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Date/Time: Mon, 22 Apr 2019 07:07:48 +0000



Cumulative Volume at Time of Day Relative to Prior X Days

Support Request:
[2018-05-17 15:07:36]
User924725 - Posts: 26
hello support,

I wonder if you could help build this Study.
I understand that this is not your job to do it but many users might find it useful so Sierra could be more popular. Or another Sierra member with better knowledge on coding could build it.

The picture below shows that we are now 4415 contracts below the X day average for the time of day. The 4415 are number of contracts traded(volume) NOT for each 1min period but actual-total volume of the day by that time

It resets at Session start each Day.
As i see it is needed to include these factors.
A study that calculates cumulative actual contracts - volume that have been traded til time X of every day (This means at 18:00 NY session opening nothing is traded ....at 18:01 50 contracts traded, at time 18:02 another 100 contracts traded so total 150 and so on.
Then a calculation that it will compare day 1 volume traded at 18:01 with day 2 volume traded at 18:01 and so on for X number of days that user decides.
Then a moving average it is needed for the past X days to calculate the cumulative total contracts-volume traded at each period of 1min chart.

And then a calculation with formula that will plot the data as picture below

I am aware of the Relative volume study that is included in Sierra but i think its not the same thing but it could help to build the study i describe.

The study has been reffered on other sites on internet as Cumulative Sheep Index - CSI

I hope that i expresed it well.
Attachment Deleted.
imageCSI.png / V - Attached On 2018-05-17 13:00:22 UTC - Size: 9.69 KB - 105 views
[2018-05-17 18:44:08]
Sierra Chart Engineering - Posts: 71060
We will look over the Relative Volume study to see if it does this, if not we will see if we can enhance it to do this if it is not difficult.
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.
[2018-05-18 15:14:33]
John - SC Support - Posts: 819
Actually, this is quite easy to do. The Relative Volume Study already has an Average Volume Subgraph, so it is simply a matter of subtracting this from the current bar's volume.

We have created a Study Collection that has this put together. You can download the file here:
https://www.sierrachart.com/AdditionalFiles/CumulativeSheepIndex.StdyCollct

Follow these instructions to use this file:
https://www.sierrachart.com/index.php?page=doc/StudyCollections.html#UsingStudyCollectionProvidedBySierraChartSupport
[2018-05-20 19:08:00]
User924725 - Posts: 26
hello and thanks for the answer and your time.

I am not sure that this is what i was describing but maybe i am wrong....

To clear out something.

Does this study collection calculates the accumulated volume at time X of today (meaning the number of contracts traded until that time of the day?)

Example: (calculation looking 2 days back - PERIOD 2 DAYS)
1>Todays Open of the day at 18:00 = 0 contracts traded (New York open)
2>At 19:00 = 1000 contracts they have traded (accumulated volume) lets name this R
3>Yesterdays acummulated volume at 19:00 = 800 contracts(accumulated volume) ----> lets name this with letter A
4>Day before yesterday accumulated volume at 19:00 = 1500 contracts(accumulated volume) ----> lets name this with letter B

What i describe as accumulated volume is the SUBGRAPH (SG6) which you name Cumulative volume

5>So the result for this study collection to be correct would be
A+B/2 (800+1500=2300)/2= 1150 lets call this calculation C (this is the average of 2 days)
6> Compare the Average of 2 days by time 19:00 which we have named C(1150) with R(1000) which is the accumulated volume of today by time 19:00 and we see that today there have been traded less 150 contracts than the average of previous 2 days.

So the study collection should have a result of -150 at time 19:00 (supposing we have set it up to look back 2 days)

Is this what your study collection is calculating ? Because i think it is not and i think that Cumulative sheep index is
calculating the way i explained above.

Dont have other resource to crosscheck and compare but i think i expressed it right .
Date Time Of Last Edit: 2018-05-20 19:27:31
[2018-05-21 17:44:42]
Sierra Chart Engineering - Posts: 71060
You are correct. It is not doing the calculation you state. When we looked online for information on the Cumulative Sheep Index what we found was a reference to the current volume against the Average Volume for that time. So it is not looking at the Cumulative volume.

We will look into whether we can add this comparison of the Cumulative Volume.
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.
[2018-05-21 18:15:53]
John - SC Support - Posts: 819
We have added another new Subgraph to the Relative Volume study. It calculates the Cumulative Daily Volume minus the Average Cumulative Volume at that same time.

This will be in release 1749. When it is available, you can update to that release following these instructions:
https://www.sierrachart.com/index.php?page=doc/SoftwareDownload.php#FastUpdate

We have setup the study to allow you to turn on/off the subgraph through the Inputs. There are now extra Inputs - Display As Current Volume Average Volume Difference (displays the Current Volume minus the Average Volume at that time) and Display Cum Volume Cum Average Volume Difference (displays the Cumulative Volume minus the Average Cumulative Volume at that time). Refer to the documentation here for this:
https://www.sierrachart.com/index.php?page=doc/StudiesReference.php&ID=356&Name=Relative_Volume#Inputs
[2018-05-21 18:46:40]
User924725 - Posts: 26
come on guys.... why are you so fast and helpfull? :)


havent seen this anywhere else
its very impressive,


I am Amazed to be Sierra user and i am not the only one on this (i discuss with friends about Sierra).
I know that by your policy you prefer that i should not answer to your messages with greetings but i could not resist my self.

THANK YOU SIERRA
[2019-04-16 02:45:23]
apac - Posts: 25
It is amazing. And what most of us look for in a trading platform.

"Display Cum Volume Cum Average Volume Difference"

Is it possible to have that difference expressed as a percentage?
[2019-04-16 03:17:05]
Acro - Posts: 289
I think there is already a subgraph that does that - cum volume ratio
[2019-04-16 04:16:06]
apac - Posts: 25
Indeed there is! I should have looked harder. Personal pref would be for the graph to be drawn with positive and negative values, rather than above/below a drawn 100% line.

I think that for every question I have had for SC, the solution/method/functionality already existed. You are not flying with turkeys when you have these guys on your team.

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