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Date/Time: Fri, 19 Apr 2024 05:33:02 +0000

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Adjust the aggregation time period of cumulative Delta & Up/Down volume bar studies?

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[2023-05-17 21:39:28] #1 [Go To First Post]
User763335 - Posts: 47
Hello Looks like the following studies are calculated based on the whole session cumulatively and adjusted as the price develops on a bar by bar basis: - Cumulative Delta Bars - Volume - Cumulative Delta Bars - Up/Down Tick volume - Up/Down Volume Difference Bars This results in huge divergence between the actual price movement and the study values..,as shown in the attached screenshot. I perfectly understand, buying can be done on the bid or ask...and selling can be done on the bid or ask. But for these studies to show higher and higher ask volume continously and huge Up volume over long periods of time and the price to stay flat until market close just exaggerates the divergence and absorption hugely beyond what might be going on. Perhaps I'm missing something in the chart or studies settings? I'd like to know how I can adjust the aggregation time period of these studies (eg 10 bar period rolling ) so they capture/depict the most recent activity more accurately. Thanks


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[2023-05-18 15:46:24] #2 [Go To First Post]
User763335 - Posts: 47
Following up..pls advise.

[2023-05-18 18:14:23] #3 [Go To First Post]
Sierra_Chart Engineering - Posts: 14006
You really need to modify these studies to meet your specific requirements. Refer to: How to Build an Advanced Custom Study from Source Code 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, use the Teton service: Sierra Chart Teton Futures Order Routing

[2023-05-18 18:57:04] #4 [Go To First Post]
User763335 - Posts: 47
Most of the platforms allow the users to specify an aggregation period(eg 10SMA or 5EMA etc) for the studies "provided" by the platform. You're asking end-user to reverse engineer and learn to code, just to specify a rolling period for a study provided by you. Its not my custom study. You guys really need to provide that option to specify a moving average of some of these prominent indicators. I am sure , I am not the only one asking for this basic functionality.

[2023-05-18 19:33:37] #5 [Go To First Post]
Sierra_Chart Engineering - Posts: 14006
It does not sound like you are asking for something as simple as that. And you are the first person ever to ask for a change to these studies. No one has ever asked for this. You can base a Moving Average on those studies and that documentation is here: Chart Studies: Settings and Inputs Tab >> Based On - Basing a Study on Another Study 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, use the Teton service: Sierra Chart Teton Futures Order Routing

[2023-05-18 21:58:08] #6 [Go To First Post]
User763335 - Posts: 47
A quick search on the support board for cumulative delta , showed this thread on the first page, where another user asking for the same Cumulative Delta Volume Over Set Number of Bars a cumulative delta volume over a rolling 9 bar period..,what I asked on initial post.

[2023-05-22 09:41:56] #7 [Go To First Post]
Sierra_Chart Engineering - Posts: 14006
Ok that thread was handled not by senior engineering. We will look at adding this capability. It should not be difficult. So it will be a rolling cumulative Delta calculation. It will not be as efficient. 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, use the Teton service: Sierra Chart Teton Futures Order Routing

[2023-05-22 18:20:04] #8 [Go To First Post]
Sierra_Chart Engineering - Posts: 14006
If you update to the very latest prerelease, there is a new input on the Cumulative Delta Bars-Volume study to perform a rolling calculation. This is version 2505. Instructions: Software Download: Fast Update 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, use the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2023-05-22 18:20:41

[2023-05-23 02:41:59] #9 [Go To First Post]
User763335 - Posts: 47
Thanks for the quick update to the study, to add a rolling period input. I've downloaded/installed the latest version and have added the study. However I have trouble with the Cumulative Delta bars volume and Ask/Bid Volume difference bars( as well as DeltaMomentum)..,in that, they show huge bid volume when the stock is aggressively ralling up. Case-in-point $GOOGL today at market open(9:30AM). Pls see the attache screenshot of SC chart of $GOOGL 1min chart with the studies and my comments..as well Bookmap screenshot for the same stock/time, showing it was huge Ask volume, that propelled the stock so aggressively up today. How do we reconcile this? The Up/Down Volume difference bar did accurately show the Up Volume corresponding to the huge upside breakout at 9:30am. Not sure where the issue is..data? , study? study configuration? Pls advise..


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[2023-05-23 08:17:20] #10 [Go To First Post]
Sierra_Chart Engineering - Posts: 14006
This is the result of an order on the bid side of 357,000+: https://www.sierrachart.com/image.php?Image=16848296855.png What you can do is set up a filter for these large orders: Chart Settings: Volume Filter (Chart >> Chart Settings >> Data Limiting >> Volume Filter Settings menu) This will solve the problem in this particular case. 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, use the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2023-05-23 08:17:26

[2023-05-23 21:51:50] #11 [Go To First Post]
User763335 - Posts: 47
Thats actually huge orders on the ASK side..which is what I highlighted on the Bookmap screenshot..and yet SierraCharts identified this to be on BID side. The price rallied up on HUGE ASK SIDE Orders, in this case... I dont want to filter such huge orders..they're what moves the price and am keenly interested on such large orders , as a day trader.

[2023-06-06 10:26:50] #12 [Go To First Post]
Sierra_Chart Engineering - Posts: 14006
We can tell you that bookmap must be wrong in this regard. With NASDAQ TotalView, the identification of the order on the bid side is correct. NASDAQ TotalView is an order by order data feed, and Sierra Chart knows exactly, the side of resting limit orders. There can be no mistake about the possibility of that whatsoever. 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, use the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2023-06-06 10:27:33

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