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[User Discussion] - High/Low volume of one bar

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[2014-09-08 15:24:44] #1 [Go To First Post]
User025429 - Posts: 26
Hi I want to get the volume at both the high and low, of a one tick bar, by bar, into a spreadsheet to create a numbers bar in a spreadsheet. I can do it using spreadsheet formula(sumproduct mainly) and tick by tick data feed, but due to the number of records required , the spreadsheet is extremely slow. With a spreadsheet of 10 000 lines you only get about an 8 minute time frame at the open. One way could be to get the time and sales data into a spreadsheet, but the filters must work IE: all trades at the same price and type of trade(bid/ask) be aggregated.Currently this is not available. Support are aware of the request and in February thought that it would be resolved by early June. Are there any other suggestions. Thanks in advance.

[2014-09-08 16:31:52] #2 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
The Time and Sales window does do what you require: This is from the Time and Sales Window Settings documentation: Combine Records >> Combine Records with Same Price and Type: When this option is enabled, then time and sales records that have an identical trade price, and an identical type with regard to Bid Trade or Ask Trade, are combined into a single record in the Time and Sales list window. 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 Date Time Of Last Edit: 2014-09-08 16:32:31

[2014-09-08 17:07:36] #3 [Go To First Post]
User025429 - Posts: 26
Yes I know this but how do I get that into a spreadsheet?

[2014-09-09 06:06:19] #4 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
This is not possible. You would have to use ACSIL for this: https://www.sierrachart.com/index.php?page=doc/doc_CreatingDLLs.html However, even with ACSIL you would have to combine time and sales records yourself. The combining of records is not made available to ACSIL. 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 Date Time Of Last Edit: 2014-09-09 06:06:36

[2014-09-10 13:29:49] #5 [Go To First Post]
Spinoza - Posts: 62
Any chance of getting access to cumulative last size as in the DOM? This seems to be the same number as the combined T&S. IMO, this is a really important 'missing link' in Sierra. Also, User025429, would you mind showing how you do your current spreadsheet workaround that you mention. Thanks. Date Time Of Last Edit: 2014-09-10 13:33:45

[2014-09-10 20:28:35] #6 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
This is currently available in ACSIL: sc.SymbolData->AccumulatedLastTradeVolume 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

[2014-09-11 06:52:24] #7 [Go To First Post]
Spinoza - Posts: 62
Would it be possible for you to add AccumulatedLastTradeVolume as a study (similar to how the Depth of Market study is implemented}?

[2014-09-11 18:43:29] #8 [Go To First Post]
User025429 - Posts: 26
Calculation Method The basis for the calculation is the formula Sumproduct. I have attached a text file of one of the spreadsheets that I use, but please note that I am new to trading. As stated before due to the large number of trades, you see that I have cut the data base down to only 5000 lines and in this will only give one =- 4 minutes worth of data at the open of ZB futures. A time and sales report, using the filters that combine trades of a similar type and price that retains the data, would work for me. I got an basic estimate of $1500 to write a separate study to do this. Using the basic structure one could develop different types of tables. Hope this helps. Regards


SUMPRODUCT SUPPORT.scwbf - Attached On 2014-09-11 18:29:35 UTC - Size: 5.76 KB - 446 views Attachment Deleted. Attachment Deleted.

[2014-09-15 09:17:42] #9 [Go To First Post]
Spinoza - Posts: 62
I've probably misunderstood but would adding the Ask volume and Bid volume studies to a 1 price change pricechange bar get the data into the spreadsheet for you?

[2014-09-15 16:03:42] #10 [Go To First Post]
User025429 - Posts: 26
Yes I add the ask/bid study.

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