Support Board
Date/Time: Tue, 12 May 2026 00:05:15 +0000
Large Volume Trade Study Issue
View Count: 8272
| [2026-05-09 20:21:25] |
| User963976 - Posts: 2 |
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Then the individual trades that the Large Volume Trade Indicator is using, are combined trades based on the same Price and Type, if they are within a one second time span of each other.
It would be better to have an option specifying the timeframe for aggregatet trades. One second is far too long. An option of 100-500ms would be more suitable.
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| [2026-05-10 01:57:21] |
| cmet - Posts: 726 |
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Here's a version based off of User385376's code above in post #42. Replaces the pure millisecond aggregation with TAS style combining (millisecond timestamps). Also fixed the volume text so it can be hidden with the rest of study. Includes: Same Price/Type Same Time/Price Same Time/Type Same Time/Type/Price Volume min/max filtering |
 AtlasLargeTradesTAS.cpp - Attached On 2026-05-10 01:56:02 UTC - Size: 20.11 KB - 20 views |
| [2026-05-11 00:52:32] |
| User260640 - Posts: 17 |
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User751630 - post 47: If the CPP file compiled the executable DLL should be found in the following directory -> C:\SierraChart\Data and should be named "LargeVolumeAggregateTrades_64.dll". In regards to post 50 and the aggregation period being too large at 1 second, my answer it all depends how combining was implemented. In "LargeVolumeAggregateTrades.cpp" a larger timeframe may catch more "large trades' while too small a time frame may miss some. In my implementation Volume aggregation stops the moment a trade type flips to the other side, not necessarily when the time frame threshold is reached. Actually I recommend using 800 ms or higher. Cheers |
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