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Direct MessagesDate/Time: Mon, 06 May 2024 17:12:09 +0000
Market Statistics for Intraday
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| [2019-07-03 14:29:39] |
| User718798 - Posts: 4 |
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Hello SC Support In a custom study i want to process market statistics for intraday purpose. I need the AD-Ratio (ADR-SP) and the UDVR-SP. As it is for intraday purpose i need the data not compared to prior close of day but to the prior bar close (for example prior 5 minute bar). In document Sierra Chart Market Statistics: Calculations and Algorithms is stated: Market Statistics Bid Volume: All market statistics maintain Bid Volume for Intraday data. [...] When looking at the Bid Volume in a chart, a value of 107 for a 1 minute Intraday bar indicates that the market statistic had 107 lower values for that bar. The same is stated for Ask Volume the other way around. To understand the data i have made a workbook with symbols ADV-SP, DECL-SP, NISS-SP and ADR-SP - and attached to each a "BidVolume vs AskVolume" study. Now i am not sure how to interpret the data. I expected that the bid-ask difference from the advances (ADV-SP) minus the bid ask differences from the declines (DECL-SP) would match the bid-ask differences from the NISS-SP. But that is not the case. Also i would have expected that the the bid-ask differences from ADV-SP divided by the bid-ask differences from DECL-SP would match the ADR-Ratio bid-ask differences. But that isn't the case neither. I attached a screenshot. How can i get the ADR-SP and UDVR-SP for intraday purposes (Changes compared to prior bar close)? http://www.sierrachart.com/image.php?Image=1562163869782.png |
| [2019-07-05 16:41:09] |
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This is a very complex request for us to look into. It is definitively something we cannot allocate any time to.
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: 2019-07-05 16:41:20
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| [2019-07-05 17:18:11] |
| User718798 - Posts: 4 |
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I can understand that this has a certain degree of complexity. But could you state if my interpretation of your manual regarding market statistics (Sierra Chart Market Statistics: Calculations and Algorithms) is correct or not, then i know at least if im going into the right direction. So my question is: Does the NISS-SP, and NVOL-SP hold the declines and advances respectivly the upvolume and downvolume changes compared to the last bar in the Bid/Ask data? I think that the use of market statistics for intraday mainly makes sense compared to last bar and not to prior day close. So this might be of intrest for other market statistics users as well. Date Time Of Last Edit: 2019-07-05 17:50:31
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| [2019-07-08 09:30:55] |
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So my question is: Does the NISS-SP, and NVOL-SP hold the declines and advances respectivly the upvolume and downvolume changes compared to the last bar in the Bid/Ask data? We do not understand the question and it also requires careful analysis. That is not something we can spend time on.Those two symbols do use the prior day closing price to determine whether an individual symbol used in the calculation is considered up or down. 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: 2019-07-08 09:32:19
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| [2019-07-08 13:32:02] |
| User718798 - Posts: 4 |
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Ok thanks anyway for taking time to reply. I could calculate this with a quoatboard/spreadsheet or custom study but would need to have a suitable data feed for all S&P500 symbols. I see that you offer the SC data feed for up to 500 realtime symbols. Would you recommend the SC feed for this or which feed would be best suited? I need realtime data with around a 1sec update intervall or faster. I also have an interactive brokers account but don't use IB data. What would be the requirements to process this amount of data for hardware and internet connection, dou you have experience with that? The calculation is simple, i would just compare per symbol the actual price to the last close and how much volume has traded since the last close. Then the ratios can be calculated. |
| [2019-07-09 08:35:00] |
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Would you recommend the SC feed for this Yes this will work. We use the same data feed for the SC Market Stats.What would be the requirements to process this amount of data for hardware and internet connection, do you have experience with that? Nothing out of the ordinary according to current hardware standards.
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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