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volume imbalance charts

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[2013-11-04 07:48:46] #1 [Go To First Post]
User85153 - Posts: 7
I currently use Market Delta for charting but really like Sierra, but the main thing I think is missing (unless I'm mistaken) is the equivalent to volume imbalance charts. These are like the traditional bid versus ask numbers bars but are colour coded according to the imbalance between the diagonal bid/ask (i.e. how a numbers bar should be read) and if > x% (default being 140%) the number is shaded green or red to reflect strong imbalanced between lots transacted at the equivalent bid/ask. I've shared an example chart below. Is this possible to achieve in Sierra? If not is there plans too include?


volume imbalance.png / V - Attached On 2013-11-04 07:48:08 UTC - Size: 16.39 KB - 3093 views

[2013-11-04 20:07:12] #2 [Go To First Post]
ganz - Posts: 1048
User85153 FYI: https://www.bigmiketrading.com/sierra-chart/29007-ofa-sierra-chart.html

[2013-11-04 21:59:07] #3 [Go To First Post]
User85153 - Posts: 7
Thanks for the reply. I see that 'Text On Dominant Side Auction' performs this imbalance comparison but it doesn't go as far as MD in being able to specify as minimum imbalance threshold, rather it shows all imbalances. Had a quick read of your material and from a quick play with the two studies the comparisons were all horizontal and not diagonal unless I'm reading it wrong, it's late, will take another look tomorrow, but basically what I'm looking for is a simple imbalance threshold great that the default of 1 lot that is given by the 'Text On Dominant Side Auction' - threshold like one ask being > 150% of lower bid is the norm for observing more significant imbalances.

[2013-11-05 13:49:31] #4 [Go To First Post]
User62375 - Posts: 12
I think you are absolutely right, user 85153. We don't want to compare # of contracts traded at a bid price compared to those traded at the ask at the same price... we want to see the real inside market by looking at the number of contracts traded at a bid versus the number of contracts traded at the offer married to that bid which obviously would be one tick higher, That would be the active offer. The advantage to the MD imbalance indicator is that it actually compares the true inside market. Example: The true available prices for execution are the "bid" and then one tick higher at the "offer." when you sell, you hit the bid, but at that same time, if you wanted to aggressively buy, you would have to go up a tick to the active offer to get long. ...RE: Footprints...DON’T THINK LATERALLY (horizontally in the cell) when viewing a footprint chart, THINK DIAGONALLY. on a bias. Meaning: Example: look at the # of contracts traded at a Bid of 1784.25, but compare them to the # of contracts traded one tick higher, at the offer at 1784.50. afterall, that’s the true market. you can sell the bid or buy the offer, but they are not at the same price for the inside market, you sell at bid, buy at offer (that offer for two sided trade is one tick higher than the bid). This indicator marks the footprint cells where either one of the diagonally compared # of contracts traded reaches a certain multiple of the other side ... For instance, if you designate 300%, then when the number contracts traded at the offer is 3 times (or more) larger than the # of contracts traded at the bid (which would be 1 tick lower than the offer referenced), then the offer side # of contracts traded is printed in green font color. .....65 x 2500......1784.50 ....200 x 1700......1784.25 ...1650 x 1800......1784.00 In the example above, that 2500 contracts traded at the offer of 1784.50 is more than 3 times the number of contracts traded at the bid of 1784.25, so that 2500 contracts traded at the offer would have a text color of green, indicating a bullish imbalance. Just the opposite is true also, if the # of contracts traded at the bid reaches 3 times (or more) of the number of contracts traded at the offer (active offer being one tick higher than the bid), then the # of contracts at the bid would have a text color of RED. This is not the same as color for the dominant side... color for the dominant side only compares horizontally... it compares the number of contracts traded at the bid of 1784.25 vs the number of contracts traded at the same price of 1784.25, that's not a true inside market. That is an artificial battleground, the true battleground between sellers and buyers is Bid price for sellers and then one tick higher, offer price for buyers. Can this be done in Sierra Charts? (of course it can, afterall, it's the greatest charting package in the world)

[2013-11-05 14:13:01] #5 [Go To First Post]
User85153 - Posts: 7
@User62375 - well explained and totally correct, footprint charts are 'read' diagonally (in line with the real market) and not horizontally. From what I can tell the 'Text On Dominant Side Auction' does this but there is no filter like there is in MD e.g. the 300% example you used above (unless I can't find it). Also Sierra compares the top and bottom number to an empty cell resulting in a 1x50 at the top of for example an M1 TF bar showing an imbalance on the bid because 1 is greater than a zero it assumes is in the cell above (when in fact it's empty) - clearly that's incorrect usage of imbalance. Date Time Of Last Edit: 2013-11-05 14:13:41


imbalance1.png / V - Attached On 2013-11-05 14:13:30 UTC - Size: 43.06 KB - 1597 views

