Topics
Replies
Antonma
15 Jul 2014, 00:22
Hi,
at this indicator I fix the issue by moving the setting of the index value from MarketDepth.Updated function in to the calculation function of the indicator.
Unfortunately this fix didn't solve the issue with my another nested indicator where I try to put the result from my custom indicator into the OOTB Moving Averages indicator.
Here is it what I'm trying:
private WPOrderBook4MA WP;
private MovingAverage WPMA;
private int lastIndex;
protected override void Initialize()
{
// Initialize and create nested indicators
object[] parameterAll = new[]
{
(object)L2Depth
};
try
{
WP = Indicators.GetIndicator<WPOrderBook4MA>(parameterAll);
WPMA = Indicators.MovingAverage(WP.Result, BarPeriod, MovingAverageType.Simple);
}
catch (Exception ex)
{
Print(ex.Message);
}
lastIndex = -1;
}
public override void Calculate(int index)
{
// Calculate value at specified index
// Result[index] = ...
if (!IsLastBar)
{
return;
}
if (lastIndex == 0)
{
lastIndex = index;
return;
}
if (lastIndex != index)
{
try
{
Result[index] = WPMA.Result[index];
Print("WPMA[{0}]={1} ", index, WPMA.Result[index]);
Print("WP[{0}]={1}", index, WP.Result[index]);
Print("WP.TimeFrame={0}", WP.TimeFrame);
Print("WP.Symbol={0}", WP.Symbol);
Print("WP.Time={0}", WP.Time);
Print("WP.DOMDepth={0}", WP.DOMDepth);
Print("WP.Result.LastValue{0}", WP.Result.LastValue);
}
catch (Exception ex)
{
Print(ex.Message);
}
lastIndex = index;
}
}
For both
Print("WPMA[{0}]={1} ", index, WPMA.Result[index]);
Print("WP[{0}]={1}", index, WP.Result[index]);
I get always "NaN"
14/07/2014 21:17:13.319 | WPMA[7182]=NaN
14/07/2014 21:17:13.319 | WP[7182]=NaN
14/07/2014 21:17:13.319 | WP.TimeFrame=Minute
14/07/2014 21:17:13.319 | WP.Symbol=EURJPY (Ask: 138.310, Bid: 138.295)
14/07/2014 21:17:13.319 | WP.Time=14.07.2014 21:17:13
14/07/2014 21:17:13.319 | WP.DOMDepth=3
14/07/2014 21:17:13.319 | WP.Result.LastValueNaN
Some suggestions?
Thank you and bets regards,
Anton
@Antonma
Antonma
06 Jul 2014, 21:30
RE:
akent813 said:
hello, I was wondering, do you guys know if there is a means to extract raw data from ctrader, so that one can identify the details specific to bid/ask/last pricing... im seeking something along these lines... please observer the below sample...
20130501000000,1.55358,1.55371
20130501000000,1.55357,1.55369
20130501000000,1.55353,1.55367
20130501000000,1.55349,1.55367
20130501000000,1.55349,1.55367
20130501000001,1.55348,1.55367
20130501000001,1.55348,1.55366
20130501000001,1.55347,1.55362
20130501000001,1.55344,1.55363
20130501000002,1.55348,1.55364
20130501000002,1.55348,1.55364
20130501000004,1.55348,1.55363
20130501000006,1.55348,1.55363
20130501000007,1.55344,1.55362
20130501000008,1.55344,1.55362
20130501000010,1.55344,1.55364
20130501000012,1.55344,1.55364
20130501000013,1.55344,1.55363
20130501000025,1.55344,1.5536
I have found the following link relative to one persons attempt to extract this type of content via marketdepth.update
not sure if this is a reasonable approach.. it sounds to me more of a work around, I was hoping to access a direct feed and store in a file / db etc?
Thanks in advance.
Hi,
if you just want to have the tick data without the bid and ask volume (not tick count) you can use MarketSeries and Symbol.
In OnTick event you can access the tickdata with symbol ask and bid and then add to the db or csv file. I do it like this:
protected override void OnTick()
{
// Put your core logic here
//Custom List<> with custom class TickData
MyTickDataList.Add(new TickData());
MyTickDataList.Last().Close = MarketSeries.Close.LastValue;
MyTickDataList.Last().High = MarketSeries.High.LastValue;
MyTickDataList.Last().Low = MarketSeries.Low.LastValue;
MyTickDataList.Last().Open = MarketSeries.Open.LastValue;
MyTickDataList.Last().OpenTime = MarketSeries.OpenTime.LastValue;
MyTickDataList.Last().TimeStamp = Server.Time.ToFileTimeUtc();
MyTickDataList.Last().Ask = Symbol.Ask;
MyTickDataList.Last().Bid = Symbol.Bid;
...
//save data
}
Regards,
Anton
@Antonma
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
@Antonma
Antonma
19 Jul 2014, 01:08
Hi,
there is no tick price. You can use Symbol.Bid and Symbol.Ask on the tick event. Some people use (Bid+Ask)/2 in order to get the current price...
Regards,
Anton
@Antonma