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Date/Time: Thu, 28 Mar 2024 22:23:57 +0000



Questions Regarding Volume Profile (volume at price), Session Volume, and Footprint Charts

View Count: 1061

[2021-02-25 00:21:12]
Kushal - Posts: 9
Hello,

Hope you're doing well.

I had a few questions regarding the supported features. Please see below:

1.) Are Volume Profile (volume at price) and Session Volume indicators supported for Stocks? If so, do the Volume Profile and Session Volume indicators use Level 2 data for their calculations? If not, how is the delta volume (buy/sell volume) calculated and differentiated for the Volume Profile and Session Volume indicators?

2.) Are Footprint Charts supported for Stocks?

3.) Is there any supported integration with Interactive Brokers?

Looking forward to hearing from you.

Thanks!
[2021-02-25 14:59:14]
John - SC Support - Posts: 30444
1. The Volume by Price graphs are supported for Stocks. The Volume by Price uses actual traded volume for its calculation, not the Market Depth. Therefore Level 2 data is not used in the calculation at all.

2. Yes, Numbers Bars (Footprints) charts are supported for stocks.

3. Yes, you can connect Sierra Chart to Interactive Brokers.
For the most reliable, advanced, and zero cost futures order routing, use the Teton service:
Sierra Chart Teton Futures Order Routing
[2021-02-25 18:27:25]
Kushal - Posts: 9
How does the Volume by Price differentiate between buy volume and sell volume without Level 2 data?
[2021-02-25 18:55:53]
John - SC Support - Posts: 30444
Volume by Price is not using the Market Depth data. It is using the actual trade information. For how we determine whether a trade is at the Bid or Ask, refer to the definitions here:
https://www.sierrachart.com/index.php?page=doc/NumbersBars.php#BidTrade
For the most reliable, advanced, and zero cost futures order routing, use the Teton service:
Sierra Chart Teton Futures Order Routing
[2021-02-25 20:27:15]
Kushal - Posts: 9
For the Footprint charts I'd require historical tick level 2 data correct?
[2021-02-25 21:01:13]
John - SC Support - Posts: 30444
The Footprints use the same data as the Volume by Price (actual trades). And yes, the Numbers Bars (Footprints) require tick-by-tick (trade-by-trade) data. This is available through the Sierra Chart Data Feeds.

When you refer to "Level 2", we are using the same definition that is used here:
https://www.investopedia.com/terms/l/level2.asp
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: 2021-02-25 21:01:54
[2021-02-25 21:08:20]
Kushal - Posts: 9
I was looking for your data feed pricing at the following link below but could not find any options for Level 2 data for stocks on NYSE, Nasdaq, or AMEX. It only listed Level 1 data for $10.50. Do you offer Level 2 data and if so, how much would it cost?

Sierra Chart Exchange Data Feed
[2021-02-25 21:17:15]
John - SC Support - Posts: 30444
We do not have Level 2 data for our Stock data.
For the most reliable, advanced, and zero cost futures order routing, use the Teton service:
Sierra Chart Teton Futures Order Routing
[2021-02-25 21:22:33]
Kushal - Posts: 9
Which data providers do you support which offer historic Level 2 tick data for stocks?
[2021-02-25 22:43:04]
John - SC Support - Posts: 30444
You can get the data into Sierra Chart using Interactive Brokers. Refer to the information here:
Interactive Brokers Trading Service

Or you can use the IQFeed and view the Level 2 data within their application, but get the rest of the data in Sierra Chart:
DTN IQ Feed Data Service
For the most reliable, advanced, and zero cost futures order routing, use the Teton service:
Sierra Chart Teton Futures Order Routing
[2021-02-25 22:54:58]
Kushal - Posts: 9
Do you support Kinetick or any other data providers? Interactive Brokers doesn't support historic tick level 2 data for stocks. IQFeed supports it but its very expensive, nearly $250/month for NYSE, Nasdaq, and AMEX.
[2021-02-26 12:17:59]
Sierra Chart Engineering - Posts: 104368
We will be providing a new NASDAQ data feed with level 2 data in about two months.
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
[2021-02-26 17:51:22]
Kushal - Posts: 9
Any rough idea how much it would cost?
[2021-02-26 23:35:38]
Sierra Chart Engineering - Posts: 104368
No not yet and you do not need level 2 data for either Numbers Bars or Volume by Price.
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
[2021-02-26 23:42:43]
Kushal - Posts: 9
How do you calculate and differentiate between bid and ask volume for each price level without level 2 data (for the Footprint charts - Number Bars)? I thought that level 1 data only contained total volume and no distinction between bid/ask volume by price?
[2021-03-01 21:10:23]
Sierra Chart Engineering - Posts: 104368
Refer to Numbers Bars Definitions for an understanding of this:
Numbers Bars: Definitions
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
[2021-04-29 23:51:08]
Kushal - Posts: 9
Thank you for all the information that really helps to clarify things.

Any update on the Level 2 data feed or how much it will cost and when it will be available?
[2021-04-30 13:21:20]
John - SC Support - Posts: 30444
No new news on the new stock data feed we are working on. We have been busy with other priorities. Any new information will be posted as a Sticky on the top of the Support Board.
For the most reliable, advanced, and zero cost futures order routing, use the Teton service:
Sierra Chart Teton Futures Order Routing

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