[2013-11-05 20:13:21] #6 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
We will be looking this over when we have time. When using the Text Coloring Method of 'Text On Dominant Side Auction', the comparison is diagonal and not horizontal. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing

[2013-11-14 17:00:50] #7 [Go To First Post]
emp0804 - Posts: 31
SC Support, Any status on this? Realize programmers vs time issue. Thanks

[2013-11-14 17:42:15] #8 [Go To First Post]
User62375 - Posts: 12
with a free add-on available, the volume imbalance indicator can be generated on Ninja

[2013-11-14 20:44:38] #9 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
This has not been looked into yet. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing

[2013-11-26 13:34:56] #10 [Go To First Post]
pismo10 - Posts: 158
But Sierra is looking into it and from what I have seen they will address this one way or another soon.

[2013-11-27 04:48:28] #11 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
Refer to the What's New page for the updates we have done related to this, in a recent version. See if it meets your requirements: http://www.sierrachart.com/index.php?l=doc/Whats_New.php Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing

[2013-11-27 13:28:10] #12 [Go To First Post]
pismo10 - Posts: 158
In numbers bar, Is it comparing diagonally? That is comparing the bid to the the ask one tick above?

[2013-11-27 13:36:18] #13 [Go To First Post]
User62375 - Posts: 12
pismo, I read the description; it sure does NOT seem that the comparison is being made diagonally (# of contracts traded at bid compared to number of contracts traded at the offer one tick higher) but I haven't downloaded that version yet.

[2013-11-27 13:41:09] #14 [Go To First Post]
pismo10 - Posts: 158
Post #6 in this thread says yes but I have to try it and see.

[2013-11-27 13:49:19] #15 [Go To First Post]
User85153 - Posts: 7
The update is good, it does the job outlined i.e. allows a diagonal comparison in accordance with % imbalances. So for example the highlighted numbers in the attached are 300% imbalances as per the two yellow arrows. However there is still the niggling issue of comparing top/bottom of bar against empty cells to create imbalances (which aren't real imbalances) as per the brown arrows.


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[2013-11-27 14:10:12] #16 [Go To First Post]
pismo10 - Posts: 158
The study apparently is a percentage of the other number, not a percentage above the other number it is comparing to. Thanks Date Time Of Last Edit: 2013-12-01 15:26:04


Diagonal1.png / V - Attached On 2013-11-27 14:03:20 UTC - Size: 98.18 KB - 2022 views

[2013-11-27 14:16:13] #17 [Go To First Post]
User62375 - Posts: 12
user85153, can you post the selections you made in numbars to produce the chart you posted?

[2013-11-27 14:19:05] #18 [Go To First Post]
pismo10 - Posts: 158
Yes, please, that would be very helpful.

[2013-11-27 17:04:00] #19 [Go To First Post]
User85153 - Posts: 7
Here are screenshots of the relevant settings Date Time Of Last Edit: 2013-11-27 17:04:27


settings1.png / V - Attached On 2013-11-27 17:04:15 UTC - Size: 24.73 KB - 2445 views settings 2.png / V - Attached On 2013-11-27 17:04:20 UTC - Size: 32.92 KB - 1999 views

[2013-11-27 17:06:08] #20 [Go To First Post]
User62375 - Posts: 12
user 85153... where'd you go? I can't figure out what selections to make to produce the imbalance volume. (and believe me, I have tried).

[2013-11-27 17:22:08] #21 [Go To First Post]
User62375 - Posts: 12
Thank you, User85153. Thank you very much.

[2013-11-27 18:40:04] #22 [Go To First Post]
pismo10 - Posts: 158
Nice, thank you Now...what to do with all this nice info..? Date Time Of Last Edit: 2013-11-27 18:40:14

[2013-12-03 01:44:34] #23 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
There is a lot of user to user communication here. Are there any questions for Sierra Chart Support here? Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing

[2014-01-14 18:31:49] #24 [Go To First Post]
Ares_Bowman - Posts: 5
Hi Sierra Chart Support, No further questions here, just a request to add the "Dominant Side Auction" option discussed in this thread to the background coloring options (numbers bars). Thanks. Date Time Of Last Edit: 2014-01-14 18:32:27

[2014-01-15 04:59:22] #25 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
We will look into this. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing

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