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Date/Time: Thu, 28 Mar 2024 10:58:31 +0000



Volume By Price values calculation

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[2021-07-19 16:07:36]
User893505 - Posts: 5
Hello,

I would like to ask for a help with Volume By Price indicator. I am trying to understand how the values (shown for Total Volume) are calculated when they are shown in a 0.5 point boxes. Which price value is the box/number sum for? Because for example, when I filter one single day, I can see number above the maximum of the previous day (please see the picture), for what price is this calculated and how please?

Thank you very much in advance.
[2021-07-19 19:08:41]
Sierra Chart Engineering - Posts: 104368
Your Sierra Chart account which you have logged into this Support Board with is expired. So we know what Sierra Chart account you are using, go to Help >> Support Board from within the Sierra Chart desktop program and then post in this thread telling us this is done.
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
[2021-08-02 10:51:03]
User58008 - Posts: 32
Hello,

I am sorry, my Google Chrome auto-logged in one of my old Sierra chart accounts, this is the account I use for several years, thank you very much for your reply.

Lukas
[2021-08-02 15:43:05]
John - SC Support - Posts: 30399
The Input on the Volume by Price study for Ticks per Volume Bar determines how many price ticks are composited together to determine a single bar in the VbP. Refer to the following:
Volume By Price Study: Ticks Per Volume Bar

We are not sure this answers your question, so if you still have a question please let us know the specifics so we can get you an answer.
For the most reliable, advanced, and zero cost futures order routing, use the Teton service:
Sierra Chart Teton Futures Order Routing
[2021-09-20 18:39:19]
User58008 - Posts: 32
Hello,

thank you very much for your reply, but I still have a question about the source of the data:

Simply, what is the source of the data for the VbP calculation? I am trying to understand the indicator and getting an idea for my own automated system, so I thought that the data is taken from the exported intraday/bar data, but these data are sorted by time, its open/close/high/low values, but through this way I cannot get the volume information about each tick price. How could I solve this or what is the source of the data that VbP works with?

Thank you
[2021-09-21 00:00:00]
John - SC Support - Posts: 30399
You are correct, the VbP works on the given trade data that is stored with the Intraday data (files that end in .scid).

It sounds like you were looking at the Daily (.dly) files, which do only have Open/Close/High/Low/Volume in them. Which is why the VbP does not work properly on a daily and higher timeframe chart that uses the historical daily data.

We're not sure exactly what you are looking for in terms of the data, but here is where you will find the format for the .scid files:
Intraday Data File Format

And if you want to get the data in a text format, then you can always export it. Refer to the information here:
Exporting and Importing Intraday Data Files: Export and Edit
For the most reliable, advanced, and zero cost futures order routing, use the Teton service:
Sierra Chart Teton Futures Order Routing
[2021-09-21 15:24:38]
User58008 - Posts: 32
Thank you again.

I think I am doing the export right, but still I am not sure what tick price (chart value) is the Volume equal for? Because when you export Intraday data, all you can see is volume given for certain period of time, let´s say a minute/second and then there are values for High, Low, Last, Open, but these 4 prices can be totally different, so what tick price is the Volume value valid for?

I enclose print screen for this... or could you just simply tell me based on the export, what Volume data is relevant for which price?
imageSnímek obrazovky 2021-09-21 172409.png / V - Attached On 2021-09-21 15:24:28 UTC - Size: 27.09 KB - 136 views
[2021-09-21 15:25:37]
User58008 - Posts: 32
or just step by step how to get volume data relevant for each tick price for the day? Like some kind of export where I can see that on the certain price was Volume "2250" etc. Or step by step instruction how to export and summarize such data?

Thank you
[2021-09-21 16:44:33]
John - SC Support - Posts: 30399
If you are just looking for the volume information per bar in the VbP, then refer to this Input on the Spreadsheet Study which will give you the data in the Spreadsheet. You can then do what you want to with it from there:
Spreadsheet Study Inputs: Output Volume at Price Data
For the most reliable, advanced, and zero cost futures order routing, use the Teton service:
Sierra Chart Teton Futures Order Routing
[2021-09-21 16:49:38]
User58008 - Posts: 32
and how can I export spreadsheet like this please?
[2021-09-21 17:32:31]
John - SC Support - Posts: 30399
Refer to the following:
Working with Spreadsheets: Different Methods to Get Data Into and Out of Spreadsheets
For the most reliable, advanced, and zero cost futures order routing, use the Teton service:
Sierra Chart Teton Futures Order Routing
[2021-09-22 14:25:02]
User58008 - Posts: 32
OK, so far so good, but I am still missing this crucial point:

How can I add information about the volume from your link to the new spreadsheet or how do I even fill the spreadsheet with the required data? I am sorry to spam, but this is vital for my strategy :/
[2021-09-22 15:17:51]
John - SC Support - Posts: 30399
How can I add information about the volume from your link to the new spreadsheet or how do I even fill the spreadsheet with the required data?

Sorry, we are not understanding the question and what the issue is that you are having? Please give us additional information on where exactly you are having the problem along the way.
For the most reliable, advanced, and zero cost futures order routing, use the Teton service:
Sierra Chart Teton Futures Order Routing
[2021-09-22 15:21:53]
User58008 - Posts: 32
Ok, I will try:

I was looking for a way how to export values from VolumeByPrice indicator to know, what volume was on a certain price level. You gave me this link and I just dont know how to get it, how can I open/create such spreadsheet with the information on that picture, I mean information about the volumes for each tick price?

Spreadsheet Study Inputs: Output Volume at Price Data

I am sorry, I cannot explain this better, this is my last try to do it :-D
[2021-09-22 15:54:12]
John - SC Support - Posts: 30399
Just add a Spreadsheet Study to the chart and in the Inputs for that Spreadsheet Study set the Input for Output Volume at Price Data to Yes. It will then give you the information in the spreadsheet as defined in the link we gave.
For the most reliable, advanced, and zero cost futures order routing, use the Teton service:
Sierra Chart Teton Futures Order Routing
[2021-10-07 00:52:44]
Sierra Chart Engineering - Posts: 104368
You cannot access data from the Volume by Price study within a Spreadsheet. You need to use ACSIL. A Spreadsheet will show the volume at price data per bar only but not for the study itself.


Refer to:
sc.GetVolumeAtPriceDataForStudyProfile()


We see you are using CQG data. You cannot rely on that data for accurate volume profiles. You need to use the Sierra Chart Denali Exchange Data Feed:
Denali Exchange Data Feed
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: 2021-10-12 02:51:27

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