Login Page - Create Account

Support Board


Date/Time: Sat, 22 Jun 2024 05:08:58 +0000



[User Discussion] - Questions regarding additional data arrays

View Count: 291

[2023-01-26 16:44:00]
silvereagle - Posts: 23
I've been exploring the sierra api further, and noticed Sierra has additional data arrays (up tick volume, down tick volume for example) available beyond the normal ones we usually look at like open high low close volume, etc. I was hoping some folks could shed some light for me as I work through a few points on:

1. what they mean from a practical stand point in lay-mans terms.
2. is the data 'spoof-able' by algos
3. usefulness, Sierra makes it available so I'd like to understand its usefulness.

For instance, when we think of Volume. (anyone feel free to correct me if my understanding is wrong)

1. in lay-mans terms, would Volume be the total number of contracts Submitted, but not necessarily Executed? Whether at the bid or ask, and represent total 'liquidity' for the bar?
2. is the data 'spoof-able' by algos? I've heard that algos submit a lot of fake orders that get canceled, thus can obfuscate the 'real liquidity'
3. if the data is spoof-able, how do you find it useful?

Number of Trades
1. in lay-mans terms, would Number of Trades be the total number of contracts Executed? Whether at the bid or ask, and represent 'real liquidity/trading activity' for the bar?
2. is the data 'spoof-able' by algos?
3. if the data is spoof-able, how do you find it useful?

Up Tick Volume / Down Tick Volume
1. in lay-mans terms, what the heck are these?
2. is the data 'spoof-able' by algos?
3. if the data is spoofable, how do you find it useful?

Thanks in advance to anyone who helps try and explain some of these things in lay-mans terms. :)

Curt
[2023-01-26 19:10:41]
ondafringe - Posts: 251
Number of trades tells you the "actual" number of trades made during that bar.

Volume tells you the "actual" number of contracts traded during that bar.

If there were 100 trades made with a volume of 1000, each individual trade would represent anywhere from 1 to n contracts traded. So it could be that 10 contracts were traded for each of the 100 trades, for a total volume of 1000, or it could be any number of other possible combinations.

A good way to see this is to open the Compact Tool Values Window: "Window > Show Compact Tool Values Window" and place your cursor over a bar.

You should see the total volume for that bar, the number of trades it took to achieve that volume, and the total number of contracts traded at the bid/ask, where the total bid/ask volume equals the total volume.

An explanation of up/down tick volume can be found with a Google search.

You can't spoof "actual."
[2023-01-26 20:22:34]
Sawtooth - Posts: 4028
Volume counts # of contracts.

# of Trades counts trades of any volume.

UpTick/DownTick Volume counts times price moves up/down one tick.
(A 'tick' is the smallest price increment of an instrument/symbol.)

If you plot these studies...:
Cumulative Delta Bars - Volume
Cumulative Delta Bars - Trades
Cumulative Delta Bars - Up/Down Tick Volume
... you'll notice a strong correlation between them, but they are not the same.
Date Time Of Last Edit: 2023-01-26 20:26:14

To post a message in this thread, you need to log in with your Sierra Chart account:

Login

Login Page - Create Account