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Bid Ask Size

Posted By ywlee 2 Years Ago
Posted Sunday February 21 2016

How do I reference the current Bid Size / Ask Size during live trading to do some calculations?

Basically, I want to check if the current Bid Size / Ask Size meets certain criteria before the trade executes.

Warmest regards

Yuen Wai
Posted Friday February 26 2016
First of all you'll need to be using tick data that has this information.

Then, in your symbol script's NewTick method, when there is a bid or ask tick, save the size of the tick to a property of your SymbolScript class.  Then when you need to know the current bid or ask size refer to those properties.

Posted Sunday February 28 2016
Thanks Daniel for the reply.

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