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Chart Market Depth for top 25 percent (75 - 100) of visible area only

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[2019-06-05 00:31:23] #1 [Go To First Post]
User972768 - Posts: 166
Hello, I can't find combination of parameter values of the Market Depth Historical Graph study to chart only top 25% of depth and leave everything else as transparent (or not chart it at all). The closest parameter to filter out lower depth is In:8 "Graph only quantities greater or equal to". But the issue with this approach is that I have to know ahead of time what to filter out. Sometimes bids and offers get so wide spread at certain price levels that I need to adjust this static parameter to higher values and then back to remove all this noise from my chart. I've tried to set Range 1 & 2 ask and bid values to Black (RGB 0,0,0), but then it just covers my chart with black colors Attempt to manipulate In:23 "Percent Color thresholds" didn't help either. Is it possible to tweak this study to work as I want it to: - goal #1: show only top 25% of liquidity - goal #2: use transparent color / don't chart at all anything below 75% And all of this for viewable area only. Thanks and best regards

[2019-06-05 14:29:33] #2 [Go To First Post]
User98657 - Posts: 304
To piggy back on this I'd like to suggest the following enhancement if possible: I've manipulated my Min and Max Range 0 - 3 values. And by doing this in combination with In:8 I'm able to effectively filter out lower values i don't want to see. However, I still have to go into the study and manually adjust the maximum quantity for coloring (In:12) in order to accurately display intensity based on current values. What's missing is the ability for the study to dynamically adjust this number based on the current visible max value of the book. From day-to-day, hour-to-hour, or even minute-to-minute for some of use that max value is always changing. On a decent day i need that value set at 1000. Right now, today, as i'm writing this, the max value needs to be set at 500. If you could provide an option to dynamically adjust the value of In:12 I think you'd have it.

[2019-06-05 14:31:43] #3 [Go To First Post]
John - SC Support - Posts: 31272
This capability already exists. You want to use the Input for Value Type for Graph Only Quantities Greater Than or Equal To and set it to Percent. Then in the Input below that one for Graph Only Quantities Greater Than or Equal To enter 75. Then only the top 25% of the depths will be colored. You will find the documentation for these Inputs starting here: https://www.sierrachart.com/index.php?page=doc/StudiesReference.php&ID=375#StudyInputs_ValueTypeForGraphOnlyQuantitiesGreaterOrEqualTo Keep in mind that the full range of colors (Range 0 through Range 3) will be used for this 25% and will be separated by the values entered in the Percent Color Thresholds. If you only want to use one range of colors, then enter 0, 0, 0 for the Percent Color Thresholds and then only the Range 3 colors will be used. The first Input was added a few months ago, so it may be possible that you need to upgrade to a more recent version, depending on what version you are running. Refer to the following for using the Fast Update option: Software Download: Fast Update For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing

[2019-06-05 14:49:09] #4 [Go To First Post]
User972768 - Posts: 166
Thank you John for quick response and provided solution. I will check it after market close today and report back

[2019-06-05 15:40:41] #5 [Go To First Post]
User98657 - Posts: 304
John, if i'm understanding what i'm seeing on my chart correctly, the value type only affects the lower cut off, correct? it does not dynamically react to the highest values shown on the book. The Max value is still determined by In:12, correct? All of the ranges and shading percentages are based off of that maximum value, correct? I'm not explaining myself very well i'm afraid. The study does react to the highest value in the book, but only as it relates to the lower cut off of what's being colored on the chart, is that correct? I'm asking that the study be allowed to use the highest value shown on the book as the value for In:12 and that the relative shading of the ranges be based off that number. That way the study will always provide relevant data - relative to what's actually taking place in the market. Date Time Of Last Edit: 2019-06-05 15:44:12

[2019-06-05 16:55:39] #6 [Go To First Post]
John - SC Support - Posts: 31272
I'm not sure I fully understand. Right now if Input 12 (Maximum Quantity for Coloring) is set to 0, then the Maximum value found within the visible bars is used as the Maximum depth when determining the colors. You can then use this along with setting a Percentage for the Graph Only Quantities Greater Than input to only display a particular percentage of the range of depths in the visible bars in the chart. This sounds like what you are asking for, therefore you do not need to constantly change that Input, just set it to 0 and it will constantly adjust. Refer to the information in the Block Coloring Logic section for how the colors are determined and how these inputs affect the colors: Market Depth Historical Graph: Block Coloring Logic For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing

[2019-06-05 19:25:50] #7 [Go To First Post]
User98657 - Posts: 304
That's what i thought (or hoped) too, but that doesn't seem to be what's happening. I have the following set up: In:23 set to .40, .60, .80 in:5 set to 15 In:12 set to 0 In:15 set to Percentage When i set Input 12 to zero the entire chart goes dark - no shading at all. This was a surprise. i was hoping setting it to zero (0) would make it refer to the max book value. if it didn't do that I thought it would set everything to full brightness, but it didn't do either of those, it went all dark in stead. Date Time Of Last Edit: 2019-06-05 19:27:37

[2019-06-05 20:14:59] #8 [Go To First Post]
John - SC Support - Posts: 31272
Can you please attach your chartbook with just the one chart that has just the Market Depth Historical Graph on it to this thread. You will find the information on how to attach the chartbook here: Support Board Posting Information: Providing Chartbook with Only a Single Chart For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing

[2019-06-05 20:26:47] #9 [Go To First Post]
User98657 - Posts: 304
attached.


