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Direct MessagesDate/Time: Sat, 04 May 2024 04:45:05 +0000
What is Large Volume Trade Indicator basing trade size on?
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| [2019-09-23 18:37:47] |
| cmet - Posts: 537 |
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I've been over the documentation where it states that size is based on a "Volume Threshold": Volume Threshold: This Input specifies the volume that a trade needs to be greater than or equal to for it to be considered a large volume trade and have a marker displayed for it at the chart bar and price level where the trade occurred.
Question: When it comes to "the volume that a trade needs to be", is this based on a matched market order across the spread of that particular size, or is it based on a market order matched against any combination of liquidity across the spread (1, lots, 6 lots, 10 lots, etc.)? Also, I read in another thread on this study (from 2017) that functionality would be added that allowed for combining trades. I assume this meant combining trades at the same price/time to determine size - which is something that is available via Time and Sales. I do not see any such functionality in the current Large Volume Trade Indicator study. Can this still be added? Allowing this study to determine large trades by using "same price/time" the same way Time and Sales does gives a very reliable representation of large order sizes being executed (at least for Futures). Date Time Of Last Edit: 2019-09-23 18:39:42
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| [2019-09-24 15:02:39] |
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The trade volume/quantity is simply from a single trade reported from the data feed. It is that simple. For the second question, this is supported through this option: Chart Settings: Combine Trades into Original Summary Trade (Data Feed and Exchange Specific) (Chart >> Chart Settings >> Chart Data >> Chart Data menu) 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: 2019-09-24 15:02:51
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