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$SPX, NYSE volume, Market Internals and VIX

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[2021-11-04 16:53:44] #1 [Go To First Post]
Steve Leon - Posts: 301
I am currently using the Denali feed. Should I be able to view $SPX data (even if its delayed) on the quote board at the present time with the services I have. I thought the Sierra Chart data (SC-data all services) included this ? If not can you explain the difference between that and Denali ? Also I am using the CQG order routing at present (if that changes anything) I am also interested in viewing NYSE volume data every 30 minutes if possible in a table format. What symbol should I use and do you have any suggestions on how to display this ? Also are the market internals part of the data provided ? How can I display NYSE market breadth ? Finally if I wanted to receive VIX data I would have to select the CFE group of products that you offer correct ? Thank you Steven Leon

[2021-11-04 17:25:51] #2 [Go To First Post]
John - SC Support - Posts: 34944
Should I be able to view $SPX data (even if its delayed) on the quote board at the present time with the services I have. I thought the Sierra Chart data (SC-data all services) included this ? If not can you explain the difference between that and Denali ? Also I am using the CQG order routing at present (if that changes anything) The $SPX is a CBOE Index, and they changed their data availability earlier this year, such that you can not get any data from them unless you pay for it. Therefore, if you really want to get this index, you would need to use the Sierra Chart Exchange Data Feed and enable the CBOE Indices exchange. Refer to the information at the following link, which also includes Setup Instructions: Sierra Chart Exchange Data Feed Also, be aware of the CFD data for the SPX500, which is similar and available at no extra cost. Refer to the following: Sierra Chart Real Time and Historical Forex and CFD Data Service I am also interested in viewing NYSE volume data every 30 minutes if possible in a table format. What symbol should I use and do you have any suggestions on how to display this ? The Market Statistics are included with any Sierra Chart package. Depending on which volume you want to see, you can open the chart for the particular statistic and then use the Numbers Bars Calculated Values to see the Volume. You would need to make sure that what you are looking for is provided in that particular data. Refer to the following for the Market Statistics: https://www.sierrachart.com/index.php?page=doc/SCMarketStatistics.php#top And refer to the following for the Numbers Bars Calculated Values: Numbers Bars: Displaying Numeric Information Below Numbers Bars Also are the market internals part of the data provided ? How can I display NYSE market breadth ? Refer to the information above. Finally if I wanted to receive VIX data I would have to select the CFE group of products that you offer correct ? It depends on which VIX you want. If you want the $VIX Index, then you would use the CBOE Indices as noted in the first item above. If you want the VIX Futures, then you would use the CFE exchange which is part of the Denali Exchange Data Feed. Refer to the information at the following link which also includes the Setup Instructions: Denali Exchange Data Feed 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: 2021-11-04 17:28:07

[2021-11-04 21:46:11] #3 [Go To First Post]
Steve Leon - Posts: 301
My only follow up question is just clarification. For the CFD data that is provided; I have to select SC Data - all services ? This means that I would have to disconnect from the CQG web(trading) data ? I cannot do both at the same time ? Why does that data not come through the Denali feed ? I still dont quite understand the difference between SC Data all services and the Denali feed ? Aren't they all one in the same ? Thank you Steven

[2021-11-04 23:30:06] #4 [Go To First Post]
Sierra_Chart Engineering - Posts: 16564
You can access the FXCM CFD data when using CQG. The symbols are listed in File >> Find Symbol. 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

[2021-11-05 13:22:07] #5 [Go To First Post]
Steve Leon - Posts: 301
In follow up to the NYSE volume question I am using pvol-nyse i am able to display the information on chart and also with volume study i have it selected on chart settings for 30 min periods when i try to add the numbers bars calculated values the chart doesnt really load or it will take a large amount of time i tried to cut down the number of days to 5 or less and it still does not load. Once i remove the numbers bar calculated values i can get it to load. I assume too much data Any thoughts or suggestions ?

[2021-11-05 14:58:59] #6 [Go To First Post]
John - SC Support - Posts: 34944
We will have to look into this. We are able to reproduce it, but we do not know why it is occurring. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing

[2021-11-07 20:11:33] #7 [Go To First Post]
Sierra_Chart Engineering - Posts: 16564
Set this Chart Setting to 5000 or higher: Chart Settings: Volume at Price Multiplier for Historical/Intraday Chart (Chart >> Chart Settings >> Chart Data >> Volume at Price menu) 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: 2021-11-07 20:14:38

[2021-11-08 13:45:05] #8 [Go To First Post]
Steve Leon - Posts: 301
I assume this is in the Advanced Settings 1 section of Chart Settings I dont see VAP listed I assume it is one of the other multipliers in the list ? Which one should i select or where can i find VAP ? Thank you

[2021-11-08 14:33:18] #9 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
This is on the first tab of the Chart >> Chart Settings Window: Volume at Price Multiplier. 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

[2021-11-08 15:09:16] #10 [Go To First Post]
Steve Leon - Posts: 301
Thank you i found that and it is now processing the information now i am just running up against the problem of displaying the numbers. Because the numbers a i presume are large and because the volume bars are so narrow it is not possible to display the numbers and read them because they run into one another. Do you have any thoughts on how to address this ? Thank you

[2021-11-08 16:18:33] #11 [Go To First Post]
John - SC Support - Posts: 34944
Refer to the information here: Numbers Bars: Scaling a Numbers Bars Chart And also refer to this Input: Numbers Bars: Use Large Volume Number Formatting For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing

