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Direct MessagesDate/Time: Sun, 19 May 2024 12:02:27 +0000
Please Consider Average Trade Size For Numbers Bars Text
View Count: 1369
| [2018-09-04 18:12:28] |
| cmet - Posts: 538 |
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This is very useful for gauging aggressive participants.
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| [2018-09-05 00:56:58] |
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If it is just a matter of dividing the volume at a price level by the number of trades, this is no problem for us to add.
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: 2018-09-05 00:57:17
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| [2018-09-05 01:52:17] |
| cmet - Posts: 538 |
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Would it be possible to first combine all volume with same price/time (like you can do in the Time and Sales) and then run the division? This would reduce the number of trades by combining a great deal of the 1-2 lots that are inevitably executed when someone dumps a big market order in the the bid/ask. All volume executed with the same timestamp is very likely to be from the same order so it gives you a better indication of actual trade size (at least for CME products). Date Time Of Last Edit: 2018-09-05 01:53:38
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| [2021-06-08 12:31:02] |
| CoryW - Posts: 16 |
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I think you would need to access the MBO data to have those timestamps correct? Any progress on this? Thanks!
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| [2021-06-08 15:54:40] |
| John - SC Support - Posts: 31704 |
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If you are using the Denali Exchange Data Feed, then you would just want to ensure that the option for Chart >> Chart Settings >> Combine Trades into Original Summary Trade is Enabled. You will then get the Average Trade Size based on what the entered trade size was to the market. Refer to the following: Chart Settings: Combine Trades into Original Summary Trade (Data Feed and Exchange Specific) (Chart >> Chart Settings >> Chart Data >> Chart Data menu) For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2021-06-08 18:48:22] |
| CoryW - Posts: 16 |
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Thank you!
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