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Direct MessagesDate/Time: Sat, 27 Apr 2024 11:53:00 +0000
BookMap
View Count: 23140
| [2016-05-23 14:23:55] |
| User15952 - Posts: 132 |
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I am not sure if you have used bookmap; First thing BM is independent of trades, it is continuous in time. Think about how powerful that is; there may be times when no trades are occurring but the orderbook is changing, bookmap captures that. Depending on the speed of the market you can zoom in to a continuous stream of milliseconds watching the orderbook. Secondly, even when I set the time to be 1 second your algo show different results to BM. I can clearly see what you are doing vs BM, which is not the same thing. Bookmap is purely an orderbook tool, I suggest you get the trial version and test it out. |
| [2016-05-23 14:45:11] |
| amirN - Posts: 159 |
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I do have a trial version, and have seen how it is used. The above indicator upates only when a tick is traded and is not based on time. During market hours in the instrument I trade it is highly unlikely that no trade is executed for any significant length of time (few ms). The example chart included is a 10t chart not a timed chart. In fact when I set it as a 1t chart it was too fast for me. Anyway it is as it is, I have not given any warranty of its accuracy or its effectiveness. If it does not suit your style or need, you can always buy BM or wait untill SC brings its own version (if they choose to have it time based). Kind regards Amir |
| [2016-05-23 15:00:56] |
| User15952 - Posts: 132 |
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It is misleading to say the result is extremely close to bookMap. I can video bookmap and your algo side by side on the ES market. Let me know what settings you would like for your algo for the video? I will do a few videos at different times and different lengths. Date Time Of Last Edit: 2016-05-23 15:01:31
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| [2016-05-23 15:13:07] |
| amirN - Posts: 159 |
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I am glad that you have BM and happy with it. I have no further thing to add. Happy Trading! Amir |
| [2016-05-23 15:53:11] |
| apollofl - Posts: 95 |
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amirN, I appreciate your efforts. Thank you. |
| [2016-05-23 15:53:41] |
| amirN - Posts: 159 |
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I was wrong, it updates whenever it is called by SC despatcher (presumably when a new DOM data is available) and not when a tick is traded. Amir Date Time Of Last Edit: 2016-05-23 15:54:28
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| [2016-05-23 16:04:25] |
| User15952 - Posts: 132 |
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Bookmap can never be replicated without continuous time based charts, regardless of activity in the price pane. BM is probably the most innovative product of the last year. There is a the reason everybody is trying to copy them. I have not tested out Auction Vista by Jigsaw Trading. From what I understand it is the closest since it is also time based. |
| [2016-05-23 23:25:54] |
| User20450 - Posts: 330 |
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u can have bookmap built on sierra for under 500 . very simple ,and its built my way not there way , there missing key elements
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| [2016-05-24 00:48:33] |
| User25244 - Posts: 123 |
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Apparently no good deed goes unpunished I for one think it works great Ty again Amir |
| [2016-05-24 07:36:09] |
| amirN - Posts: 159 |
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There is nothing innovative or complicated about it. It merely looks at the DOM data and put a shade based on their relative volume. This can easily be verified by looking at the DOM data and what is displayed by the above indicator. If whenever a new DOM data becomes available SC sends the data to the indicator (which I believe so) then it is doing what it supposed to do. IF BM displays something else then it is using a different method for display, changing it in some way or the data and shading colours between the two system do not match. For me this is doing what it sets out do. Coupled with excellent SC functionality it is far superior (again my opinion) to what BM is ever likely to offer. Yes BM offers some minor added functionality like Iceberg detection and etc. but I do not need those and if wanted it is relatively easy to code. Despite User15952 super enthusiastic endorsement of BM, I personally do not think it worth $1000 price tag it is being offered now and what I have does what is expected of it. Regards Date Time Of Last Edit: 2016-05-24 07:37:54
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| [2016-05-24 07:37:04] |
| User15952 - Posts: 132 |
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Amir, the limitations are with sierra not your code.
