Support Board
Date/Time: Wed, 07 Oct 2026 11:34:13 +0000
Market Depth Historical Graph - percentile option for the coloring thresholds
View Count: 247
| [2026-08-23 01:42:29] |
| EliteSingh - Posts: 2 |
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Could you add a "Percentile" choice to Value Type for Highest/Lowest Quantity for Coloring, so that entering 80 means the 80th percentile of the depth quantities currently visible rather than 80 contracts? What I mean by percentile is a percentile of the per-level depth quantities in the visible range. The same levels the study already uses when Determine Min and Max Levels from is set to Visible Bars. Percentage of Maximum Depth doesn't cover it, because it keys off a single outlier. I checked this on my own recorded ES depth (2026-08-20 RTH, in 30 minute windows). The 80th percentile drifted from 54 to 106 through the session, a 2x move. Expressed as a percentage of the window max it swung from 4.9% to 24.6%, a 5x move. In one window the max fell from 1463 to 431 only because no large order happened to be resting which percentage cutoff it would have stripped the color off the chart right when the book was at its heaviest making it easier. As it stands the absolute values have to be re-derived per symbol, and they drift inside a single session as well. On ES the right number roughly doubles between the open and the close. |
| [2026-08-24 14:53:59] |
| John - SC Support - Posts: 48127 |
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Could you add a "Percentile" choice to Value Type for Highest/Lowest Quantity for Coloring, so that entering 80 means the 80th percentile of the depth quantities currently visible rather than 80 contracts?
What I mean by percentile is a percentile of the per-level depth quantities in the visible range. The same levels the study already uses when Determine Min and Max Levels from is set to Visible Bars. We do not understand how what you state is different from the way it currently works. What exactly do you want a value of 80% to do? For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2026-08-24 15:26:18] |
| EliteSingh - Posts: 2 |
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By 80th percentile, I do not mean 80% of the maximum depth. I mean: take all of the per-level depth quantities being considered in the visible range, sort those quantities from lowest to highest, and choose the quantity at the 80th percentile. In other words, 80% of the observed depth quantities would be at or below that value and 20% would be above it. For a simple example, if the visible quantities were: 10, 15, 20, 25, 30, 35, 40, 45, 50, 1000 then 80% of Maximum Depth would give approximately 800, because it is based on the single 1000-contract outlier. The 80th percentile would instead be around 45, because it is based on the distribution of all the visible depth quantities. So what I am proposing is another Value Type such as Percentile of Visible Depth Quantities. If Highest Quantity for Coloring is set to Percentile and the input is 80, the study would calculate the 80th-percentile quantity from the same visible depth population used by “Determine Min and Max Levels From = Visible Bars,” and use that calculated quantity as the upper coloring threshold. This would let the heatmap automatically adapt as normal book depth changes through the session without having a single unusually large resting order rescale the entire chart. |
| [2026-08-24 16:02:50] |
| John - SC Support - Posts: 48127 |
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We have set this as a Feature Request. We have had similar requests to have a way to not include outliers for the general determination of the range of coloring values. We can not say when we would get to any particular request. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
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