OEC and Market Delta Footprint

[Frank 10]

I am exploring market delta and was curious if anyone had already thought through the issues in OEC relative to MD.

 

Apparently, MD is relatively straightforward to code but there are issues in Tradestation with MD because TS offers only a snapshot of the bid and ask and not a full history of activity 'on' the bid vs 'on' the ask. Does anyone know if OEC keeps a history of this that can be referenced in EasyLanguage code on the OEC Trader platform?

 

Ultimately, I would like to see a histogram with the net delta on a 5-min timeframe (all volume on ask - all volume on bid) = Net Delta

 

thanks for any comments/help,

 

frank

[BlowFish 10]

Very few packages record bid ask changes (or other order book changes). I can't answer for OEC but I would give long odds that it does not NT 7.0 will apparently. What this means practically is that these sorts of studies only work on real time data rather than historical data.