DOM ACV and bid/ask WALL used tgether

Red,

Today, I managed to download into Excel 5 levels of DOM on a tick-by-tick basis – bid price and size, offer price and size price plus last and last size. There’s around 8 1/2 hours of data (11:00 – 19:30 UK), 48,491 rows. PM an e-mail if you want a copy. Now I’ve got the data, I’m uncertain as to what would be relevant analyses (ACV obviously).

I should be able to do 10 levels.

One area of consideration is whether buys/sales are being absorbed or diminishing supply/demand. One solution may be to look at total volume traded/order book volume/total last size. Sorry I can't be more precise - still thinking.


Re the 2:1 ratio. I’m still not totally convinced of the efficacy here. On the Bobl, for example, I’ve seen big volume 1:5 (bid to offered) ratio but still the price goes up. Maybe my new data can clarify.

Grant.

 

Hi Grant,

Your example of 1:5 ratio on bobl is the beauty of this thread analysis. Should the wall be penetrated in such high ratio, the likelihood of such move is that the price will continue to move in this direction. The situation that I described above from this morning is the opposite of course.

I also downloaded similar data in past but was not able to find good use for it. If you could think how, I would love to discuss/participate.

Regards,
redduke

 

I have seen ACV ratio programmed on a NT DOM before. Anyone yet hear from VSTscalper lately..or know what he is up to? He is listed for the Vegas Expo so I want to stop by and meet him...I like what he is doing with ACV.

 

I have programmed it as well. I was referring to usability of capturing ACV ratio for the whole day as mentioned in faure post.

 

Hello I have exported my trading pad into Excel. Can you explain to me what the columns labeled LEVEL are that go horizontal.(pictured below)?


My main reason for exporting to excel is so that I can get the ACV Ratio on the DOM. What are the calculations to achieve the ratio?

Thank you!

 

Hi Tyler,

Can you please explain what is the formula behind these levels. Since you have DOM in excel the ratio is reaaly easy to calculate.

Regards,
redduke

 

RedDuke

The horizontal levels are the Bid/Ask Difference for each individual level. It calculates automatically when I export so I don't know how much use it actually is.

 

Just click on the cell and paste he formula here, so that we can figure out what it is doing.

 

I dont have the code, all i do it hit connect in Stratgery Runner and it does it automatically.

All the levels are doing is taking the bid-ask=diffrence from each level away from the last price.

 

Hm, a bit strange as far as the purpose goes. Just add up all bids and all asks and then devide by the higher number to get ratio, use IF to decide which one to devide by.