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Direct MessagesDate/Time: Sun, 19 May 2024 05:43:37 +0000
Delta Volume average price per bar
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| [2015-04-09 15:27:24] |
| nioko54130 - Posts: 108 |
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Hi dear support, i'm looking for calculate the average price of a range footprint bar with the notion of the delta volume. The goal is to be able able to calculate the average price of a range bare with the delta volume of the barre. For example, if i have a range fotoprint bare like this : Price|Bid contract|Ask contract|(Bid contract*Price)|(Ask contract*Price) 1.25 | 5 | 10 | (6.25) | (12.50) 1.24 | 8 | 80 | (9.92) | (99.20) 1.23 | 10 | 10 | (12.30) | (12.30) 1.22 | 20 | 8 | (24.40) | (9.76) 1.21 | 90 | 5 | (108.90) | (6.05) 1.20 | 200 | 2 | (240) | (2.40) Delta volume for the bar = 5+72+0-12-85-198 = - 218 total sum of the bid contract = 333 bid contract for this bar total sum of the ask contract = 115 ask contract for this bar total sum of the (bid contract*price) = 401.77 total sum of the (ask contract*price) = 142.21 Average price bid = 1.21 Average price ask = 1.24 Average Delta Volume price = 1.22 Is my calcul making sense? The aim of all of that is to know the average price of the limit order inventory for each footprint bar, and for few footprint bar. How could i do dat?? thank's |
| [2015-04-09 17:02:15] |
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You will need to use ACSIL: https://www.sierrachart.com/index.php?page=doc/doc_CreatingDLLs.html Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2015-04-09 23:06:20] |
| i960 - Posts: 360 |
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Have you enabled min value, max value, and POC boxes for the numbers bars? I find the POC gives me a fairly good idea of where average "value" is. I also use bid vol x ask vol text + ask/bid split profile for numbers bars which helps quite a bit visually.
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