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Direct MessagesDate/Time: Sun, 28 Apr 2024 05:10:32 +0000
large volume trade indicator scaling
View Count: 4434
| [2017-02-22 04:49:07] |
| User99934 - Posts: 227 |
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The large volume trade indicator automatically scales the size and colors for the entire data series loaded. Don't you think it should have the option to automatically scale for just the data range presented on the screen? You have high and low volume times of day, by trying to automatically scale the size or color for the entire day or days, it does not allow you to see the differences in slow periods.
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| [2017-02-22 07:31:49] |
| Neo - Posts: 198 |
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It would be good if you could set a date range/ time range, or atleast have an input for the look back period, eg 7 days etc.
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| [2017-02-22 17:02:11] |
| User99934 - Posts: 227 |
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It would be good if we could adjust the intensity of the transparency.
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| [2017-02-22 17:53:08] |
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The large volume trade indicator automatically scales the size and colors for the entire data series loaded. Don't you think it should have the option to automatically scale for just the data range presented on the screen? We will add a new Input setting to the study to control this. Refer to the documentation for Use Transparency here to understand how to adjust the transparency level: https://www.sierrachart.com/index.php?page=doc/TechnicalStudiesReference.html#s390 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: 2017-02-22 17:53:26
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| [2017-02-23 00:56:12] |
| User19165 - Posts: 346 |
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Hi Sierra, Please consider the original posts concerns. I like to use this type of indicator across a variety of timeframe charts so I can observer and assess the general order flow as well as the immediate more micro order flow. The opening and closing high volume prints will distort what is considered to be a big large volume trade for the entire chart if one has it set to all loaded chart bars. If you choose to only set it to visible bars, then you get inconsistent information when assessing order flow across charts of different timeframes. It will be a really informative tool if the visual representation is just slightly improved to address these issues. With kind regards, MK |
| [2017-02-23 03:39:19] |
| Neo - Posts: 198 |
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The opening and closing high volume prints will distort what is considered to be a big large volume trade for the entire chart if one has it set to all loaded chart bars. If you choose to only set it to visible bars, then you get inconsistent information when assessing order flow across charts of different timeframes. It will be a really informative tool if the visual representation is just slightly improved to address these issues.
So the solution would be to create an input setting for the time period where data was collected. eg 09:31- 16:14 RTH |
| [2017-02-23 06:04:36] |
| User19165 - Posts: 346 |
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Hi there, I would say its one way to address the large volume opening and closing prints but it still fails to address a good way to display the information because volume is not evenly distributed at different times of the day. For me, the tool is intended to show what is abnormal within the order flow. As a day trader, I need to see how this large volume compares to other recent large volumes. Deciding how big to draw the circle of a large volume print at 11:30 versus a large volume print at 9:05 is not really going to give any extra information and is maybe not so useful for looking at the order flow. This tool is a nice visual of a filtered tape, but it needs to be adjusting circle sizes based on a fairly recent past of what is "normal". However normal is determined, it needs to keep the dot sizes the same, no matter if I have 3 days of data loaded on a 4 tick renko chart or 1 day loaded on a 1 tick chart. Scrolling the chart should leave the dot sizes unchanged. All of the above is in IMHO. There can be a lot of good information gleaned from this tool with some visual improvements. |
| [2017-02-23 10:58:56] |
| User99934 - Posts: 227 |
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The new version works great, thank you.
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| [2017-02-24 02:24:55] |
| Neo - Posts: 198 |
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I would say its one way to address the large volume opening and closing prints but it still fails to address a good way to display the information because volume is not evenly distributed at different times of the day.
For me, the tool is intended to show what is abnormal within the order flow. As a day trader, I need to see how this large volume compares to other recent large volumes. Deciding how big to draw the circle of a large volume print at 11:30 versus a large volume print at 9:05 is not really going to give any extra information and is maybe not so useful for looking at the order flow. So what you are describing is the need to normalize the volume, so that it's relevant for each time stamp/ period through out the day. A basic normalization could look like this For example; based on a 1min chart, at 11:30am from the current day, the calculation would look back at all data from the equivalent time stamp, 11:30am, over the last x days. so at 11:30am, with an input of 30 days, the calculation would look at all volume traded at the 11:30am time stamp( 11:30:00-11:30:59) from the last 30 days of data, and then scale the volume based on that. If you wanted to split days into increments, then you would adjust the bar period accordingly, eg use a 30min chart, and overlay the study onto your trading time frame. The volume threshold would then be based on a percentage eg 0-100%, rather than fixed volume amount. |
| [2017-02-24 02:30:55] |
| User99934 - Posts: 227 |
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User34719 The new version of large volume trade indicator scaling is available in release 1523. |
| [2017-02-24 02:48:53] |
| Neo - Posts: 198 |
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User34719
The new version of large volume trade indicator scaling is available in release 1523. Yeah, but it doesn't address what I raised, or what @Midknight highlighted. It's an input that allows for scaling based on visible bars. Scaling based on visible bars is a good gimmick for discretionary traders- It's a Bookmap style feature. SC devs could build something much more powerful. |
| [2017-02-24 03:50:32] |
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We are still thinking about a better method of scaling.
