Support Board
Date/Time: Thu, 30 Jan 2025 18:50:52 +0000
Post From: How to aggregate price depth data in number bars for equities
| [2019-03-20 17:40:21] |
| ray42 - Posts: 21 |
|
Hi, Is it possible to aggregate counts of orders for equities? For example, if you take NFLX (http://www.sierrachart.com/image.php?Image=1553102986630.png), you see that are lots of gaps because there are no trades for specific prices. Now, is it possible to group the trades say - for every 20 or 30 cents? like, all the trades from 365.00 to 365.20 is shown as 1 row - something like 5123x4584 - which contains all the bids that happened at that time between 365.00 to 365.20 and all the asks that happened between 365.00 to 365.20. I hope I am explaining this clearly - please let me know if you need clarification on this. I wanted to display it this way, because since not all prices have trades in equities (unlike futures), I thought it might make the chart easier to read because right now, I need to scroll, adjust y-axis to clearly get a look at the information on the chart because if I zoom out, since there are a lots of levels, it numbers become too small to read (http://www.sierrachart.com/image.php?Image=1553103308487.png). I understand that these types of charts are primarily meant to be used for futures where the price levels are in increments of a specific amount and there is ample volume for all price levels, but just wanted to try order flow for equities to understand price action. If there are other better ways to do this visualization of bids/asks happening inside the bar without messing up the chart scaling or anything like that, I would really like to read and explore about it. |