses a time and sales provider to analyze trade information. TradeStation Time and Sales data is not available historically except for a number of previous ticks, which is not used in this program.
 
For real time bars after the first full bar is processed, when a time and sales update-event occurs:
  1. If the update is NOT a trade, and the update is a bid, the bid price is stored in an intrabarpersist variable (LastBidPrice) and the datetime is stored
  2. If the update is NOT a trade, and the update is an ask, the ask price is stored in an intrabarpersist variable (LastAskPrice) and the datetime is stored
  3. If the update IS a trade, the size of the trade (number of contracts or shares) is compared with a variable that keeps a record of the biggest trade, so far, that bar. If the size of the trade is bigger than this number then the variable is updated. The datetime is stored
  4. If the update is a trade, and its price is less than or equal to the last bid price then TradeBidCount is incremented. The time of the trade is stored in Datetime format.
  5. If the update is a trade, and its price is greater or equal to the latest ask price then TradeAskCount is incremented. The time of the trade is stored in Datetime format.
Tutorial 219 applied to a 10 tick IBM chart
Tutorial 219 applied to a 10 tick IBM chart
N.B. These assumptions have some potential for misclassification, especially when:
  • The spread is very tight (e.g., 1 tick)
  • The market is moving fast (quotes and trades may not align perfectly)
  • There’s price improvement (e.g., a buyer gets filled between the bid and ask)
  • A trade occurs inside the spread (e.g., midpoint fills).
Tutorial 219 applied to a 2 minute @YM chart. PlotType is set to 2
Tutorial 219 applied to a 2 minute @YM chart. PlotType is set to 2

Comments

Various commented out print statements are included below. These were used for debugging purposes and are not required to run the program.
 
N.B. Since this program is using real time data ONLY and NOT storing any of that data, if the program is reapplied or re-verified all the data currently on the chart will be deleted.
 
If the user is interested in how the data could be stored and later re-applied to the chart then he might be interested in program 81. Program 81 stores and retrieves calculated values to and from a text file on the user’s hard drive using Streamwriter and Streamreader (the name and location of the file being defined by a user input).
 
If the PlotType input is set to 0:
  • The ratio of the number of trades made at the bid price divided by the number trades made at the ask price
  • The number of trades made at the bid price
  • The number trades made at the ask price

If the PlotType input is set to 1:

  • The largest trade, by volume, for the bar

If the PlotType input is set to 2:

  • The approximate time since the last trade at the bid price
  • The approximate time since the last trade at the ask price 

Tutorial 219 is a latency-style measure of order flow activity at each side of the book, and it could potentially give insight into short-term supply/demand shifts that traditional indicators can’t show.

Here are some potential uses:

1. Order Flow Momentum

  • If the “time since last trade at bid” is rapidly increasing while “time since last trade at ask” is low, it means:

    • Trades at the bid are drying up (buyers aren’t hitting the bid).

    • Trades at the ask are happening frequently (buyers are aggressive).

    • This could indicate bullish short-term sentiment.

  • Reverse logic for bearish setups.

2. Detecting Microstructural Stalls

  • In very short timeframes (e.g., sub-second), if both counters suddenly freeze (no trades at bid or ask), it can signal:

    • A liquidity vacuum before a breakout.

    • An impending large order sweep.

    • High-Frequency Trading (HFT) activity pausing to reassess.

3. Trade Aggression / Passive Side Fatigue

  • A consistently short “time since last trade” at one side suggests aggressive activity there.

  • A long gap indicates passive liquidity is holding, and that side is not getting hit/lifted.

  • This can help spot when a price level is about to be broken because one side is no longer defended.

4. Filtering False Moves

  • Price can tick up on thin volume, but if the ask-trade timer stays high (few trades hitting the ask), the move might be weak.

  • Similarly, a tick down without active bid-trade pressure might be just noise.

5. Spread Behavior and Microtrend Confirmation

  • By combining the bid/ask timers with spread width and tick direction, you can confirm whether a microtrend is supported by aggressive trading in the direction of the move.

6. Scalping / HFT-style Triggers

  • A strategy could fire when:

    • “Ask trade time” < X ms (continuous aggressive buying)

    • AND “Bid trade time” > Y ms (no aggressive selling)

    • AND price is near a key breakout level.

Tutorial 219 applied to an @YM 25 second chart. PlotType set to 2
Tutorial 219 applied to an @YM 25 second chart. PlotType set to 2
The user is free to change the color and style of the plots in the settings
The user is free to change the color and style of the plots in the settings

Explanation of tutorial 219

Download the tutorial 219 program

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