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 |
| [2017-02-24 06:16:00] |
| User19165 - Posts: 346 |
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So what you are describing is the need to normalize the volume, so that it's relevant for each time stamp/ period through out the day.
Hi there, I personally have studied normalizing by time of day across the past X days over a decade ago and didn't find to be too good for this recent order flow type of analysis. This is one type of way to normalize and there are others. What I found most useful was monitoring the large volume trading in the recent past. I want to be assessing the tape in the immediate flow, not comparing it to the last X days....Your millage may vary based on your unique ways of generating trade ideas. .................. Thank you for the consideration on this issue, Sierra. |
| [2017-02-24 06:38:55] |
| Neo - Posts: 198 |
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I personally have studied normalizing by time of day across the past X days over a decade ago and didn't find to be too good for this recent order flow type of analysis. This is one type of way to normalize and there are others.
Yeah, obviously, there's many ways. Please be more specific in how you propose to implement this? What I found most useful was monitoring the large volume trading in the recent past. I want to be assessing the tape in the immediate flow, not comparing it to the last X days....Your millage may vary based on your unique ways of generating trade ideas.
Using my example, you could code an input setting for 'days to look back' so that an input of '1' day, only looked at volume from the current day, so using a 30min chart period( or whatever period you defined in the chart settings), the calculation would only look at all data(volume) from current day, based on the range of each 30min timestamp or 'block', eg (11:30:01-11:59:59) etc. |
| [2017-02-24 08:02:56] |
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What we intend to do is put all of the volumes at each price level for each bar into an array. Sort it. The midpoint will be considered the median, and there will be user settable percentage as to what is considered the maximum and minimum volume. So for example if you consider the maximum volume 25 percent above the medium, then that is what it will be. 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 |
| [2017-02-24 08:15:07] |
| User19165 - Posts: 346 |
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Yeah, obviously, there's many ways. Please be more specific in how you propose to implement this?
As I have mentioned in a different thread. My approach of programming this for a different platform was to set a minimum volume threshold in the inputs. I would then put every volume >= to that amount into a FIFO stack of the last 20 large volume trades. From there, I would create an average of the last 20 large volume trades to use as a baseline. I would then size circles based on their ratio above that baseline. Another more simple approach is that the tool can rely on the user creating their own baseline. For example, I only day trade the DAX in the European morning. I know that in the last 5 days for the first 2 hours of the cash session, > 4.58 lots is > 2SD of every trade that happens between 0900:01 - 1100. So I could set the lot size to 5 and then the dots could be sized just on their ratio above my specified lot size. These are just a couple of ideas, there are more ways, I'm sure. .................... Hi Sierra, Please reconsider that approach. I am using this indicator on a 1 tick chart as a way to read the tape visually. Any concept like this of a "bar" will be useless for me. Please treat it as a tick stream in some way, that way it will be universal on any chart timeframe, won't it? |
| [2017-02-24 08:22:44] |
| Neo - Posts: 198 |
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What we intend to do is put all of the volumes at each price level for each bar into an array. Sort it. The midpoint will be considered the median, and there will be user settable percentage as to what is considered the maximum and minimum volume.
So for example if you consider the maximum volume 25 percent above the medium, then that is what it will be. This sounds promising. A good step in the right direction. Date Time Of Last Edit: 2017-02-24 08:24:47
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| [2017-02-24 15:09:03] |
| User99934 - Posts: 227 |
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What we intend to do is put all of the volumes at each price level for each bar into an array. Sort it. The midpoint will be considered the median, and there will be user settable percentage as to what is considered the maximum and minimum volume.
So for example if you consider the maximum volume 25 percent above the medium, then that is what it will be. On a related note, does anyone here use the Market Depth Historical Graph indicator? If so, do you think an array/normalized/scaled/automatic version input like this would helpful? |
| [2017-02-25 01:24:29] |
| User19165 - Posts: 346 |
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On a related note, does anyone here use the Market Depth Historical Graph indicator? If so, do you think an array/normalized/scaled/automatic version input like this would helpful?
Hi there, Yes I am using this indicator and it has the same problems as the large volume trade indicator. Because these 2 indicators are presenting different information based on a colour intensity they absolutely should not be changing these colours after they are painted, IMO. Colour is information - it should be presented consistently across timeframes, chart bar density, and number of days of data in the chart etc.... I'm not sure of a good solution to this with the market depth historical indicator - it would take same exploration and trying a variety of approaches to determine what was best. Certainly the historically painted colours should not be altered though. |
| [2017-02-27 18:18:34] |
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Update to the latest prerelease for the latest change to the Large Volume Trade Indicator study which uses the new method to determine minimum and maximum volume across all of the chart bars. There are two new Inputs to set percentages related to this. 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 |
| [2017-02-27 18:53:39] |
| User99934 - Posts: 227 |
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When changing the percentage above median for maximum volume, I can enter numbers less than 50 and the values will display when hitting apply. When I enter a value like 60 or 75, the value reverts back to 50 and does not remain at what I set it at. Settings are: volume threshold 1, circle based on total volume, all loaded chart bars, percentage below median for minimum volume 45.
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| [2017-02-27 19:00:41] |
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It does not make sense to use a number greater than 50 percent since the median is exactly the middle of the series of volumes. 50 percent is the maximum. Those new inputs will be documented as soon as we can. 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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