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Post From: Trade Intensity/Pace of Tape indicator for SierraChart?

[2013-04-15 05:47:24]
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pe1111112 - Posts: 35
The general idea is that the faster orders are being filled, the more likely you are to be at a key point.

If you watch the orders throughout the day sometimes there is a few seconds between fills. No one really cares what is going on there. And other times many orders get filled nearly at the same time because something important is happening.

If you do not have a way to measure how fast trades are taking place, instead what you have to do is use a constant volume bar (or tick bar) and measure how quickly each bar forms. This is a sort of alternate way to measure kind of the same thing.

If, for example, two constant volume chart candles appear with the same timestamp, it's because many orders were just filled in a short period of time (less than one second). Compare that against two constant volume candles with 2 minutes difference in their timestamp in which case orders were filled much more slowly.

The Bar Time Duration study lets you measure this. Due to SierraChart's time limitations, however, you can only be accurate to one second (or zero seconds). So for your signal you have to look for candles where the Bar Time Duration shows a time of zero, or one second, and that must be matched with an appropriate volume or tick candle. For example, if you use 5,000 constant volume candles on the ES, there will almost never be any signals because it will always take more than 1 second for the bars to complete. So 5,000 constant volume candles are too slow. If you use 50 constant volume candles, almost every bar will have a signal, because it won't take more than one second for most of the candles to form, so this chart is too fast.

All I did in the screenshot I posted was use a worksheet to put a point on the candle when the Bar Time Duration was less than one second (which would be zero seconds), and then I played around with the chart settings until I found one that wasn't too fast (signal on every bar) nor too slow.