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Delta Volume by price

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[2018-09-25 08:05:32] #1 [Go To First Post]
AKR - Posts: 523
I have searched the board and found some similar/same? topics, but no final answer to me. Is there a way to display the delta volume (not cumulative) per bar per price. Actually the same as study "Number Bars Avg Volume/Price Graph", just not with total Volume but Delta Volume? So eg. there is 1000 volume on Ask and 500 volume on Bid. So Delta is 500. I am displaying eg a one minute bar and that bar has a range of eg 4.5 points. so What I want to see is the 500 / 4.5 (as a bar) = I want to see how much delta volume was needed to move the price one point (or one tick).

[2018-09-25 14:17:36] #2 [Go To First Post]
John - SC Support - Posts: 31098
Just to make sure we understand, what we are reading from your description is that you would want to have Average Delta Volume per Point (or do you want per Tick). This would be an item that would be added to the Numbers Bars Calculated Values 2 study. You are not asking to have the Numbers Bars display the Delta Volume at each price level as an option for the Text Display. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing

[2018-09-25 15:30:24] #3 [Go To First Post]
AKR - Posts: 523
Yes exactly, first paragraph. Point or Tick is not so important, was asking for both in case one exists already. If I can choose I´d take tick. If this could be a graph like the "Number Bars Avg Volume/Price Graph" I´d find better than figures in the number bars.

[2018-09-25 21:03:01] #4 [Go To First Post]
John - SC Support - Posts: 31098
We will put it into the Numbers Bars Calculated Values as per tick, as that is where we have the access to this data. You can use the Study Subgraph Reference to turn it into a line, if that is what you prefer. Give us about a month or so on this, as we are just behind on these kind of items and there are a few things we need to get done first. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing

[2019-01-11 12:22:23] #5 [Go To First Post]
AKR - Posts: 523
is this already in the NB calcualted values? if so, what is it called? thx

[2019-01-11 15:33:44] #6 [Go To First Post]
John - SC Support - Posts: 31098
We have not had a chance to get to this as we have had other priorities. Hopefully in the next few weeks. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing

[2019-01-11 17:46:59] #7 [Go To First Post]
AKR - Posts: 523
no issue.

[2019-02-27 17:36:26] #8 [Go To First Post]
whats1thingnow - Posts: 407
We will put it into the Numbers Bars Calculated Values as per tick, as that is where we have the access to this data. You can use the Study Subgraph Reference to turn it into a line, if that is what you prefer. +1 love sc !!!

[2019-03-09 01:36:04] #9 [Go To First Post]
User770116 - Posts: 6
Any update on this? Thanks

[2019-03-09 16:59:21] #10 [Go To First Post]
John - SC Support - Posts: 31098
Sorry, again, we are just busy with other things so we have not had a chance to get to this. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing

[2019-03-10 21:45:20] #11 [Go To First Post]
User19165 - Posts: 346
I was actually just looking for this in the number bars calculated study on the weekend. I thought surely it is there....but no. Looking forward to seeing this addition - thank you SC.

[2019-03-11 23:06:43] #12 [Go To First Post]
John - SC Support - Posts: 31098
Again, our apologies for how long this has taken. We have added in a new Subgraph to the Numbers Bars Calculated Values 2 study for Ask Volume Bid Volume Difference Per Tick. The documentation for this can be found here: Numbers Bars: Numbers Bars Calculated Values 2 Subgraph Descriptions For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing

[2019-03-12 09:21:33] #13 [Go To First Post]
AKR - Posts: 523
great thx, no issue for the time, happy you do things like that at all. one comment to your calculation: "... then the displayed value would be -71.43 ((1000 - 1500) / (((2602.00 - 2600.5) / 0.25) + 1)." I dont agree that you add the "+1" at the end. yes the price may span 7 ticks, but it moved 6 ticks. and my intention was to know how much delta volume was needed to MOVE the price. the difference of course gets smaller the bigger the range was, but it could be just from 0.5 to 1.00. then you divide by either 2 or 3 and thats quite a difference. 2.600,50 starting point, no move 2.600,75 1st move 2.601,00 2nd move 2.601,25 3rd move 2.601,50 4th move 2.601,75 5th move 2.602,00 6th move

[2019-03-12 09:29:53] #14 [Go To First Post]
AKR - Posts: 523
Im on version 1882 64-bit (26436) dont find the change in the study, or do I need to download PreRelease?

[2019-03-12 16:21:08] #15 [Go To First Post]
John - SC Support - Posts: 31098
The update will be in release 1883, which is not out yet. It is usually only a day or two before the next Pre-Release comes out. With regards to the calculation, yes, it could be done either way, but in looking at it, the decision was to do it the way we did it in order to match to the Numbers Bars study itself where the number of ticks is reflected in the number of rows in each of the Numbers Bars. If you want a different calculation, you can use the Spreadsheet Function, or the Arithmetic studies to adjust the values to what you would want to have. You can use the Bar Duration Study to get the number of ticks. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing

[2019-03-13 07:11:13] #16 [Go To First Post]
AKR - Posts: 523
well no I dont want to "play around" with the spreadsheets, it will cost me days to get familiar with how doing it. I think the calculation should not be decided in a way to match some other study output or rows or what so ever. who cares if that matches? it is clearly not right to do it like you do. the intention was to see what buying or selling pressure is needed to move the price. and if it goes from 0.25 to 0.5 it MOVED one tick and not two. eg there is a delta of +500 and price goes up a tick. so the output should be 500 and not 250. With all respect, but 250 is completely wrong. imo the aim/goal needs to be to provide most accurate output not matching what ever else. there is a documentation anyway so anybody wondering why the number of ticks is different somewhere else in the study can read the reason. anyway, you wont change it I guess, but to me it makes little sense to use it that way which is a pity as it was me asking for it.

[2019-03-13 07:56:20] #17 [Go To First Post]
User19165 - Posts: 346
I have to agree with AKR in post #16 here. Not really the intention of what we traders are trying to measure and assess. Your calculation will have erroneous representation depending on the bar range and this makes comparative analysis pretty useless. I hope you would reconsider your calculation.

[2019-03-13 13:57:19] #18 [Go To First Post]
John - SC Support - Posts: 31098
We have gone ahead and updated the calculation so it just uses the range of the ticks, and we have updated the documentation. This means that any bar that has only 1 price level will show a value of 0 for this Subgraph. Again, look for this in the next Pre-Release v 1883. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing

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