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Direct MessagesDate/Time: Fri, 19 Apr 2024 04:55:28 +0000
[Programming Help] - ACSIL historical tick by tick processing for indicator
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| [2018-12-11 05:38:15] |
| User19165 - Posts: 346 |
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Hi Sierra staff, I want to write my own custom volume delta indicator that will allow me to filter out large trades. The problem is maybe exclusive to HKEX data, but barcharts feed will put through block trades into the data. These block trades at HKEX are happening off the book through the block trade facility and have no impact on book liquidity or meaningful direction, that I have been able to discern. During the monthly rollover, this is making the volume delta nearly useless for 3-4 days before the roll. I would like to be able to filter out large orders that exceed the inside bid/ask size by a certain multiple. Ideally I would be able to load up a historical chart and this indicator recalculate on a tick by tick basis - is this possible? |
| [2018-12-11 06:44:25] |
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You certainly can create your own custom chart bars and then you can apply filtering at that level by just not including the data in the bars. Refer to: ACSIL Interface - Custom Chart Bars Also, this issue you are describing is not some kind of a Barchart data issue. They actually get their data from CQG which gets the data from the exchange. The data is what it is. 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: 2018-12-11 06:45:10
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| [2018-12-11 06:50:15] |
| User19165 - Posts: 346 |
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Thank you. If I understand you correctly, you are suggesting that I create custom price bars and then apply the built-in volume delta chart to my custom price bars? I hadn't thought of doing it that way....neat idea if I have your understanding right. I did not mean to imply it was erroneous data from barcharts, I was just trying to describe why I wanted to code this modified volume delta. |
| [2018-12-11 21:14:35] |
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No. The custom chart bars you create are completely independent of the Sierra Chart settings for chart bars.
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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