Real-Time Quotes and Time & Sales

Parts 19 to 21 got data into a database and onto a chart. This part is about the two windows that show you the feed itself rather than a picture of it: the Real-Time Quote window, which displays the current values of a set of named fields, and Time & Sales, which displays every bid, ask and trade as it arrives.

They are the most literal view of the market AmiBroker offers, and for that reason they are the two windows most likely to be over-read. A price on a chart has already been aggregated into a bar, and nobody expects a bar to explain itself. A number in a quote window looks like an unmediated fact about the market at this instant. It is not. It is the most recent thing one vendor’s server sent to one plugin on your machine, and how recent that is depends on your subscription, your connection, the exchange’s own reporting arrangements and whether anyone has traded lately.

What the two lessons do

The first lesson works through the quote fields one at a time: what the documentation says each one contains, where it has to come from, and which data sources leave which of them permanently empty. It ends with a chart panel you can keep, which displays the fields alongside a plain statement of whether each number is live, derived from your own bars, or simply not supplied.

The second lesson is about the trade tape, and it is the page in this track where the course’s scepticism has to earn its keep. Time & Sales genuinely shows you something no bar chart can: the sequence, the size and the price of individual prints. It also attracts an enormous amount of interpretation that the data cannot support, because almost every claim made about “order flow” from a public tape depends on inferring which side of a trade was the aggressor — and that inference is not in the data.

The lesson takes that apart carefully rather than dismissively, using AmiBroker’s own documentation, which is unusually candid about the problem. It then does the harder and more useful thing: it sets out the narrow set of uses for which the tape is genuinely the right instrument.

What you need

A streaming data source and the Professional edition make both lessons literal: you can open the windows, watch them fill and check every claim on the page against your own screen.

Neither lesson requires that. Both carry a Level A path that uses end-of-day or historical intraday data and Bar Replay, and both ship a complete AFL file that runs on a database with no plugin attached at all. The quote-field lesson’s panel is arguably more instructive offline than online, because it forces you to see which fields have no substitute; and the tape lesson’s central argument — that a classification rule, not the market, produces most of an “order flow” number — is demonstrated on daily bars you already have.

✱AmiBroker Professional required

Both windows in this part assume a data source that streams. The edition table gives the Standard edition ten symbols in the Real-Time Quote window and a single Time & Sales window, against Professional’s unlimited in each, and restricts GetRTData() to Professional entirely. Every page here is badged accordingly and every page here has a Level A path, so the badge tells you what the lesson assumes rather than what it demands of you.

Where this sits

Part 21 built charts that update. Part 23 reads the same quote fields from AFL with GetRTData(), controls when a formula re-executes, and builds a dashboard out of them. This part is the bridge: it establishes what the fields mean before you write code against them, which is the correct order and not the usual one.

If you read only one page of this part, read the second. Wrong beliefs about the tape are expensive in a way that wrong beliefs about a moving average are not, because they feel like direct observation rather than like interpretation.

Part22 of 36Level5 — Real-Time AmiBroker UserPages2Estimated time56 minutes

✱2 of 2 pages in this part need the Professional edition or a live data feed, marked below. Every one of them has a Level A path that uses Bar Replay and historical data instead, so the part can be completed in full without a subscription.

0 / 2 lessons in this part completed

• LessonQuote Fields and the Real-Time Quote Window✱ Pro28 min
• LessonTime & Sales: What It Does and Does Not Tell You✱ Pro28 min