Support Board
Date/Time: Fri, 31 Jan 2025 02:59:16 +0000
Total Bid and Ask Size
View Count: 5661
| [2015-10-26 08:39:58] |
| tobi - Posts: 351 |
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Is there a study that can be used in a chart, that shows the Total Bid Size and Total Ask Size as the total numbers in the Market Depth Window?
Date Time Of Last Edit: 2015-10-26 08:40:34
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| [2015-10-26 09:53:00] |
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We will add this to the next release.
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, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2015-10-26 10:21:41] |
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This is what it will look like: http://www.sierrachart.com/image.php?l=1445854871472.png 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, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2015-10-26 10:44:15] |
| tobi - Posts: 351 |
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Very nice! Thanks in advance!
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| [2015-10-26 18:59:44] |
| User104914 - Posts: 4 |
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+1 cool. was thinking about this over the weekend too!
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| [2015-10-27 18:29:57] |
| Futures Operator - Posts: 239 |
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I see the name of the study says Time and Sales, to clarify, is this based on bid/ask resting orders like the DOM, or Time and Sales, trades already executed?
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| [2015-10-27 18:35:03] |
| tobi - Posts: 351 |
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As written in the initial post, I surely meant the orders (total bid size and total ask size) from the Market Depth Window, so from the DOM. Hope this is SC's understanding too.
Date Time Of Last Edit: 2015-10-27 18:35:18
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| [2015-10-27 18:39:10] |
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The new studies use the market depth data. They start with the name Time and Sales because the historical market depth data is stored with the Time and Sales data. Perhaps we should rename Time and Sales everywhere to Trades and Quotes. 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, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2015-10-27 18:48:28] |
| User11942 - Posts: 298 |
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So, the latest totals are based on tick data (I mean no real-time update)? Or real-time update? When could we expect the next release?
Date Time Of Last Edit: 2015-10-27 19:02:29
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| [2015-10-27 19:12:30] |
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The totals are based on the market depth data. This data is captured in real-time as the market depth data updates. New release should be out later today. 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, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2015-12-29 02:50:35] |
| User791263 - Posts: 151 |
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This Total Depth per side might be Useful, but Bid-Ask levels far away from the inside pair or 2 to 5 levels can be counter-intuitive and misleading. I applied it. It seems to move as fast as trades, scrolling faster than the chart. I think you said it updates each time a trade changes from bid to ask or price changes (ie: based on actual trades?) Each bar on that study bar graph seems to be the total at the trade. The filter is hard to understand. Looking at After-hours, total 540 Ask and 621 Buy on the DOM, the bars of total depth do not go away when the filter is set to 700 or 800. How can that be? Bid Ask levels far away from the inside bid-ask are misleading for scalpers. Those are set by day traders who often go 4-6 ticks or more away, to a pivot level. etc. They may come back to cancel, move or change the order as the price gets closer. There is no point in any indicator-study that does not work fairly well, for various time-frame traders. (Not one-size fits all). REQUEST: I surmise that the most useful depth info for fast traders is totals from levels nearer the price, to 4 or 5 levels out. How hard would it be to allow an option for "levels from inside bid-ask" ? Please consider an option to sum 2 to 5 levels, selectable. Bidders closer to the inside bid-ask are ready to buy or sell NOW, not MAYBE in 20 minutes. Those totals we could test and likely USE. I've found inside bid-ask ratios to be useful, but I've been hoping for a way to total 3-5 levels without using a spreadsheet. Your study is almost there. If you used an array of 10, allowing a selectable portion of the array might not be difficult? |
| [2015-12-29 03:27:09] |
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This is now marked as a User Discussion. We have no further time to be involved with this.
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, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2015-12-29 18:19:57] |
| User791263 - Posts: 151 |
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You just introduced this new Study. You should have some interest in feedback, it's usefulness, and whether a minor enhancement might make a difference to some of your customers. You could confirm that it scrolls fast based on trade price change. We appreciate you're very busy, but while this is fresh in the programmer's mind is the time for what should be a fairly-easy tweak. Please reconsider my suggestion. |
| [2019-03-27 16:38:58] |
| whats1thingnow - Posts: 407 |
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i'm using Time and Sales Bid Size to get the size of the best bid/ask both 'time and sales bid size' and 'time and sales ask size' after loading in my chart does not show anything... please help? (not sure if i need to show the time & sales window, but even when i show it, the studies do not work) Date Time Of Last Edit: 2019-03-27 16:40:04
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| [2019-03-31 05:45:32] |
| User931283 - Posts: 55 |
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Review your settings. Has been working for me. You might also want to notice that small differences may occur between time and sales source and other source, or at least I recall that on time and sales trade quantities versus quantities reported by indicator. Don't forget your settings also for number of records stored, and whether you are storing depth of market data which can slow a system down. You can reduce records on that too. I suggest you to stay with what you are trying to do, as it is helpful. |
| [2019-04-01 15:05:46] |
| whats1thingnow - Posts: 407 |
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thanks User931283 hum, update... my subgraph is set to 'bars' and now i see the same scrolling bars not matter if i put this study on a 1 min chart, or a 1 hour chart. is this what's expected? for some reason i was under the impression when i saw: This is what it will look like:
http://www.sierrachart.com/image.php?l=1445854871472.png we take the T&S data to sum up the best bid/ask size for each period (e.g. 1 min).. then the summed number is what we see in the study |
| [2019-04-01 23:51:50] |
| User931283 - Posts: 55 |
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You might ask someone who is more current on T/S. This is an important topic that SC users should help analyze and understand. Since bid and ask price change very rapidly, I don't think you can "sum up" a number changing much faster than your bars are long. Example: By definition, the bid price has changed likely 200 times in a 1 minute bar and the price may have moved 3 points or more. So then what does your sum over time and different prices mean? Seems like only an instantaneous or short period could tell us anything. Look at time and sales prices and quantities history, perhaps Depth of Market history Do some research outside of this Forum, also on the topic, eh? Let us know if the above is correct. I'd like to understand it better.. what we most want is whatever is more meaningful and accurate. I doubt if anything but auto trading could analyze and react fast enough, and certainly not all by itself... to be of any decisive value. |
| [2019-04-03 16:53:27] |
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What you are seeing sounds correct. The Time and Sales Bid/Ask studies scroll quickly and are not tied to the timeframe of the main chart. They are just displaying the same information that you would see in the Time and Sales Window. If you want to see Bid/Ask numbers within a particular timeframe, then refer to the Bid Ask Depth Bars study: Bid & Ask Depth Bars 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, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2019-04-04 03:16:28] |
| whats1thingnow - Posts: 407 |
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yeah, i tested Bid & Ask Depth Bars and it does exactly what i need for summing up bid/ask depth size using market depth historical option the scrolling was too fast to see for me -_- |
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