Support Board
Date/Time: Thu, 26 Feb 2026 21:55:00 +0000
MBO price level indicator
View Count: 447
| [2025-11-23 20:39:04] |
| User937068 - Posts: 45 |
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Hi Is there a way to mark on the chart the following situations: 1. when one order was placed at a price level. 1 order of 10 contracts 2. when multiple orders was placed at same price level. 5 orders of 2 contracts. I want a way to differentiate between a big order and multiple smaller orders with with same number of contracts. if this is possible will require to have the SierraChart 12 package? |
| [2025-11-24 17:02:21] |
| John - SC Support - Posts: 44821 |
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To get this kind of information you would need to be on Package 12 and have an exchange active that includes the "Market Depth" data, so you can get the Market by Order data. Then, you would need to create a custom study that looks at the Market by Order data for what you want. Refer to the following for a start: ACSIL Interface Members - Functions: sc.GetBidMarketDepthEntryAtLevel ACSIL Interface Members - Functions: sc.GetBidMarketLimitOrdersForPrice() You can use the "sc.GetBidMarketDepthEntryAtLevel()" to get the number of orders that make up the Market Depth at a particular price level. So you can use this to find a level with just a single order. Keep in mind that Sierra Chart does not send the information for Market by Orders that are values of 1 or 2. So you will not be able to see all the Market Orders in the Market by Order data for a particular price level. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2026-02-13 12:32:31] |
| User937068 - Posts: 45 |
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Thank you John. I forgot to mention that i am very far away to understand coding. is anyone able around here to create such a study? The only configurable would be the number of contracts per order to be displayed. If 1 order of 50 contracts executed then display it on the chart. |
| [2026-02-13 13:42:10] |
| Brookwood - Posts: 38 |
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There is an inexpensive ($10) third-party study I use for this. I will post the link if it's ok with the Mods or you can DM me.
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| [2026-02-13 14:06:09] |
| User937068 - Posts: 45 |
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Thanks Brookwood. Once you approve my DM request i will message you. |
| [2026-02-13 15:31:12] |
| John - SC Support - Posts: 44821 |
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You can post a link to outside sites. We do not mind.
For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2026-02-13 19:10:22] |
| Brookwood - Posts: 38 |
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OK, here you go. https://morningcoffeetrades.com/b/Y9eqh |
| [2026-02-15 16:32:56] |
| User937068 - Posts: 45 |
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Hi Brookwood have to say that the the studies looks pretty cool visually. The MBO levels does not show me what i need. It shows the limit orders and i need the market orders. At least this is what i see from the screenshots...not much details on the website. For example if a buy 10 contract order is put and in the best available price there is 20 contract resting order then T&S will show a 10 contract order. However if at best available price its only a 6 contract limit order and at next price there is 4 contract then T&S will display 2 orders. One for 6 contracts and one for 4 contract so you don't actually understand that behind it was a 10 contract order. I believe what i want is called Reconstructed Tape promoted in the past by another trading software that will show the 10 contract order no matter in how many pieces it happened. It's not widely exposed...i can understand why. But now there is this new trading software released recently that keep emphasizing on big trades and it makes sense actually to see the large trades even if are filled at different price levels. Thank you Date Time Of Last Edit: 2026-02-15 18:18:31
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| [2026-02-16 11:42:40] |
| twofox - Posts: 8 |
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For example if a buy 10 contract order is put and in the best available price there is 20 contract resting order then T&S will show a 10 contract order. However if at best available price its only a 6 contract limit order and at next price there is 4 contract then T&S will display 2 orders. One for 6 contracts and one for 4 contract so you don't actually understand that behind it was a 10 contract order. I believe what i want is called Reconstructed Tape promoted in the past by another trading software that will show the 10 contract order no matter in how many pieces it happened. It's not widely exposed...i can understand why. But now there is this new trading software released recently that keep emphasizing on big trades and it makes sense actually to see the large trades even if are filled at different price levels. See my post here: Large Volume Trade Indicator Is Limited? DM if interested |