OrderFlow for SC.Cht - Attached On 2019-06-05 20:26:27 UTC - Size: 39.65 KB - 313 views

[2019-06-05 22:06:59] #10 [Go To First Post]
John - SC Support - Posts: 31272
Removed. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2019-06-06 13:43:51

[2019-06-05 22:37:38] #11 [Go To First Post]
User98657 - Posts: 304
I think i understand what you're saying, and i've read the documentation on this input, but that is not what I'm seeing on the chart. if i set input 12 to zero, nothing colors on the chart. Based on what you're saying i should see a multitude of graduated rectangles on the chart all based off of the values i've set up in ranges 0 - 3, and relative to the max book value of chart at any current time. That's not happening. When i set it to zero i see nothing on the chart. if i set that value to 600, and any price in the book has a value of 600, that price will be the max/brightest color i've specified. If i set that value to 1,000, and the highest value at any price is 800, that price would reflect the max color shown on range 3 (assuming i've used .40 .60 a d .80 percentage values for input 23). If that's not how it works, please correct me, because that's how it seems to work. If all the values in the book are greater than 100, and range from 100 to 250, and i set input 12 to 100, each price level displays the max color. if i were to set that value to 1,000 almost nothing will color. What the documentation describes is exactly what i'm looking for, but that's not what's happening in the chart. please look at what i sent you and please tell me what i'm missing.

[2019-06-06 14:01:44] #12 [Go To First Post]
John - SC Support - Posts: 31272
We removed our previous post, as it was not stating the correct information. The Maximum Quantity for Coloring does establish the Maximum value. So it does work in the same way as the Graph Only Quantities Greater Than or Equal To sets the the minimum value. Now, that being said, what you are seeing is related to your setting for Graph Only Quantities Greater Than or Equal To. You have this set to 50%, and when you have Input 12 (Maximum Quantity for Coloring) set to 600, it then sets the minimum value to color at 300. But when you change Input 12 (Maximum Quantity for Coloring) to 0, it then uses the Maximum value found within the visible bars, which then shifts the minimum value up (for example, if the Maximum value found is 800, then the minimum quantity to color becomes 400), which then causes more bars to not color. Here are some screenshots from your chartbook to help. First, the chartbook with your settings as you sent it. Here are the important parameters: - Maximum Quantity for Coloring = 600 - Graph Only Quantities Greater or Equal To = 50% (equates to Graph only quantities greater than 300) - Maximum Volume in Visible Bars = 690 http://www.sierrachart.com/image.php?Image=1559829556874.png Next, with a change to the Maximum Quantity for Coloring to 0: - Maximum Quantity for Coloring = 600 - Graph Only Quantities Greater or Equal to = 50% (equates to Graph only quantities greater than 345) - Maximum volume in Visible Bars = 690 http://www.sierrachart.com/image.php?Image=1559829594392.png And finally with a change to the Graph Only Quantities Greater or Equal to set to 0: - Maximum Quantity for Coloring = 600 - Graph Only Quantities Greater or Equal to = 0 - Maximum volume in Visible Bars = 690 http://www.sierrachart.com/image.php?Image=1559829673580.png For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing

[2019-06-06 14:55:38] #13 [Go To First Post]
User98657 - Posts: 304
Ok, thanks. I think this brings us back to my original enhancement request. We need this study to adjust to changing market conditions and we need some way to tell it to not work off of a fixed number (Input 12), but rather the max value displayed in the order book. I would like to see Input 12 operate similar to Inputs 8 & 15 - either by a hard number, or by a percentage.... Your documentation for Input 12 is spot on. Can you make it work as originally described in the documentation? For example: I set my max bar coloring value to 800 All prices with values >= 800 will show full brightness even if there's one price level with a value of 2000. if the max value shown on the book is 500, then 500 becomes the brightest color and all the other ranges will work off that max value. Without the maximum value being adjusted to the current order book the study requires constant manual attention in order to display meaningful visualization. I realize that in extreme market conditions this value may still need to be adjusted, but those are rare instances where the entire book is filled with such extreme values.

[2019-06-06 15:43:40] #14 [Go To First Post]
John - SC Support - Posts: 31272
We are very confused by these last set of statements, as what you state is exactly the way it does work and matches what is in the documentation. The one statement that we did not include in our previous post was that if the maximum value within the bars is less than the value entered in Input 12 (Maximum Quantity for Coloring), then the study uses the Maximum Value within the bars. But, we think we understand what it is that you are asking for, although we do not know how easily it could be accomplished. What we think you want is the ability for the system to recognize outliers of the depth and adjust the Maximum Depth Value to ignore these outliers. For example, if you were to create a distribution of the depth values and then use the depth value that is the average plus 2 standard deviations as the Maximum depth value. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing

[2019-06-07 23:34:47] #15 [Go To First Post]
User695518 - Posts: 50
I agree that being able to dynamically filter out some of the "noise" on the market depth study would be a fantastic Enhancement Request!

[2019-09-23 02:50:08] #16 [Go To First Post]
Acro - Posts: 436
I'm adding to this thread as it is relevant and already has some good posts. Re the dynamic filter mentioned in post #15, one thing I would suggest would be the option to have the study automatically set the inputs for Minimum (Input 8) and Maximum (Input 12)based on the current minimum and maximum DOM bid/ask quantities for the price levels visible on the chart - see attached screenshot to see exactly what I mean by these minimum and maximum visible DOM values. This would enable the graph to dynamically compensate for changes in the DOM and require less manual intervention to change those two inputs during the course of a session to get a more meaningful graph. Perhaps the setting could be 10% above max visible DOM level and 10% below min visible DOM level to give some leeway to this. Thanks for considering this


190923_1042_56.png / V - Attached On 2019-09-23 02:46:06 UTC - Size: 20.09 KB - 282 views

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