Order Flow Indicator to code under TradeStation

Discussion in 'Strategy Development' started by Python4Trade, May 5, 2018.

  1. Hi everyone!

    I am looking for someone who has skills with TradeStation's Easylanguage to code this simple indicator.
    Actually, I am studying absorption of market orders by liquidity (limit orders). As you probably know, this involves me into reading the Times & Sales which can be quite tiresome if you do that all day long. So I think that an indicator or more especially a ShowMe study would be really helpful to study this pattern.

    Here is a description of the indicator:
    • ASK market orders absorption: Print "high", if the last X trades were executed at the ASK and at the same price but the first BID trade that comes in after these ASK trades is executed at a lower price than trades executed at the ASK. (Note that the BID trade is used to end the process).
    • BID market orders absorption: Print "low", with the same method than ASK market orders absorption. (Start the process when there is
    Inputs: Minimum Number of trades executed to consider this as an absorption and start the calculation.

    Well, that's all, I hope it will be clear enough but if it isn't please don't hesitate to PM me and I will try to explain it better.

    Thanks!
     
    Last edited: May 5, 2018
  2. high
     
  3. I think the question though is whether your instruments need level 2 quotes in order for the indicator to be predictive, and if so can you use certain instruments w/ level 2 quotes as proxies for other instruments. That's what I'm trying to determine.

    Edit, oops, okay, I didn't see the rest of your post until after you editing it. Yeah, that's related to my response above, but interesting on its own, you are basically wanting to see if the market is lagging around waiting for trades inside the spread or if its moving, if its chewing through its book on one side or the other.

    Edit #2 I don't know anything about Tradestation Easylanguage, sorry. Looking at it, it looks like an object oriented extensible scripting language of some kind, but I'm guessing you already know more about it than I do.
     
    Last edited: May 5, 2018
  4. I sent my post while I didn't finish writing it, my mistake.

    This indicator only needs Times & Sales.
     
  5. I also edited my post since you've posted this. :)
     
  6. Thanks for your message :) No worries, I know a bit about it but I am very limited with this language and using the T&S imply a special method ...
     
  7. I wish you luck building your indicator, I'm curious, will it display inside of TradeStation or on a console somewhere, or ?
     
  8. Thanks! Unfortunately, even if it is a relatively simple indicator, I won't be able to build it by myself. To answer your question, it will simply display on a TradeStation's chart. For example, when ASK market orders will be absorbed, it will print a Red dot on the chart an when BID market orders will be absorbed, it will print a Green dot on the chart.