IngoPan
08-02-2006, 09:19 AM
(i copied this text from NT forum)
here is the setup instruction:
I have attached the indicator file. All you need to do to set it up is:
1) go into "user define symbol" under the manager tab in Neo and for each instrument you want the ACV for, you will need to set up TEN user defined symbols. Evaluation type is "formula" and resolution is 1 second, and base symbol is whatever symbol you want the ACV data on. For me I do mostly ER2 and the eSignal continuous contract is AB #F. You have to use the right symbol from your data provider to get the L2 data. As for naming/saving your user defined symbols, I name mine for the ER2 "ER2-ASK-L#" where # is 0-4 and "ER2-BID-L#" where # is 0-4. Note that this makes 10 unique user defined symbols. The actual formula for each UDS is L2bidsize(x) for the 5 bid UDS's and L2asksize(x) for the 5 ask UDS's, where x is 0-4, so for example, my first UDS is named "ER2-BID-L0" and the formula is "L2bidsize(0)" in the formula box (without the quotation marks. THEN, you will be collecting the streams of L2 data (make sure when you open Neo that it "registers" the user defined symbols so it is collecting them - I think it prompts you each time Neo is opened). To make sure they are all collecting and plotting correctly, you probably should open a chart and add all 10 of the user-defined symbols you made (each in a unique color), just so you know step 1 is working right. Again, this is for each symbol you trade. And note that you need L2 data from your data vendor. I have eSignal, and the L2 CME/eCBOT is extra (not part of their basic package) and pretty expensive, but you need it to do this, so make sure whatever data vendor you use DOES provide it.
NEXT, open a chart for whichever base symbol (again, I usually use ER2, which is AB #F in eSignal for the continuous contract), and add a pane. In this pane, add all 10 of your UDS's set to 1 second resolution. You can make the pane tiny, you wont need to actually see the data. Then in a new pane add the indicator I have attached. The way it is written, you will need to go into "edit" for the indicator and set up the links (there should be 10 links) so that links 1-5 are your UDS's bids 0-4 and 6-10 are your UDS asks 0-4.
That's it - I have mine to set the visual of the indicator as a histogram with >0 as blue coloring and <0 as red, and draw a zero line. The actual range is >1 and <-1 and represents the ratio of bid volume to ask volume of the total ACV. If the indicator hits 3, for example, there are 3X as many contracts at ask as at bid (combined on all levels). Its pretty amazing to watch.
here is the setup instruction:
I have attached the indicator file. All you need to do to set it up is:
1) go into "user define symbol" under the manager tab in Neo and for each instrument you want the ACV for, you will need to set up TEN user defined symbols. Evaluation type is "formula" and resolution is 1 second, and base symbol is whatever symbol you want the ACV data on. For me I do mostly ER2 and the eSignal continuous contract is AB #F. You have to use the right symbol from your data provider to get the L2 data. As for naming/saving your user defined symbols, I name mine for the ER2 "ER2-ASK-L#" where # is 0-4 and "ER2-BID-L#" where # is 0-4. Note that this makes 10 unique user defined symbols. The actual formula for each UDS is L2bidsize(x) for the 5 bid UDS's and L2asksize(x) for the 5 ask UDS's, where x is 0-4, so for example, my first UDS is named "ER2-BID-L0" and the formula is "L2bidsize(0)" in the formula box (without the quotation marks. THEN, you will be collecting the streams of L2 data (make sure when you open Neo that it "registers" the user defined symbols so it is collecting them - I think it prompts you each time Neo is opened). To make sure they are all collecting and plotting correctly, you probably should open a chart and add all 10 of the user-defined symbols you made (each in a unique color), just so you know step 1 is working right. Again, this is for each symbol you trade. And note that you need L2 data from your data vendor. I have eSignal, and the L2 CME/eCBOT is extra (not part of their basic package) and pretty expensive, but you need it to do this, so make sure whatever data vendor you use DOES provide it.
NEXT, open a chart for whichever base symbol (again, I usually use ER2, which is AB #F in eSignal for the continuous contract), and add a pane. In this pane, add all 10 of your UDS's set to 1 second resolution. You can make the pane tiny, you wont need to actually see the data. Then in a new pane add the indicator I have attached. The way it is written, you will need to go into "edit" for the indicator and set up the links (there should be 10 links) so that links 1-5 are your UDS's bids 0-4 and 6-10 are your UDS asks 0-4.
That's it - I have mine to set the visual of the indicator as a histogram with >0 as blue coloring and <0 as red, and draw a zero line. The actual range is >1 and <-1 and represents the ratio of bid volume to ask volume of the total ACV. If the indicator hits 3, for example, there are 3X as many contracts at ask as at bid (combined on all levels). Its pretty amazing to watch.