Several questions about Time&Sales, DOM and tick data on the chart

Discussion in 'Programming' started by Nickitozz92, Aug 10, 2019.

  1. Hello folks!

    Starting with developing my own trading application I have faced up to a couple of questions!

    1) How to store streaming market data (DOM, Time&Sales) when:

    a) The data are displayed in the UI on the graph and at the same time are analyzed in real time.

    b) The data are used for testing algorithms and trading strategies

    2) How Time & Sales is formed.

    Does it represent itself an original "Full Order Log" or sorted "Full Order Log"?

    As far as I know, Depth of Market (DOM) represents itself as a sorted "Full Order Log".

    Does the similar principle work for the Time&Sales (Tape) calculation?

    3) In a classic trading terminal the last candlestick on the chart is usually floating and changes within one second. This last candle also depends on the best BID/ASK. Need to understand based on what price (BID or ASK) the last candlestick fluctuates.

    4) In some trading terminals such data as Time&Sales and DOM are aggregated into larger time frames (e.g. msec. -> sec. -> min etc.). What is the formula which is used for aggregation?

    Will appreciate your assistance!

  2. qlai


    Wow, that's a lot. You need to build your own charting? Sounds like you are biting way more than you can chew. Got to be an easier way.

    It fluctuates based on last trade only. Regular candle doesn't display bid/ask which can be far apart (although it may be a good feature to display halo around candle to show spread)
  3. Do you have any particular trading platform in mind? The program you'll need to make will depend on which trading platform(s) and/or data source(s) you decide to use.
  4. I know, but I don't give up :))
    I've asked about the last candle because it usually fluctuates accroding to the BID/ASK.
    For example check this video
  5. Actually, it's gonna be my own trading platform.
  6. Let me rephrase my question: from which company will you get your market data? And at which company will you place your trades and keep your account? The APIs these companies provide will determine to a large extent what programming work (and how much work) you'll have to do yourself.
  7. I am planning to work with Interactive Brokers. Thanks for your thoughts.
  8. In that case is it best for you to assume that you can only download the very basic price and volume data and that you have to calculate and program all analytics yourself. IB doesn't make a lot of pre-calculated parameters available. Of course do you also have to program your UI yourself.
  9. Metamega


    Unless I missed it, it’s just a typical chart that moves off the last price. In a liquid market it may appear to move with bid/ask but it’s just moving off the last trade price .
  10. So I can get the last price from tick-by-tick data?
    And what about question 2) DOM and TimeAndSales is formed from one pre-calculation source?
    #10     Aug 12, 2019