| [2026-02-16 12:06:36] |
| User937068 - Posts: 45 |
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I just found this option in Time and Sales. It is doing what i am requesting? I attach the difference between TAS combined vs TAS no combine. Time and Sales Window: Combine Records >> Combine Records into Exchange Reported Original Summary Trade with this comment You can tell that individual trades have been combined into a summary trade when the Num Trades field for the Time and Sales row has a value greater or equal to 2. twofox i see that study based on same time and price and time sensitivity but correct me if i am wrong , it will take into consideration also some random orders if they match the time price and in the same time as a large order. Even so i think it's much better than default TAS. And of course the ability to display it on the chart. Let me understand if the combine above option it does what it says and if not i will DM you. later edit : just see this so it's based on available limit order :( The summary trades are only going to be for the same single price. Not multiple prices. Is there a way to plot the TAS data on the chart? Example to get orders bigger than X and plot it on the chart at the transactional price. Thank you very much Date Time Of Last Edit: 2026-02-16 12:23:59
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 Screenshot 2026-02-16 135959.png / V - Attached On 2026-02-16 12:00:18 UTC - Size: 64.36 KB - 28 views |
| [2026-02-16 12:23:45] |
| twofox - Posts: 8 |
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I just found this option in Time and Sales. It is doing what i am requesting? I attach the difference between TAS combined vs TAS no combine. i see that study based on same time and price and time sensitivity but correct me if i am wrong , it will take into consideration also some random orders if they match the time price and in the same time as a large order.
Yes, that is correct, however same time and price and time is one of the available options, in that thread it was the relevant one to demonstrate, there is a different config that suits what you want to see.
Date Time Of Last Edit: 2026-02-16 12:23:52
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| [2026-02-16 12:27:34] |
| User937068 - Posts: 45 |
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That setting combines trades where a single market order trades against 2 or more limit orders at the same price.
yeah i just saw it in the description later.Then let me DM you. Accept the DM request please. |
| [2026-02-16 22:11:03] |
| Brookwood - Posts: 38 |
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FWIW here is a pic of the SC Large Volume Trade Indicator with 'Combine Trades into original Summary' in chart 1, unaggregated in chart 2, both filtered at 50 trades, absolute delta. It seems like one could ostensibly subtract one from the other for a filtered idea of block trades at a price versus all trades at that time stamp. Unfortunately Study/ Price Overlay doesn't seem to be able to overlay info from one to the other. I built an entire system around twofox studies and to whom I'm eternally grateful. Hopefully his study is just what you're looking for. His work is top-shelf. https://www.sierrachart.com/image.php?Image=1771280304618.png https://www.sierrachart.com/image.php?Image=1771279752381.png Date Time Of Last Edit: 2026-02-17 02:51:45
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| [2026-02-18 14:23:57] |
| User937068 - Posts: 45 |
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Hi Brookwood I got twofox study and compared with SC T&S with Combine trades into original summary and there are differences. I guess you coded your Large Volume trade indicator to contain the Combine Trades into Original as i don't see this option available inside the study options. Anyway i believe the the Combine Trades Into original will show only the number of contracts at the price level where the trade was placed so if there is any slippage and order is filled at different prices then this will be missed. twofox study somehow catch contracts at multiple price levels, combines them and provide a number that is different from the SC T&S. However i don't know the algorithm behind and how is able to to determine exactly that number. However by comparing the result of his study to T&S it makes more sense than the T&S with Combine trades option. So yes i got what i was looking for. At least for now :) The LVTI indicator with Combine Trades option is something made by you? I dont find this option inside LVTI settings. |
| [2026-02-18 19:20:33] |
| Brookwood - Posts: 38 |
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LVTI is a stock study. I was comparing two charts in one chartbook, one with Chart Settings->Chart Data->Combine Trades into Original Summary Trade (Data Feed and Exchange Specific) set to 'Yes'. Glad you got your idea in the ballpark! |
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