Support Board

Date/Time: Thu, 02 May 2024 08:36:33 +0000

Post From: ACSIL historical tick by tick processing for indicator

[2018-12-11 05:38:15] Link To Thread - Link To Post [Go To First Post]
User19165 - Posts: 346
Hi Sierra staff, I want to write my own custom volume delta indicator that will allow me to filter out large trades. The problem is maybe exclusive to HKEX data, but barcharts feed will put through block trades into the data. These block trades at HKEX are happening off the book through the block trade facility and have no impact on book liquidity or meaningful direction, that I have been able to discern. During the monthly rollover, this is making the volume delta nearly useless for 3-4 days before the roll. I would like to be able to filter out large orders that exceed the inside bid/ask size by a certain multiple. Ideally I would be able to load up a historical chart and this indicator recalculate on a tick by tick basis - is this possible?