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Date/Time: Fri, 14 Jun 2024 16:40:52 +0000



[User Discussion] - Time and Sales combine same price and time

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[2014-02-07 16:26:45]
bwalks123 - Posts: 122
When combine same price and time is enabled does it combine the time and sales down to a second or millisecond?
[2014-02-07 20:11:12]
Sierra Chart Engineering - Posts: 104368
Down to the second.
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

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[2014-03-05 00:56:40]
Profile Trader - Posts: 168
I was wondering if something could be put together like what Jigsaw has done to reconstruct the tape for a large order on one side being filled with all small orders on the other side? There is a brief video about it here.

http://www.youtube.com/watch?v=n0svl38Xl3c

As an example: Lets say Institution A sells 100 contracts into the bid and the order is filled with 20 5 contact orders. on T&S this will show up as 20 transactions of 5 contacts. with the reconstructed T&S it will show up as a 100 contact sell. Not sure how they are doing it or if the data feed tags all those orders so someone can program something to repackage them? Maybe another way to do it is zero in to the ms field and then combine all the orders that are consecutive in milliseconds. so if you have 12:25:04.001,002,003 and then you have 005 you would combine 1,2,3 all together as one trade.

Thanks,

Doug
[2014-03-07 17:21:32]
Profile Trader - Posts: 168
Sierra Chart Engineering...

As I posted above, having the ability to do this would be idea, but having the ability to combine by the second is very helpful and a great starting point too work off of. I have been using it this way and one of the things I am trying to accomplish as well is some filtering rules. As I play around with the current parameters if I place a filter for volume size it will filter before the "combine records with same time and price" is processed. I would like to have it combine first and then filter. Could you look into having that ability or is there something that I am missing that would allow this to happen?

So the end result would be if someone only sold 1 contract with in a second it would be filtered out but if someone sold 50 contacts into the bid and 50 1 lot trades went off and you had your filter set to 49 or less this 50 lot sell would show up.

Thanks,

Doug
Date Time Of Last Edit: 2014-03-07 17:23:11
[2014-03-27 13:45:40]
User18268 - Posts: 8
https://www.sierrachart.com/Download.php?Folder=SupportBoard&download=2348
I wrote it in the subject
you must make filters with different parameters tape
especially when the option " combine by the second "
I made a screenshot tape tradstation should do the same in sierra
Date Time Of Last Edit: 2014-03-27 13:46:16
imageлента трейд стейшен.png / V - Attached On 2014-03-27 13:42:22 UTC - Size: 206.97 KB - 883 views
[2014-03-27 15:11:05]
Profile Trader - Posts: 168
Hello User18268,

I am not sure I completely understand your message. I use TS and SC and would like to find a solution to reconstruct T&S. I have seen what Solidus has done in the TS forum but was looking for something more like what you showed a screenshot of. Are you saying you wrote something in TS that will reconstruct the T&S? and are you also saying you are currently writing something in SC too do the same?

Feel free to hit me up on skype at: dougrkyle to discuss there are several up us that are brainstorming about how to build this.

thanks,

Doug

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