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Direct MessagesDate/Time: Thu, 02 May 2024 19:56:22 +0000
Marcos Lopez De Prado -Alternative Bar Types
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| [2020-05-28 21:09:12] |
| vectorTrader - Posts: 86 |
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I am looking to see if Sierra Chart is able to some of the alternative bar types discuss ins MLDP that is discuss here. While Sierra chart already supports volume bars, I am tring to understand dollar value bar and imbalance bars. Are the delta volume bars the same that are discussed in this article? It seems to me that dollar bars, would be a bar that accounts for the transacted volume at price. So wouldnt this just be a volume @ price bucket set for say $1,000,000. How would one go about making a volume profile based on a fixed notional value rather than other bar methods? Also, it appears that the volume imbalance discussed in this article is the same as the delta volume bars that sierra chart has already in the system. Can you confirm as I would like to use Sierra to create the bar types for testing. I appreciate it! http://www.blackarbs.com/blog/exploring-alternative-price-bars |
| [2020-05-29 19:24:50] |
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We cannot allocate time to be looking over that link that you gave. As you already know Sierra Chart does support Volume per Bar and Delta Volume Per Bar: Chart Settings: Time Period Per Bar / Amount of Data Per Bar (Chart >> Chart Settings >> Bar Period menu) Sierra Chart also has an interface that allows for custom chart bars. Refer to the information here: ACSIL Interface - Custom 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 Date Time Of Last Edit: 2020-05-29 19:29:02
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