Support Board
Date/Time: Thu, 28 Nov 2024 10:42:58 +0000
Orders per second
View Count: 1979
| [2016-03-11 14:03:48] |
| Adam - Posts: 141 |
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Hi does Sierra have an indicator for orders entered in the book rate. i know you have trades done, volume per second and you have bid/ask depth. I need to know the orders being sent to the global order book rate per second (or per minute). its the mapping of the ratio that key thanks for the help in advance Adam |
| [2016-03-11 14:05:37] |
| Adam - Posts: 141 |
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my objective is to pick turning points with VPIN activity so im seeing the orders hitting the book and its matched by volume peaks.
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| [2016-03-11 17:19:43] |
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This data is not provided.
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 |
| [2016-03-12 07:52:24] |
| i960 - Posts: 360 |
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If you can access the order book structures from a custom study you could probably approximate this based on the sample rate the study is being run (chart update frequency most likely). Personally I think the orders hitting the book isn't necessarily going to predict a turning point. It doesn't account for hidden liquidity which is a large amount of liquidity and it's basically a pseudo measurement of potential liquidity and not actual trades. Volume and trades themselves tell you what you need to know, not potential orders.
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| [2016-03-12 11:51:43] |
| nioko54130 - Posts: 108 |
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Great Idea Adam!
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| [2023-05-16 08:24:37] |
| Giamsterdam - Posts: 33 |
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hi! we are few years later, is this possible now?
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| [2023-05-16 09:00:06] |
| nioko54130 - Posts: 108 |
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by looking at the impact that the market ORDERS will have on the price action: more precisely on the volatility of the prices; you will be able to obtain an index of choice as for the location of the VPIN! The reason is simple: any toxic orderflow is going to be "annoying" for the market maker; this will result in a rather "disgusting" execution of this flow (with relatively important slippage). At this point, you know that the market maker is confronted with VPIN, and therefore, that he will potentially "flee", by reducing his liquidity in the sense that he has been hit by VPIN. This is how this orderflow of "toxic" volume will generally generate a price movement in the initial direction of the market hit. At that moment, it is then the logic of "GO WITH" that should be favored. If on the contrary, the volume is executed without impact, or better with a negative slippage.... then in this case, it means that we are on DUMB volume! At that moment... the logic of FADE will be preferred. Measuring the execution of volume, and its impact on price volatility is essential, and it says a lot about the real state of liquidity of the order book, and therefore by extension on the state of the market maker. All this is now measurable, quantifiable, and can be visualized very precisely in 2023! Nico |
| [2023-05-16 14:32:53] |
| John - SC Support - Posts: 36350 |
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There are no specific tools within Sierra Chart to do this. You would have to create a custom study to do this. Refer to the information here: Advanced Custom Study Interface and Language (ACSIL): Introduction For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
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