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Date/Time: Sat, 21 Dec 2024 16:37:37 +0000
[User Discussion] - Study/Overlay showing different results on identical charts
View Count: 1657
| [2013-05-13 16:07:50] |
| pe1111112 - Posts: 35 |
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If you remember a previous thread I asked if it were possible to mark on the charts where big orders come through. I wanted to plot Time and Sales data on the chart. I sort of found a workaround. What I did was load a one second chart and use a worksheet to watch for bid/ask volume of a specific size. While it's not quite as specific as taking the data from the Time and Sales, it's still going to be close because it's looking at how many contracts were traded in one second. So I've divided it into 500-999 contracts, 1000-1999 contracts, and 2000+ contracts, and this is done for the bid volume and also for the ask volume. Any time one of those criteria is hit, a different color/size dot appears on the one second chart (see attachment). Now I don't want to stare at a one second chart all day, so I decided to overlay this data onto a 5000 volume chart so I can where the big orders are coming in on a bigger timeframe. I opened two 5000 volume charts and overlaid the study on each. I would expect the results to be the same, but they are substantially different. Can you help me understand why overlaying a study on two identical charts would produce different results? See attached screenshot. I put them in the same image so you can directly compare. For example, the top 5,000 volume ES chart shows a blue dot (1000-1999 bid volume in one second) near the low of the day at 8:55, but the bottom 5,000 volume ES chart shows nothing there. That's just one example, you can see the rest. I'm using tick data. It's possible I'm doing something wrong so I'd like to hear your thoughts. Date Time Of Last Edit: 2013-05-13 16:09:36
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 one second chart.png / V - Attached On 2013-05-13 16:06:21 UTC - Size: 130.53 KB - 603 views 5000 volume charts.png / V - Attached On 2013-05-13 16:06:25 UTC - Size: 225.6 KB - 580 views |
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