Support Board
Date/Time: Sun, 22 Jun 2025 11:15:40 +0000
VbP Indicator - how is it calculated?
View Count: 842
| [2022-03-28 15:22:39] |
| Anton Bednár - Posts: 2 |
|
Dear Support, we want to do analysis of our strategy in Excel. We downloaded raw tick data from CQG which are also provider for Sierra Chart services. We were able to calculate volume (transactional) per 1min candles but we are not able to come to the equitation, how Volume By Price indicator is calculated. We divided daily Min and Max value of the index (NASDAQ) into several zones (size of the Zone is 0,5) and then put summary of all volumes which occurred at specific price level. The problem is that our calculation do not match with your VbP indicator. CQG provides 3 (generally 4, but the one is not important) types of volume value – Ask, Bid & Transactional. We have tried just T values, and then A+B volume values but none of SUMMs reflected your VbP indicator. Could you please exactly specify, what data are taken into consideration and what is the mathematical equitation of your VbP if you get data from CQG? Thanks a lot Anton |
| [2022-03-28 17:25:42] |
| John - SC Support - Posts: 40555 |
|
All we can do is refer you to the following: Volume By Price Study: Volume at Price Calculations 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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