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Direct MessagesDate/Time: Fri, 19 Apr 2024 02:20:17 +0000
Order flow chart
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| [2013-07-12 00:33:19] |
| User49356 - Posts: 9 |
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How do I construct a chart which gives me an order flow footprint with filled orders and also what kind of Bid/ask activity is coming down? I have constructed a makeshift chart with number Bars (D1), Volume bid ask and Volume weighted Avg price. This gives a footprint of Bid ask Vol but it doesn't tell me what big orders (buy or sell ) are coming down the pike. Any suggestions would be appreciated. |
| [2013-07-13 00:28:31] |
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We have no further advice. We recommend using the Numbers Bars study: http://www.sierrachart.com/index.php?l=doc/doc_NumbersBars.php Also, big orders do not mean much. Maybe some users disagree with us, however we cannot see the significance of looking at big orders. A very large order is not likely to fill all at once and be represented as a big fill because it's going to hit a lot of smaller orders and be filled in smaller increments. And if there is actually one big order which fills, it is being matched with another big order of the same quantity. So what does it mean? It doesn't mean anything because there is both a large buyer and seller. And who knows why some large trade was made to begin with. Trying to track big orders as somehow an indicator of what smart money is doing, to us comes across as incorrect based upon our understanding of how orders are filled through the exchange. It simply is not a good idea to pay attention to that. If someone can explain the legitimacy of this, we would like to know. Also, the idea that somehow large institutions are as smart as one may think, is not necessarily a valid premise. As we said, there can be various reasons why large trades are made. 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: 2013-07-13 09:34:30
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| [2013-07-13 09:33:11] |
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This is why there are studies like Cumulative Delta Bars - Volume which accumulate buy and sell pressure over time using volume and bid/ask. This is more objective. See: https://www.sierrachart.com/index.php?l=doc/helpdetails71.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 Date Time Of Last Edit: 2013-07-13 09:36:46
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| [2013-07-15 14:22:30] |
| Zosimus - Posts: 345 |
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If you really need this you can also open a second Footprint chart with a volume filter and set it to show only trades with a size that is larger than whatever you consider large. Chart >> Chart settings >> Advanced Settings 2 >> "Volume Filter, Exclude <=".
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