Thank you for posting a AFL code, but this is extrapolating price into a oscillator, could use simple moving average crossover and get more robust signature of bull vs bear trendiness. This is correlated with price. I find it is often better to just look at the price bar rather than looking at indicators derived from price
This above AFL is not same as plotting volume at the bid versus volume at the ask. This data is uncorrelated with the price. So what are we looking for with this Bid Ask analysis? we are looking to separate price discovery caused by large smart traders against price discovery caused by small inexperienced traders.
What I am looking for is: For 5min Bar, Summation of volume transacted at the Bid VS. volume transacted at the ask ( including # of transactions )
If volume analysis is not possible with Amibroker, then maybe one can look at 1) #trades at Ask Vs #trades at Bid and 2) Bar close and Bar range 3) Bar volume
I don't think data granularity of Tick data is required because 1 min data should give similar footprint idea. I am relatively new to Amibroker so still unaware if the above is possible but I think Amibroker can save this data to a .csv file. Saving to a .csv file 1 days data for 1 stock can then be used for future back testing. This information is for very advanced level traders who really understand the principle of auction theory and who have many years of realtime market trading experience. Maybe that is why this type AFL or Plugin is not available in Amibroker and only available in advanced very expensive trading platforms.
If someone can develop this plugin or AFL please let me know.
This above AFL is not same as plotting volume at the bid versus volume at the ask. This data is uncorrelated with the price. So what are we looking for with this Bid Ask analysis? we are looking to separate price discovery caused by large smart traders against price discovery caused by small inexperienced traders.
What I am looking for is: For 5min Bar, Summation of volume transacted at the Bid VS. volume transacted at the ask ( including # of transactions )
If volume analysis is not possible with Amibroker, then maybe one can look at 1) #trades at Ask Vs #trades at Bid and 2) Bar close and Bar range 3) Bar volume
I don't think data granularity of Tick data is required because 1 min data should give similar footprint idea. I am relatively new to Amibroker so still unaware if the above is possible but I think Amibroker can save this data to a .csv file. Saving to a .csv file 1 days data for 1 stock can then be used for future back testing. This information is for very advanced level traders who really understand the principle of auction theory and who have many years of realtime market trading experience. Maybe that is why this type AFL or Plugin is not available in Amibroker and only available in advanced very expensive trading platforms.
If someone can develop this plugin or AFL please let me know.