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Direct MessagesDate/Time: Sat, 27 Apr 2024 00:57:02 +0000
Platform differences for cumulative delta bars study when filtering volume
View Count: 569
| [2021-07-26 23:24:15] |
| User558907 - Posts: 5 |
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Hi, I am on a trial of Sierra chart and am planning on continuing after the trial. I am currently with Investor RT and I am trying to recreate my charts I have developed over the years. One thing that I am having trouble creating is the volume delta charts with volume filtering. Using IQFeed, the delta I get when filtering for volume using IRT is very different than when using Sierra charts (with IQFeed). Is there a difference in how IRT and Sierra calculates the volume filtering, or is Sierra not compatible with IQFeed for volume delta? As far as I can tell, I have the settings (tick data, etc) correct and you are both using ask v bid volume. Thank you for any thoughts you have on this. |
| [2021-07-27 05:32:41] |
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Specifically what do you mean by "volume delta charts"? For how Volume Filtering works, refer to: Chart Settings: Volume Filter (Chart >> Chart Settings >> Data Limiting >> Volume Filter Settings 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 |
| [2021-07-27 13:04:03] |
| User558907 - Posts: 5 |
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The cumulative delta bars in Sierra. I am getting different numbers for the cumulative delta bars when filtering volume (i.e. excluding less than 20) vs my older platform IRT. Both using IQFeed. Trying to understand what I might be doing wrong here or if it is something else. Thank you for the help!
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| [2021-07-27 14:40:40] |
| John - SC Support - Posts: 31159 |
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There may be differences in how the Cumulative Delta Bars are calculated between the systems. For how the data is determined within Sierra Chart, refer to the information here: Cumulative Delta Bars - Volume Also, it's possible that the filtering is handled differently. For example, in Sierra Chart, the filtering is done by a "Greater Than or Equal To" or "Less Than or Equal To" filtering, so if you want to filter out all data that is less than 20, but not 20 itself, then you would need to enter 19 in the "Less Than or Equal To" filter field. Whereas, it could be different in the other system. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2021-07-27 15:35:31] |
| User558907 - Posts: 5 |
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Thank you, let me take a look at that and see if I can change things to make it match or figure out what the difference might be and adjust accordingly. I appreciate the help as I get used to Sierra.
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| [2021-07-27 19:42:26] |
| User558907 - Posts: 5 |
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When I switch to the delayed SC feed and select "combine trades into original summary trade" then I am able to get almost the same numbers for volume and delta bars when filtering. I just want to confirm what I am reading that this is not possible using IQFeed as a data service and is only possible using the SC feeds? Thanks!
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| [2021-07-27 19:44:59] |
| John - SC Support - Posts: 31159 |
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That is correct. The option to "Combine Trades into Original Summary Trade" is only available with the Denali Exchange Data Feed.
For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2021-07-27 19:50:49] |
| User558907 - Posts: 5 |
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Thank you!
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| [2021-08-02 10:10:35] |
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We see that you have the Denali data feed active but no exchanges active.
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 |
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