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Hi, I would like to pull in bid and ask volume for specific period of time (10 seconds up to several minutes ~5). I see the OnBalanceVolume indicator trying to guestimate it but that would loose a fair amount of precision that I need. Anybody have a working solution?
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Fred Painchaud
Hi Andreas,
OnBalanceVolume is indeed something totally different.
“Bid and ask volume” - there's no volume in Forex (bid and ask). Would you please be more specific about what you are willing to do?
Thanks,
Fred
.ekz.
You might want to look into Quotebars.
They include bid / ask, and the bid/ask size.
Docs here.
Andreas Sandberg
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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