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| [2016-05-24 10:16:30] |
| fdan - Posts: 7 |
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Thanks for Your code amirN, hope You continue to develop and improve it. Best regards |
| [2016-05-24 17:44:03] |
| User15952 - Posts: 132 |
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@User20450 care to share screenshots. Thanks
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| [2016-05-25 20:41:55] |
| amirN - Posts: 159 |
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This is one of my last work on this Study. In this I have increased the numbers of shades to 20. So each level can be differentiated by 20 Grey levels compared to the Maximum volume level on the DOM. Very limited testing has been done on it. Please check it by comparing it to the DOM values. Kind regards Amir Date Time Of Last Edit: 2016-05-25 21:37:46
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 amirN.dll - Attached On 2016-05-25 20:17:17 UTC - Size: 100.5 KB - 516 views Attachment Deleted. |
| [2016-05-25 20:43:36] |
| pro4xtrader - Posts: 6 |
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"Private File Attachment Deleted." Too bad, missed it. I guess you encountered some bugs? Or did you take the project private? |
| [2016-05-25 21:38:30] |
| amirN - Posts: 159 |
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Sorry made it private by mistake. It should be corrected now. Regards |
| [2016-05-26 01:11:31] |
| NumbersBars - Posts: 141 |
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amirN, if it is not too much to ask, would you be able to share the cpp file if you have decided to stop working on this program? Would like to have a look for future improvement, and I am sure there are brilliant programmers on this forum would like to take on this task. Anyway, thanks for the good work and generosity to share. |
| [2016-05-27 14:34:56] |
| User64630 - Posts: 19 |
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Hi guys I found it : https://twitter.com/Futures_CL_GC/status/736181758123708416 |
| [2016-05-27 14:48:06] |
| User529762 - Posts: 25 |
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64630, I dont have Twitter , how do I contact him? :)
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| [2016-05-27 15:57:05] |
| amirN - Posts: 159 |
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I thought I should pass on my current study. In this I have added a field "Display Type", values are: 0: Highest volume would be Black, Lowest volume White. Therefore, the volumes in between are shaded with respect to the range. Number of shades are 20 per level. 1: In developement but thinking to be the same as above but number of shades set to 10. 2: The volumes are shades in comparison to the highest volume on DOM only. I have not done much testing so please feel free to point to possible shortcomings. You might have to remove and then reapply the indicator to your chart. Amir Date Time Of Last Edit: 2016-05-27 15:57:35
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| amirN.dll - Attached On 2016-05-27 15:56:41 UTC - Size: 101.5 KB - 456 views |
| [2016-05-27 16:58:54] |
| pro4xtrader - Posts: 6 |
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Nice work, thanks Amir..!
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| [2016-05-27 18:40:13] |
| nioko54130 - Posts: 108 |
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Hey Guys! You can find a special visualization of the order book, combined with the market orderflow here : https://www.facebook.com/profile.php?id=100010372865291 https://twitter.com/NicoooooooFX skype : niokozzzzzz http://quantisme.webnode.fr/ #quantbook #quantmap #quantrun #version5 Date Time Of Last Edit: 2016-06-02 13:09:44
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 exemple clé magnique.JPG / V - Attached On 2016-05-27 18:39:18 UTC - Size: 279.17 KB - 1713 views iciii ile truc de ouf.JPG / V - Attached On 2016-05-27 18:39:32 UTC - Size: 335.27 KB - 903 views violllloiioioi.JPG / V - Attached On 2016-05-27 18:40:06 UTC - Size: 253.19 KB - 833 views |
| [2016-06-02 20:25:10] |
| amirN - Posts: 159 |
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Regarding post 2 above, when would we have a version of SC enabling DOM data to be saved for replay?
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| [2016-06-02 20:29:20] |
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In about another week this will be ready. The basic graphics part of it should be out in a couple of weeks. Really this historical market depth functionality is not that hard. Sierra Chart already has all of the core functionality for this already. Although some of the details of it, and surely some of the requests that will come, will take some more effort to implement. 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: 2016-06-02 20:30:31
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| [2016-06-03 05:11:03] |
| kinghat - Posts: 120 |
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thanks for the update!
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| [2016-06-06 08:10:51] |
| amirN - Posts: 159 |
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Another version. Changes are: 1- Extended the current orderbook to at least 20 points into the future. The Bid/Ask lines have changed to DOT for these points. In order to see them you have to use <CTRL)-> to see the Fill space. Please set the option "Lock fill space". 2- Large volume study now works on the total volume traded during the period. But the colouring is based on the relative size of Bid and Ask volume during the period. I have not done much testing so please feel free to point to possible shortcomings. You might have to remove and then reapply the indicator to your chart. Amir |
| amirN.dll - Attached On 2016-06-06 08:09:03 UTC - Size: 103.5 KB - 466 views Attachment Deleted. Capture.JPG / V - Attached On 2016-06-06 08:10:21 UTC - Size: 101.3 KB - 1158 views |
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