Detecting Auction Status in a Trading Replay System
Summary
The article describes adding auction status to a market replay or simulation tool. Its proposed rule is to treat a custom asset as being in an auction after 60 seconds without a trade, then signal that state through a mouse indicator. The author presents this as a practical shortcut for replay behavior, rather than an attempt to infer auctions from market rules or unusual tick patterns.
The article also discusses sending status values from a service to an indicator or Expert Advisor through the custom symbol’s order book. A test service changes book data on a timed sequence to make the indicator show and then clear auction mode. This demonstrates a possible communication channel, but the article says the test is only for checking data transmission and notes that order book use has costs. The 60-second threshold is a simplifying assumption, not a general auction-detection method; actual auction conditions follow specific rules that the replay system does not analyze.
Key ideas
- The replay system treats a gap of at least 60 seconds between trades as an auction.
- The mouse indicator can notify users when the custom asset enters auction status.
- A service can transmit state information to an indicator or Expert Advisor through custom order book data.
- The timed test demonstrates data transmission, not a general method for detecting real market auctions.
- Using the order book as a communication channel has costs that should be considered.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.