Support Board
Date/Time: Fri, 22 Nov 2024 17:23:40 +0000
Bid Depth - Ask Depth (Difference) in a Candlestick chart indicator
View Count: 179
| [2024-10-14 18:48:45] |
| User141735 - Posts: 12 |
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Hello, similar to the liquidity traker in BOOKMAP, except that in bookmap LT-Differennce is plotted as a line, i am looking to a Candlestick chart presenting the behavior of the Bid Total Depth - Ask Total Depth over time. i found the BidVolume VS AskVolume study, but actually thisstudy only show the close of the Delta at the end of each period and do not present the evolution of the difference over time as a candlestick. also, this study make the difference positive if the Ask Volume is higher than the Bid volume while i feel it should be more intuitive if the difference is positive when the Bid pressure is higher that is working to push the price higher. anyhow, my main need, is to see if anyone have a way to have this candlestick chart showing the behavior of the Bid Depth - Ask Depth (Difference). Thank you in advance, |
| [2024-10-14 19:42:22] |
| blt - Posts: 31 |
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... @User141735 ... did you check study "Bid & Ask Depth Bars" |
| [2024-10-14 20:51:16] |
| John - SC Support - Posts: 36222 |
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Cumulative Delta Bars - Volume
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: 2024-10-14 20:51:29
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| [2024-10-15 07:18:28] |
| User141735 - Posts: 12 |
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@blt Yes i did tried "Bid & Ask Depth Bars". The issue with it is that it only give you the total Bid orders and total ask orders in the end of each period and then it calculate the difference. Actually you cannot see what happened inside the period itself, you cannot see the Open/Close/High/Low, instead, you will only have the close. while, to understand the behavior of passive buyer/sellers it is necessary to see the trend and change in behavior of the balance of passive buyers/sellers over time. And the best way to get that is via a candlestick chart. Hi @John, Yes i did tried it, 'Cumulative Delta Bars - Volume' is an agressive metric: The difference between the AskVolume and the BidVolume - AskVolume is the volume of trades that occurred at the best Ask price or higher. - BidVolume is the volume of trades that occurred at the best Bid price or lower. However what i am looking for is to measure the resting passive orders below the Bid against the resting Ask orders above the Ask. Date Time Of Last Edit: 2024-10-15 07:19:42
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| [2024-10-15 15:14:28] |
| John - SC Support - Posts: 36222 |
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We do not understand your response to @blt. The "Bid & Ask Depth Bars" are exactly what you are stating you want. They give you a candlestick of the sum of the Asks minus the Sum of the Bids (if you have set the Study to give you "Difference") and it gives you the Open/High/Low and Close for those values within each bar. If this is not what you are looking for, then we need more information. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2024-10-15 15:33:00] |
| blt - Posts: 31 |
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... @User141735 ... "Actually you cannot see what happened inside the period itself, you cannot see the Open/Close/High/Low, instead, you will only have the close." Did you set "candlestick bars"-with O; H; L; C If you want to "see inside the period itself"-you go to wonderland of NUMBERS BAR ... My apology if I do not understand your point All the best |
| [2024-10-15 15:44:50] |
| User141735 - Posts: 12 |
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Hi Johan, This is my issue: The only setting that fit my need is 'Bid Depth vs Ask Depth'. However, as mentioned in Bid & Ask Depth Bars Bid Depth vs Ask Depth: Total Ask Quantities - Total Bid Quantities. The Bid Depth vs Ask Depth Mode does not display Candlestick bars, and instead displays the Bid market depth and Ask market depth as histogram bars, and the difference as a line. The histogram give only the close... |
| [2024-10-15 16:02:52] |
| John - SC Support - Posts: 36222 |
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"Bid Depth vs Ask Depth" gives you the sum of the Bid and the sum of the Ask as separate items (Ask is positive and Bid is negative). If you want to see the Open, High, Low, and Close related to the Bid Side and the same for the Ask Side, then use two copies of the "Bid & Ask Depth Bars" with one set to "Sum Bid Side" and the other set to "Sum Ask Side". Otherwise, we are confused on what exactly you are wanting to see and need more specific information. Please do not jump to solutions - just tell us what you are really wanting to see - there may be a different solution. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2024-10-15 16:25:01] |
| User141735 - Posts: 12 |
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i will try ... :) i want a candlestick chart that present this variable= Depth imbalance: Total depth of the bid side (at time T) - Total depth of ask side (at time T). at each sigle millisecond, this imbalance make the difference and draw a point (continous function)...we should get a curve (Just like BOOKMAP liquidity traker) while what i prefer is to get it in candlestick format. i tested the option 'Difference (Bid - Ask): Total Bid Quantities - Total Ask Quantities', but it seems not exactly what i expected . If i am not wrong, at the start of each period, it start summing the ask side and the bid side and plot the difference instead of traking the instant difference. I hope i managed to explain my point. please ignor it i couldn`t make my point this time. i understand it will be ennoying to you :) |
| [2024-10-15 16:43:20] |
| John - SC Support - Posts: 36222 |
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Since you are wanting the "Total depth of the bid side (at time T) - Total depth of ask side (at time T)" the option in the "Bid and Ask Depth Bars" for "Difference (Bid - Ask)" should give you what you want. We are not sure what you are wanting in terms of every millisecond. And it does not help us to reference other systems, as we have not used them. The above will give you the Open, High, Low, and Close at each bar, where the Open is the "Sum of the Bids - Sum of the Asks" at the start of the bar, the High is the highest value of "Sum of the Bids - Sum of the Asks" that is seen within that bar, the Low is the lowest value of the "Sum of the Bids - Sum of the Asks" that is seen within that bar", and the Close is the final value of the "Sum of the Bids - Sum of the Asks" for that bar. If you want to view this at a lower time increment, then you would need to change the Bar Period of your bars. You can not get down to every millisecond, as the charts can only update at a rate of 10 milliseconds. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2024-10-15 16:50:39] |
| User141735 - Posts: 12 |
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i get you. regarding, 'Sum of the Bids - Sum of the Asks', if the sum you emtioned is a vertical sum over the price depth (not over time, starting from open time), then it should be exactly what i am looking for ;) |
| [2024-10-15 16:53:29] |
| John - SC Support - Posts: 36222 |
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Yes, it is the vertical sum. Also, refer to the following, in case you want to limit the number of levels that are summed: Chart Settings: Number of Levels for Bid/Ask Depth Calculations (Chart >> Chart Settings >> Market Depth menu) 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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