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Date/Time: Fri, 20 Apr 2018 18:11:51 +0000



[User Discussion] - Offering To The Community: On Balance Volume By Tick With Filters

Support Request:
[2015-07-10 05:13:57]
bjohnson777 (Brett Johnson) - Posts: 221
I've been programming some indicators from my base tool kit and am offering them to the community. I request they be added into the main SC distro once checked over.

From the "Display Study Documentation" button:

On Balance Volume By Tick With Filters. To properly use this indicator, Sierra Chart must be set up in tick by tick mode with intraday bars. If all "Input Data" options show a straight line at 0.0, then tick by tick data is not available or not enabled. Note that some volume data is only available when the market is open.

This OBV version adds a moving average ribbon to help quantify the moves. Reading the ribbon is the same as if the ribbon was attached to a price line. If the ribbon is enabled, it is recommended to give it a lot of screen height to see the movement. Adding it to a second chart may be a better option. Institutional traders do use moving average lines as seen by the OBV line bending, pausing, and reversing at the standard levels. The colors chosen are based on light frequency from slow to fast (think of a prism or rainbow). This method makes remembering the values much easier. Standard values are red=200, orange=100, yellow=50, green=35, and cyan=20. These can all be changed in the configuration menu.

This OBV version has a Volume Filter option to handle cases when a volume spike smashes the indicator making it hard to read. Large institutions sometimes do this to hide their activity afterward. The "Straight" option passes volume data through without any filtering. The "Log" option runs each volume bar through the log function making a type of "log scale". The "Square Root" option runs each volume bar through the square root function making a type of "square root scale". The "MA Clip" option will clip volume above a chosen moving average. The final Smoothing option will apply a moving average to take some of the noise out of the final OBV line.

Observations. The various volume filters are very effective and will walk right through the volume spike bar hardly noticing it. The volume filters also tend to minimize errant graph changes.

When using one of the volume filters, it is necessary to have the first OBV instance running in "Straight" mode. Add the second OBV instance to the same graph with "Independent Scaling". This is important because the filtered bars tend to drift in value with smaller volume bars. While this drift will show the OBV bias direction, it will not do it to scale and may cause false signals. The "Straight" instance will be used to verify actual distance moved. Note that Log tends to drift the most (sometimes offering an early indicator), followed by Square Root and then MA Clip. To learn the movement characteristics of each, put them all on one chart for equal comparison.

Take note when all OBV lines pivot in the same direction. This tends to indicate a change with strength.

-----
Minor update 2018-01-31. No major function changes.
Regular compiles moved to "Brett Johnson's Standard Tool Kit" DLL.
https://www.sierrachart.com/SupportBoard.php?ThreadID=18945
Quick compile instructions:
https://www.sierrachart.com/SupportBoard.php?PostID=114621#P114621
Date Time Of Last Edit: 2018-01-31 07:24:11
Attachment Deleted.
attachmentOnBalanceVolumeByTickWithFilters.cpp - Attached On 2018-01-31 07:23:54 UTC - Size: 14.57 KB - 10 views
attachmentOnBalanceVolumeByTickWithFilters.dll - Attached On 2018-01-31 07:24:01 UTC - Size: 817.5 KB - 8 views
[2015-07-19 13:15:18]
bjohnson777 (Brett Johnson) - Posts: 221
In doing some tests I've discovered that I like a moving average ribbon on it. I've added that as a feature. New version attached.

From the "Display Study Documentation" button:

On Balance Volume By Tick With Filters. To properly use this indicator, Sierra Chart must be set up in tick by tick mode with intraday bars. If all "Input Data" options show a straight line at 0.0, then tick by tick data is not available or not enabled. Note that some volume data is only available when the market is open.

This OBV version adds a moving average ribbon to help quantify the moves. Reading the ribbon is the same as if the ribbon was attached to a price line. If the ribbon is enabled, it is recommended to give it a lot of screen height to see the movement. Adding it to a second chart may be a better option. Institutional traders do use moving average lines as seen by the OBV line bending, pausing, and reversing at the standard levels. The colors chosen are based on light frequency from slow to fast (think of a prism or rainbow). This method makes remembering the values much easier. Standard values are red=200, orange=100, yellow=50, green=35, and cyan=20. These can all be changed in the configuration menu.

