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Bid/Ask Size


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  • 5 weeks later...

Changes in size are way too chaotic/frequent. You'd have to save it on every tick, not on every candle - and that's a lot of data.

You know how you have a FIFOQueue? I recently added a TimedQueue. Instead of saving N values, it stores N seconds' worth of values - each value (internally) has a timestamp and it gets removed as it goes out of the time scope. As it is now, you don't get to set the timestamp of the value, it gets set to the current system time at the time you're adding it.

This would allow you to store let's say 60 seconds minutes worth of bid/ask sizes and be able to analyze them.

Note that unlike FIFOQueue, you would not need to save/restore it as a state variable. Just keep adding the new values to it.

 

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This would be quite valuable. With every executed order that prints if we could pull the bid and ask and store it to say, measure how much the spread fluctuates over a given time frame... You could create an indicator to measure spread volatility. Might provide some really good insight into how dangerous a particular stock would be to trade.

Edited by Jason
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