Quote from squeeze:
It is surprising that there is nothing that back-tests against bid/ask and last prices to give more accurate results. With quote size information you could even make a good guess at partial fills.
TS2000i has all the data field build-in already for data,time,trade type, best ask/bid, size ask/bid, volume, .....available
With TS8.1 they are not build-in and you have to assign price fields to some values through EL coding.
Quote from Norm:
squeeze,
I would worry about the games that market makers and others play to "manipulate" the market. Much of what you see in bid/ask is more of what someone wants you to see, rather than a snapshot of reality.
Norm, you are missing a point here, price fields for best bid/ask is the top tier price in level II window, not second, third,...tiers
Top tier price are the prices that executable, market makers can manipulate lower tiers only.
HH:MM:
SS where time gap between SS and size can give you better picture about probability for price fill at certain levels.
For Scalping you need something like X-trader pro with "Autotrader" for $550/month (extra $250 a simultaneous market) and very fast internet and low commission through exchange membership,
it's not everyone cup of tea