Author Topic: Weighted Average Price for selections  (Read 27490 times)

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Weighted Average Price for selections
« on: Fri, 22 February, 2013, 19:48 »
Does it make sense to introduce an option to download all prices and all volumes for each selection in case someone wants to get the weightet average price? The number of extra requests will be huge, so market refresh may well be delayed.
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Re: Weighted Average Price for selections
« Reply #1 on: Sat, 23 February, 2013, 09:14 »
Hi Oxa
I think the correct answer to your question is: only if there is a high demand from users for this option. There are three or four posts on the forum asking for WAP or similar.
My vote is it would be nice to have, but if you are offering your time for an improvement to MarketFeeder, I think something like the additional score variables would be far more useful, and indeed more popular.

On the question of data requests for ladder data as a separate option, (i.e. ladder is closed and the volume per price data is available in variables), I don’t think this can be practically used inplay. The ladder volume per price data is much more useful for pre-off trading. Volume Weighted Average Price is a lagging indicator, therefore I see no need to refresh this data at a high rate for use in trigger variables. I would be happy to have VWAP updated in the 5 to 10 second range, although other users may have different needs.
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Re: Weighted Average Price for selections
« Reply #2 on: Sat, 23 February, 2013, 11:00 »
Hi Oxa

will let here my opinion too.

I agree 100% whith MarkV, maybe can be writen a code to let use that info (WAP) but activate it in setings or something like.

Again, vars for score are must welcome ;)

By the way, i personally use a few strats in 2nd half in soccer games, isnt any way to start monitoring events only when we need, after match begin??

I know it could be difficult because, betfair it can do not give the right information from, but to me and believe others this is a huge improvement.
Monitoring events when they already are in play and get correct info for time of begin, results etc etc.

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Re: Weighted Average Price for selections
« Reply #3 on: Sat, 23 February, 2013, 20:29 »
I think something like the additional score variables would be far more useful, and indeed more popular.

Is it about tennis?
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Re: Weighted Average Price for selections
« Reply #4 on: Sat, 23 February, 2013, 20:58 »
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Re: Weighted Average Price for selections
« Reply #5 on: Sun, 24 February, 2013, 11:16 »
Hi Oxa

I would find a function that calculates the WAP for a selection particularly useful - the effect on market refresh rate would just mean it would be used sparingly rather than on each trigger pass. Would certainly be an advantage over the other tools I've used.

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Re: Weighted Average Price for selections
« Reply #6 on: Sat, 02 March, 2013, 13:48 »
The function must be available. Is absolutely necesary for mfp to have this function and still being the best software bot.

Is really important.

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Re: Weighted Average Price for selections
« Reply #7 on: Sat, 02 March, 2013, 15:53 »
I don't need the function and agree with Oxa. I would suggest that those who need it use Excel, perform their own calculations and work from there.

There is another well known trading software which has had countless suggestions incorporated in it. It has changed from a simple speedy piece of kit into a monster all because the developer has tried to satisfy a few customers.

I hope the developers of MFP do not respond in a knee jerk fashion to suggestions and try to include them by bringing out countless updates. The way to make genuine progress is to follow the same method that was used for the creation of MFP 7. A long consultation progress and then, with clear objectives, perform the necessary work to make a quality product like this one.

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Re: Weighted Average Price for selections
« Reply #8 on: Sat, 02 March, 2013, 16:03 »
I should have added that the relevant information for use in Excel could be obtained by using Betfair's free API.

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Re: Weighted Average Price for selections
« Reply #9 on: Sat, 02 March, 2013, 19:21 »
Ok nigelbleddfa1, im agree with you if add the weighted average price will do mfp svery slower but, if is easy to incorporate i will use it a lot. For me is the difference between win or loose.

anyway, could you help me to develop it in excel?

How i can access to the volume matched at every price?

Very thanks!
 

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Re: Weighted Average Price for selections
« Reply #10 on: Sat, 02 March, 2013, 19:41 »
I am unable to help you as my knowledge of Excel is sketchy. I do know, however, that it is possible as I know a man who uses it and makes all his own bots.

Every addition to a trading software slows the application. The beauty of MFP is that it loads quickly.  What you are asking for would result in an extremely high volume of data requests and this would run the risk of incurring data charges and would certainly slow down the program.

I believe that some types of software which use sophisticated charting may be of help to you. These would have to be used in conjunction with MFP but both would run independently and not exchange information. This would almost certainly eliminate any advantage you may think existed .

Very few traders would want this addition due to its complexity. Oxa, who is the expert on MFP, has already expressed doubts about the suggestion and I think that should be respected.

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Re: Weighted Average Price for selections
« Reply #11 on: Sun, 03 March, 2013, 12:37 »
I have seen other bots that incorporate this function between intervals and speed is ok.
Anyway, in mfp we have the function lt_ma.
How it works exactly? Is much different of WAP?

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Re: Weighted Average Price for selections
« Reply #12 on: Sun, 03 March, 2013, 22:04 »
Sorry, i forgot to mention that WAP is only for pre race, is not useful in play. We have take this in consideration?I think that If the wap is included in pre event maybe will work ok and the system go fast.

Another way is include a formula that calculate the total volume matched in each price in the selection multiplied per each price, and if we divide for the total amount matched we have the real WAP

I wish WAP were include in mfp!!

Oxa, what do you think?

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Re: Weighted Average Price for selections
« Reply #13 on: Wed, 06 March, 2013, 20:53 »
pjzan, I will give it a thought. I'll have one more look at the API to see if this options can be introduced without the deterioration of the refresh speed.

The variable lt_ma has nothing to do with the matched volume I'm afraid. It calculates the average last traded price over the time set by the market history depth. E.g. if the depth is 10 mins (so the latest 10 mins of the market data are kept in memory), then lt_ma returns the average last traded price over those 10 mins.
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Re: Weighted Average Price for selections
« Reply #14 on: Sun, 10 March, 2013, 22:39 »
Ok Oxa. Thak you very much .

Best regards