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Direct MessagesDate/Time: Tue, 07 May 2024 08:20:29 +0000
ACSIL trade size study
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| [2015-06-28 00:11:29] |
| User231363 - Posts: 31 |
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I'm trying to create an ACSIL study that marks trades > 200 contracts on ES. I have tried sc.LastSize and sc.SymbolData->LastTradeVolume, but both of those are zero for historical bars. I have setup a number bar chart with the trade filter set to 200, which shows when historical trades occur that are > 200. But how do I get the volume size of individual trades using ACSIL in a way that will work with historical bars (like the filtered number bar chart does)? thanks for your help! PS: I'm finding SC & ACSIL to be very capable! |
| [2015-06-28 00:20:20] |
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The only way to do this reliably is to set the chart bars to 1 Number of Trades Per Bar. sc.Volume[] will contain the quantity of each trade per bar. Otherwise, the only other way to get at the individual trades is through the Time and Sales data. There is an ACSIL function to get the Time and Sales data. But it is not persistent and has a limited number of records. 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 Date Time Of Last Edit: 2015-07-05 21:35:39
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| [2015-07-05 21:28:19] |
| User231363 - Posts: 31 |
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The thing that I'm confused about is that a a number bar study filtered by trade size shows historical trades > x size, but it sounds like ASCIL does not have access to that historical information without creating a 1 tick chart?
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| [2015-07-05 21:38:17] |
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The Numbers Bars study does not have access to the trade by trade data. It only works with the summation of trades at each price level within each bar. ACSIL can access this very same volume at price data for each bar. 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 Date Time Of Last Edit: 2015-07-05 21:39:17
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| [2015-07-06 12:57:03] |
| User231363 - Posts: 31 |
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I'm confused. In the attached picture, the lower number bar chart is filtered for trades > 189. The upper chart is the data with no volume filter. If number bars don't have access to individual trade data,what is the lower chart showing me? It looks like it is showing me prices where individual trades were > 189. thanks! |
 NumBarBigTrades.PNG / V - Attached On 2015-07-06 12:56:21 UTC - Size: 34.11 KB - 497 views |
| [2015-07-06 13:25:32] |
| User231363 - Posts: 31 |
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I just confirmed with playback using a time/sales window that those volumes reported on the lower (filtered) number bar chart are individual trades > 189. So while the number bar study might not have access to the individual trade sizes, the chart has to see the individual trades, filter them, and pass them to the number bar study.
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| [2015-07-06 16:53:11] |
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Yes, this is a correct understanding that you have stated in post #6.
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 |
| [2015-07-10 18:44:35] |
| User231363 - Posts: 31 |
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So ACSIL cannot access the individual trade volume information from the chart data unless the chart is a 1 tick chart? If this is true, it seems like a lot of overhead to create a 'ghost' 1 tick chart for each trade volume threshold I'm interested in. Would it be possible to change SC so ACSIL could access the individual trade information from the chart data, even if the chart period is > 1 tick? thanks! |
| [2015-07-10 18:58:21] |
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Yes this is correct. You can access the individual trade data through the Intraday data file. You can get the file name with sc.DataFile Here is the file format: https://www.sierrachart.com/index.php?page=doc/doc_IntradayDataFileFormat.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 |
| [2015-07-10 20:24:05] |
| User231363 - Posts: 31 |
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Great, that method sounds promising. I read the link, but I'm not sure how to read that file from C++. Can you please point me to an example of how to read the file? thank you! |
| [2015-07-10 20:53:24] |
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We do not have any examples. But the file format is very simple.
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 |
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