T&S with DOM and tick data

Spotware
10 Jun 2014, 08:24

OnTick and MaketDepth.Updated are not synchronized. Even more MarketDepth.Updated event occurs more frequent than Tick happens. We can recommend you to use MarketDepth.Updated event and retrieve spot prices from the MarketDepth object. 

Antonma
11 Jun 2014, 23:26

Ok, that is what I'm doing now:

1. Gather DOM Data before the next tick occurs

protected override void OnStart()
{
   md = MarketData.GetMarketDepth(Symbol);
   md.Updated += md_Updated;
}  
void md_Updated()
        {
            //Print("md updated: " + Server.Time.ToLongTimeString());

            foreach (var ask in md.AskEntries)
            {
                AskVolumeByPriceByBar.Add(new VolumeByPrice(ask.Price, ask.Volume));
            }

            foreach (var bid in md.BidEntries)
            {
                BidVolumeByPriceByBar.Add(new VolumeByPrice(bid.Price, bid.Volume));
            }
        }

2. When next tick occurs find the current ask and bid prices in gathered list of DOM data:

 protected override void OnTick()
 {
     ...
     List<VolumeByPrice> bidsf = BidVolumeByPriceByBar.FindAll(x => x.Price == Symbol.Bid);
     List<VolumeByPrice> asksf = AskVolumeByPriceByBar.FindAll(x => x.Price == Symbol.Ask);
     ...
     
 }

So assumed that the DOM data was updated 5 times before a new tick occurs which set (<List> index) of values form the DOM data can I take I order to represent the time and sales (T&S) of the current tick? 

Currently I take all DOM data that was changed between current and last tick for current ask and bid price in order to represent the T&S. But I don’t know if it is right.

 foreach (var bid in bidsf)
 {
        tempBidVolume += bid.Volume;
 }

 foreach (var ask in asksf)
 {
        tempAskVolume += ask.Volume;
  }

Any suggestions?

Thank you,

Anton 

marek.balla
23 Nov 2019, 14:28

RE:

Hello Anton 

Any update on this? I would like to achieve something similar, Mt5 has now T&S but cTrader still not. Is this possible with your approach? Thx

Antonma said:

Ok, that is what I'm doing now:

1. Gather DOM Data before the next tick occurs

protected override void OnStart()
{
   md = MarketData.GetMarketDepth(Symbol);
   md.Updated += md_Updated;
}  
void md_Updated()
        {
            //Print("md updated: " + Server.Time.ToLongTimeString());

            foreach (var ask in md.AskEntries)
            {
                AskVolumeByPriceByBar.Add(new VolumeByPrice(ask.Price, ask.Volume));
            }

            foreach (var bid in md.BidEntries)
            {
                BidVolumeByPriceByBar.Add(new VolumeByPrice(bid.Price, bid.Volume));
            }
        }

2. When next tick occurs find the current ask and bid prices in gathered list of DOM data:

 protected override void OnTick()
 {
     ...
     List<VolumeByPrice> bidsf = BidVolumeByPriceByBar.FindAll(x => x.Price == Symbol.Bid);
     List<VolumeByPrice> asksf = AskVolumeByPriceByBar.FindAll(x => x.Price == Symbol.Ask);
     ...
     
 }

So assumed that the DOM data was updated 5 times before a new tick occurs which set (<List> index) of values form the DOM data can I take I order to represent the time and sales (T&S) of the current tick? 

Currently I take all DOM data that was changed between current and last tick for current ask and bid price in order to represent the T&S. But I don’t know if it is right.

 foreach (var bid in bidsf)
 {
        tempBidVolume += bid.Volume;
 }

 foreach (var ask in asksf)
 {
        tempAskVolume += ask.Volume;
  }

Any suggestions?

Thank you,

Anton