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I am looking to measure spreads and average volume at the inside bid and ask. I am using CQG and DTN IQfeed with multicharts. Is there a way in easy language to record or export that information and then export it to a txt or csv file?
Can you help answer these questions from other members on NexusFi?
I use Tradestation, so you should be able to use this. Maybe the keywords "insidebid" and "insideask" are different. I had data1 as E6, and data2 as 7E. I ran this on 1 minute bars, during active US hours.
It prints to the Print Log, and then you can copy and paste it to Excel.
var: bl(" "); //TAB character in between quotes, not spaces - easier to transfer to Excel
If time>559 and time<1400 then
If BarStatus( 1 ) = 2 then print(date,bl,time,bl,insidebid of data1:0:4,bl,insideask of data1:0:4,bl,insidebid of data2:0:4,bl,insideask of data2:0:4);
