Support Board
Date/Time: Sat, 30 May 2026 19:13:44 +0000
Creating ATAS Deep Trades / Big Trades Bubbles in Sierra Chart ?
View Count: 34
| [2026-05-30 15:05:44] |
| Sivle - Posts: 78 |
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Hi, I am trying to build a custom ACSIL study in Sierra Chart that behaves similarly to the Big Trades / Deep Trades indicator available in ATAS. I understand that Sierra Chart already has the Large Trade Volume study, but it does not seem to offer the same aggregation and clustering options that ATAS provides. My goal is to identify large aggressive market orders (buy orders hitting the ask and sell orders hitting the bid) and display them as bubbles on the chart, with the bubble size proportional to the total traded volume. What I am trying to understand is: How would you approach aggregating Time & Sales data to create an ATAS-style "Big Trades" indicator? Is there any existing Sierra Chart study or setting within Large Trade Volume that can already perform this type of aggregation? Would it be better to aggregate trades by: Same price level? Same side (Bid/Ask)? Time window (for example a few milliseconds)? A combination of price and time? How would you handle situations where many small prints should be combined into one larger bubble? Is there an ACSIL example that demonstrates trade clustering or aggregation from Time & Sales data? For example, if multiple aggressive buy trades occur near the same price and within a short period of time, I would like them to be combined into a single larger bubble instead of displaying many separate bubbles. I am interested in creating something visually and conceptually similar to the ATAS Big Trades indicator, particularly for identifying absorption and trapped traders around key levels. Any suggestions regarding the best aggregation logic or existing Sierra Chart functionality would be greatly appreciated. Thank you. |
| [2026-05-30 15:33:22] |
| User431178 - Posts: 879 |
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See here - Large Volume Trade Study Issue
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