Login Page - Create Account

Support Board

Date/Time: Sun, 26 May 2024 16:14:40 +0000

[User Discussion] - Challenging study

View Count: 1589

[2014-07-17 07:51:53]
Dom7364 - Posts: 257
Good morning,

I am looking to create a study, which might be a complicated one, but I thought I'd ask in case this can be done easily:

I am looking to create a study that can be either text, numerical or dot/arrow/Etc on a chart, that would display, for each bar, the folowing ratio:

COT (or pullback) figures (as displayed above/under number bars) to average market depth (here I am talking about the average of the Limit orders, i.e, market depth on the bid and on the ask, as seen on the DOM). This would constantly be a changing number, until the close of the bar where a "final/after the close number, would be displayed.

I am thinking of having 2 ratios: COT/AMD BID and COT/AMD ASK.

Many thanks
Date Time Of Last Edit: 2014-07-17 07:58:03
[2014-07-20 14:14:39]
Dom7364 - Posts: 257
I was right in thinking it was challenging!?

I guess this can be done in spreadsheet study with the DOM data, but is there a way to get the DOM levels as an existing study? There is a DOM study which just shows the inside bid and inside ask but not all levels. Beside, the spreadsheet study seems to be slowing down SC quite dramatically.

Question would therefore be: is there a way, spreadsheet study aside, to get all DOM levels for a given instrument, and to use/extract the pullback/COT value below/under the number bars?

Thanks to any idea/help!

[2014-07-22 05:00:44]
Dom7364 - Posts: 257
Not,possible to extract DOM levels other than displaying them on the DOM obviously and on the spreadsheet study?

[2014-07-22 07:34:51]
crazybears - Posts: 314

if you are elite member of BM take a look here:

[2014-07-22 09:45:51]
Zosimus - Posts: 345
The above link posted by @CrazyBears helped me a lot when I studies this subject. Thanks to @CrazyBears and to @Nicolas11 from BMT.

Here is an example of a loop that will run through the 20 DOM levels and populate the prices and the Bid/Ask volumes into SCFloatArrays.

SCFloatArrayRef DomVols = sc.Subgraph[0].Arrays[0];
SCFloatArrayRef DomPrice = sc.Subgraph[0].Arrays[1];

for( int d = 0 ; d < 10 ; d++ ){
DomVols[d] = (float) sc.SymbolData->BidDOM[d].Volume;  
DomVols[10+d] = (float) sc.SymbolData->AskDOM[d].Volume;
DomPrice[d] = (float)sc.SymbolData->BidDOM[d].Price;  
DomPrice[10+d] = (float)sc.SymbolData->AskDOM[d].Price;

[2014-07-22 10:21:40]
Dom7364 - Posts: 257
Hi Yon, hope all is well!

How is this meant to be used? Basically the idea is to display the depth/limits figures.

From there, I would be looking to create a ration that compares the average market depth to market orders volumes.

[2014-07-22 10:37:51]
Zosimus - Posts: 345
Hi Dom7364,

Unfortunately Those are busy days on my side and I don't have the time to write the whole thing. I can tell you that it is possible with ACSIL and not too complicated. Try asking on the Sierra Chart programming section at BMT.

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


Login Page - Create Account