[2021-11-08 17:18:29] #12 [Go To First Post]
Steve Leon - Posts: 301
i was able to space out the numbers to see them. i cannot find the input for the large number formatting. is that on the number bars calculated values settings ? or somewhere else. tried to look on the support pages. the other issue now that i can see the numbers - i am not matching the values to what i am looking at i trie pvol nyse, iss-nyse and niss-nyse and the numbers dont correlate with the NYSE numbers i am trying to reproduce. The numbers i have for today range between 740 K and 1.6 M for each 30 min period. Do you have any suggestions on how i might find the right data set to input ? Thank you

[2021-11-08 17:30:18] #13 [Go To First Post]
John - SC Support - Posts: 34944
The Large Number Formatting is an Input on the Numbers Bars study. To do this for the Numbers Bars Calculated Values, you would set the Value Format to Large Integer with Suffix. Refer to the following: Chart Studies: Settings and Inputs Tab >> Value Format What NYSE numbers are you trying to replicate/view? For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing

[2021-11-08 18:08:14] #14 [Go To First Post]
Steve Leon - Posts: 301
I am getting these values from Jim Dalton website; he shares NYSE volume data there. He says he uses that instead of futures volume. He says he finds it more helpful than futures volume (because of hedging/spreading etc...) ? I wanted to track the NYSE volume and see if it is useful for me. He uses Think or Swim (TOS) platform for some of his data; I think this is where he would be getting the NYSE volume from. I could just look at it on his website but it would be more efficient if i could display it on my sierra charts.

[2021-11-08 20:21:37] #15 [Go To First Post]
John - SC Support - Posts: 34944
So it is the total traded volume, or is it a net volume (Up volume - Down volume) or something else? For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing

[2021-11-08 20:50:11] #16 [Go To First Post]
Steve Leon - Posts: 301
i believe its total traded volume. The numbers for pvol-nyse were much larger than 500K to 1.5M range per 30 minute period which is what i am seeing. The other numbers were much smaller than expected ? Thank you

[2021-11-08 21:24:38] #17 [Go To First Post]
John - SC Support - Posts: 34944
Then you would want to use the TVOL-NYSE. The description for this is the following (note that this is reported in thousands, so you would need to multiply by 1000 to get the actual volume): TVOL The total volume of stocks for the particular exchange or index the symbol is for that have traded in the current trading day . 2015-11-27: At the 9:30:00 US Eastern time open of the NYSE and NASDAQ, this volume calculation is reset back to 0. 2017-05-31: This symbol is only calculated during the day trading session. Reported in thousands. -------------- You will find the descriptions for each of the symbols in the market statistics at the following link: Sierra Chart Market Statistics: Symbols 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: 2021-11-08 21:39:13

[2021-11-08 21:40:07] #18 [Go To First Post]
Steve Leon - Posts: 301
I set the VAP multiplier back to 1 which is fine What I am getting with TVOL is a single bar for the day with the entire volume instead of broken down into 30 minute intervals even though I have 0-30-0 selected for the bar type period Also how would I be able to multiply the value by 1000 and then display that ? Finally I did not get the link for the market statistic symbols Thank you

[2021-11-08 21:46:06] #19 [Go To First Post]
John - SC Support - Posts: 34944
Here is what the TVOL-NYSE looks like for us with a 30 minute setting: http://www.sierrachart.com/image.php?Image=1636407831717.png Are you opening an Intraday Chart or an Historical Chart? To multiply by 1000, you can use the VAP Multiplier and set it to 1000. Or you can use the Study Subgraph Multiply to multiply the volume by 1000 and output that to another region. Refer to the following: Using the Basic Arithmetic Studies For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing

[2021-11-08 22:15:20] #20 [Go To First Post]
Steve Leon - Posts: 301
i am using an intraday chart i am only able to display the bars like you have them for the first day to load. so if i set it for 5 days to load the first day displays 30 min bars and then every day after only displays a single total bar i was able to multiply by 1000 i am still not getting values that match what they are reporting however i can attach the values i am looking at in case that helps ? Thank you


JD NYSE volume.PNG / V - Attached On 2021-11-08 22:14:46 UTC - Size: 74.53 KB - 125 views

[2021-11-08 22:27:51] #21 [Go To First Post]
John - SC Support - Posts: 34944
Can you please get us a screenshot of what you are seeing by following these instructions: https://www.sierrachart.com/index.php?page=PostingInformation.php#PostingAnImage For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing

[2021-11-08 23:36:23] #22 [Go To First Post]
Steve Leon - Posts: 301
http://www.sierrachart.com/image.php?Image=1636414536491.png

[2021-11-09 14:42:23] #23 [Go To First Post]
John - SC Support - Posts: 34944
Please get us a copy of that chart by following these instructions: Support Board Posting Information: Providing Chartbook with Only a Single Chart For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing

[2021-11-09 23:16:31] #24 [Go To First Post]
Steve Leon - Posts: 301
this is the chart TVOL-NYSE has 30 min bar chart for 10 days; only the first day is in 30 min intervals i have volume, numbers bars and study subgraph multiply i think the big issue is the discrepancy between the numbers from the screenshot of NYSE volume that i previously sent Thank you Steven Leon


TVOL-NYSE.Cht - Attached On 2021-11-09 23:12:29 UTC - Size: 3.85 KB - 213 views

[2021-11-10 01:27:35] #25 [Go To First Post]
HeyUgly - Posts: 243
i use the $INX, i trade the SPX everyday and i believe this is the entire underlying volume of the SP500index ....i run this beside the es orderflow

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