Login Page - Create Account

Support Board


Date/Time: Sun, 21 Oct 2018 00:55:39 +0000



Summary Time & Sales Indicator for Chart

Support Request:
[2017-11-30 17:17:17]
User379884 - Posts: 45
Hi,
Is this possible to program in Sierra Chart with the summary trade information the two time and sales indicators as per attached and described below? Would it be something you would consider? If not is there any programmers, you could recommend who could do such a project?

The circles on the chart are large trades (the summary trade, so with the CTS and Sierra Chart feed this could work). It is similar to the Large Trade indicator already available except it shows each and every trade as specified by the filter at the price is printed.
You can filter;
-  The to show what trade size you want to see (min and max settings)
-  The shape (e.g. circle, square etc.)
-  Colour for bid or ask trade
-  Opacity of the shape
-  The max size of the shape (e.g. the shape will not go any bigger than 50 trades for instance).
-  Master size of the shape so you can make them all relatively smaller or larger

The other indicator is the summary time and sales but it actually prints at the price the trade goes off on the chart. You can set the filter;
-  To show any summary size you want (min and max)
-  Colours
-  Line thickness etc.

Thanks.
Private File
Private File
[2017-11-30 21:49:52]
Sierra Chart Engineering - Posts: 65034
You will need to find a programmer to do this.

Sierra Chart does have new functionality in ACSIL to access the individual trades within a chart bar.

We can be available to the programmer here on the Support Board to give them guidance.
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.
Date Time Of Last Edit: 2017-11-30 21:50:29
[2017-11-30 22:16:28]
User297539 - Posts: 54
do you mean something like this
https://www.sierrachart.com/Download.php?Folder=SupportBoard&download=4979
[2017-12-01 01:19:39]
User379884 - Posts: 45
Thank you for the responses.

@ Sierra Chart Engineering. Do you mean that I give detailed instructions on this forum and you will provide a quote? If so let me know and I can write a detailed scope and post.

@user297539 that looks like the time and sales indicator on the chart. Does that report the time and sales data and plot it on the chart and are you able to do filtering to what trade size it shows? Is this something you have had custom built or Sierra Chart have done?

Thanks.
[2017-12-01 02:26:58]
User379884 - Posts: 45
Hi. Sorry just reread message from Sierra Chart Engineering. I’ll try and find a programmer.

Still keen to hear a response from other user. Thanks.
[2017-12-01 06:34:35]
User297539 - Posts: 54
This indicator displays the T&S on the chart. The filter can also be configured.
image2017-12-01 07-28-51 AM.jpg / V - Attached On 2017-12-01 06:33:53 UTC - Size: 157.17 KB - 243 views
[2017-12-01 06:39:15]
User379884 - Posts: 45
Ok that looks interesting. Is this your indicator? What is the best way to contact you?
[2017-12-01 07:27:18]
User297539 - Posts: 54
Try it, maybe what you're looking for
Private File
[2017-12-01 07:34:25]
User379884 - Posts: 45
Thanks for your response. Sorry the file is showing up as a private file and I can't download. Could you send via email? xxxxxx

I'm very grateful for this. Thank you.
Date Time Of Last Edit: 2017-12-01 07:42:33
[2017-12-01 07:40:30]
User297539 - Posts: 54
I Sent
[2017-12-01 08:07:21]
binaryduke - Posts: 147
@ Sierra Chart Engineering
Re post #2 'Sierra Chart does have new functionality in ACSIL to access the individual trades within a chart bar.'

Please could you provide some direction to these new ACSIL functions. Many thanks.
[2018-01-12 12:00:15]
User120942 - Posts: 6
@User297539 @User379884 I would like to get a copy of the summary tape study. Can you repost or email me a copy?
[2018-01-12 12:10:23]
User379884 - Posts: 45
Hi,

It no longer works. One of the recent SC updates said it needed to be recompiled and the developer is unknown to do this.

Beacon Commodity Trading www.beaconcommoditytrading.com have developed an excellent indicator with an accurate trade reconstruction algorithm with the features required and more. I’ve been using for a number of weeks and very happy with it.
[2018-01-12 14:08:31]
Sierra Chart Engineering - Posts: 65034

One of the recent SC updates said it needed to be recompiled
Yes this is true. You really do need to get the source code. Where did you find the study ?
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.
[2018-01-12 16:12:06]
User379884 - Posts: 45
Yes tried to get the source code but no luck. No idea where the developer is. It was apparently written by a Russian chap from a Russian SC site years ago which is now no longer up.

But like I said Beacon wrote a new study which mimics the trade reconstruction algorithm and as well as the T&S ribbon puts the reconstructed trades into the chart with shapes and sizes depending on the trade size. It’s as accurate as a number of other trade reconstruction vendors I tested against.

So if one really wants an indicator such as this then this is an option (and it has a upgrade path).
[2018-01-12 19:45:00]
Sierra Chart Engineering - Posts: 65034
If you are looking for reconstructed trades, use the Sierra Chart Exchange Data Feed:

https://www.sierrachart.com/index.php?page=doc/SierraChartRealTimeFuturesStockDataFeed.php

This supports reporting the original summary trades from the CME. This only works with the CME.

You need the latest version of Sierra Chart for the option on the Time and Sales window and also in the Chart Settings to support this.

Refer to:
https://www.sierrachart.com/index.php?page=doc/TimeandSalesWindow.html#Settings
https://www.sierrachart.com/index.php?page=doc/ChartSettings.html#CombineTradesIntoOriginalSummaryTrade

And you can use this study:
https://www.sierrachart.com/index.php?page=doc/StudiesReference.php&ID=390&Name=Large_Volume_Trade_Indicator
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.
[2018-01-13 00:36:47]
User379884 - Posts: 45
Hi,

Yes this is a useful feature. If you believe that identifying large market orders is important to your system then it is not so useful. For market orders that go through multiple levels the CME reports as separate trades which is not useful if one is trying to determine the aggressor. On highly liquid instruments like the ES the CME reconstruction can sort of work, for something like CL it is not very useful and almost redundant for something like NQ. I know this is not a limitation of SC, rather its the way that CME reports the trades which SC is bound to in this instance so not taking a dig, just pointing out the difference.

The trade reconstruction algo used by Beacon (and many other non SC vendors) is not 100% accurate as this would be impossible, however it is still accurate enough to determine large market orders and absorption areas of large market order participants with a high degree of confidence. Also if one wants to trade other instruments outside of CME this is also useful.

Like I said the trade reconstruction algo is only important if you believe identifying market orders through multiple levels is important. If you don't have this belief then I'm sure the CME reconstruction provided by SC and other SC features will be more than adequate for identifying other useful volume patterns.

To post a message in this thread, you need to login with your Sierra Chart account:

Login


Login Page - Create Account