This OBV version has a Volume Filter option to handle cases when a volume spike smashes the indicator making it hard to read. Large institutions sometimes do this to hide their activity afterward. The "Straight" option passes volume data through without any filtering. The "Log" option runs each volume bar through the log function making a type of "log scale". The "Square Root" option runs each volume bar through the square root function making a type of "square root scale". The "MA Clip" option will clip volume above a chosen moving average. The final Smoothing option will apply a moving average to take some of the noise out of the final OBV line.

Observations. The various volume filters are very effective and will walk right through the volume spike bar hardly noticing it. The volume filters also tend to minimize errant graph changes.

When using one of the volume filters, it is necessary to have the first OBV instance running in "Straight" mode. Add the second OBV instance to the same graph with "Independent Scaling". This is important because the filtered bars tend to drift in value with smaller volume bars. While this drift will show the OBV bias direction, it will not do it to scale and may cause false signals. The "Straight" instance will be used to verify actual distance moved. Note that Log tends to drift the most (sometimes offering an early indicator), followed by Square Root and then MA Clip. To learn the movement characteristics of each, put them all on one chart for equal comparison.

Take note when all OBV lines pivot in the same direction. This tends to indicate a change with strength.

-----
Edit: Download current version from first post.
Date Time Of Last Edit: 2016-02-07 03:00:49
[2015-07-23 20:45:26]
User907780 - Posts: 2
How do all your indicators compile, I've placed several in the Data folder but they dont show up under Custom Studies.

Thanks
[2015-07-25 17:12:23]
bjohnson777 (Brett Johnson) - Posts: 221
Put the CPP files in the ACS_Source folder. Go to Analysis / Build Custom Studies DLL. "Select File" and then look for the cpp file. Hit "Build Custom Studies DLL". After it compiles, the DLL will end up in the Data folder. From there you can select it with the "Add Custom Study" button.

If you haven't installed the compiler, hit the "Install Compiler" button before the build. It took mine 10-15 min to install. I just left it and came back later.

The CPP file should take less than 10 seconds to compile in most cases.
[2015-07-27 09:46:00]
Sierra Chart Engineering - Posts: 59270
We will be creating a separate DLL file for all of these user contributed studies from bjohnson777, which will be provided with Sierra Chart so they can be easily used.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation

If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
[2015-07-27 15:30:30]
bjohnson777 (Brett Johnson) - Posts: 221
That will work. Thanks.
[2015-07-27 15:47:11]
bjohnson777 (Brett Johnson) - Posts: 221
..And a quick question comes to mind: Can the source code be included too? Probably in ACS_Source?
[2015-07-27 22:05:24]
User907780 - Posts: 2
Thanks for the instructions re compiling, however when I look to Add Custom Study, the 'Add' button is greyed out on all the DLLs. Probably due to when I went to 'Build Custom Studies DLL' I get the following in the build Output Window on most of the indicators:


C:\SierraChart\ACS_Source\scconstants.h.1025:38:warning: scoped enums only available with -std=c++11 or -std=gnu++11[enabled by default]
enum Move To BreakEvenAction TypeEnum : int

Any ideas?
Thanks again.
[2015-07-28 12:21:30]
bjohnson777 (Brett Johnson) - Posts: 221
The grey out got me the first time, too. That list is actually the DLL container for all studies inside that DLL. Double click it and it will expand. After that you can select and the Add button won't be grayed anymore. Be sure to hit the Documentation button on mine to read through how to use it and the quirks. A web browser will pop up... usually behind the window, so select it in the task bar to bring it forward.

I'm not sure on the compiler issue. One of the developers will probably have to chime in.

All I can say is make sure SC is at the current version and maybe reinstall the compiler on top of itself to make sure it is current.

I've got an open trouble ticket with SC hanging on the new version with my install. I'm using linux/wine, though. I don't see others complaining, so windows may be ok. You may want to wait a day or two for the SC upgrade.
[2016-10-15 06:59:18]
bjohnson777 (Brett Johnson) - Posts: 221
Today's DLL was compiled with the M$VC++ change over.
You may need to update your SC version.
Keep your previous DLL version until you've tested the new compile.
Most changes were made to shut up useless M$VC++ warnings when compiling.
There are a few compile warnings left about "argument" that can be ignored.
No real functionality changes have been made.
[2018-01-31 07:24:30]
bjohnson777 (Brett Johnson) - Posts: 221
Updated the "by tick" versions to cleanly compile with version 1689.

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