Historical Size - Any Ideas?

Q

quannabe

I'm looking for an adequate 3rd party application which has two main attributes:

1) Allows for scripting custom alerts and indicators
2) the scripting language can call on historical BIDSIZE and ASKSIZE

When I mean bidsize, I'm referring to the same data one see's in the time and sales column of the consolidated tape. Evidently, most scripting languages can't call on this data X rows back because it isn't stored, like Last or Size.

Please respond if you've done some scripting or coding for this specific data set.

Thanks in Advance, QB.
 
Hi,

as far as I know you can record ticks with NinjaTrader and get the data from there, but it isn't a standard option when downloading historical charts. Maybe you can record them, and use that if it's any help.

Otherwise, I've never heard of a provider giving a historical time and sales, and I doubt it exists. It would be a lot of data to download for starters. If you find one, I'd be interested.
 
you can do this in tradelink in a number of different ways.

tradelink stores every tick which arrives, so at any time you can load up these ticks and run through them.

This however will make your strategy perform slowly in many instances, so you can also store last X ticks and then grab bidsize/asksize/bidexchange/etc/etc however you need.

google tradelink project or tradelink.org
 
Quote from quannabe:

I'm looking for an adequate 3rd party application which has two main attributes:

1) Allows for scripting custom alerts and indicators
2) the scripting language can call on historical BIDSIZE and ASKSIZE

When I mean bidsize, I'm referring to the same data one see's in the time and sales column of the consolidated tape. Evidently, most scripting languages can't call on this data X rows back because it isn't stored, like Last or Size.

Please respond if you've done some scripting or coding for this specific data set.

Thanks in Advance, QB.
More...

NinjaTrader allows you to store and code against historical BID/ASK/LAST data. You can get limited amount of historical BID/ASK data via Zen-Fire, CQG or Vision. If you require the ability to access historical BID/ASK data at the time of a trade, there is a 3rd party script that supports this. Just google "GOMI NinjaTrader".
 
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