Support Board
Date/Time: Sat, 11 Jan 2025 22:45:54 +0000
[Programming Help] - Calculate volume of certain bars and display end of day cum delta
View Count: 2069
| [2017-01-11 20:02:21] |
| User463105 - Posts: 2 |
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Hi, I am just wondering whether it is possible within Sierra Chart to automatically calculate cum delta of certain bars? Let's assume I want to calculate cum delta of the first and last 7 3 min bars of a session or cum delta of bars, where number of contracts/second was > x. The easier option would be to calculate cum delta of bars where volume exceeded certain size, but I can't even find this. If it is not possible, could I achieve it least via the paint bar alert condition? |
| [2017-01-15 01:18:46] |
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When using the Cumulative Delta Bars study, to only base it upon certain bars, requires that you only set the chart to display those bars only through the Chart Settings: Chart Settings or cum delta of bars, where number of contracts/second was > x. The There is no support like this. You can set a Volume Filter for a chart though: https://www.sierrachart.com/index.php?page=doc/ChartSettings.html&CAID=#VolumeFilter 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: 2017-01-15 01:19:12
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| [2017-01-15 01:21:28] |
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There is also the Chart Calculator tool which can display the total of the Ask Volume Bid Volume difference: Chart Drawing Tools: Chart Calculator 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 |
| [2017-01-15 18:46:03] |
| User463105 - Posts: 2 |
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Hi, Thank you for your answer, I do understand I can filter out certain volume, however I am not looking to do this. Let's assume on a certain bar volume spikes to 1000 contracts, when average is 200. I want to capture the event and add to a calculation. If all the trades are broken to 1 contract, and I set up 10 contracts as a filter, I will miss a whole picture. As you are aware in modern markets most big orders are broken down into smaller ones, as a result the filter is kind of irrelevant. Do you have any other ideas, how to at least on the 5 minutes chart capture bars with a certain volumes and then calculate cum delta of just these bars. So the logic would look like: if vol of x bar is 1000 > add this to a bucket. This is for example is a1. Another similar event a2. at the end of the day a total bucket will equal to the sum of all a's as: total cum delta = a1+a2+a3.... Thank you for the help. Date Time Of Last Edit: 2017-01-15 18:46:46
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| [2017-01-15 19:35:40] |
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You really would have to custom program something like this using ACSIL: Advanced Custom Study Interface and Language (ACSIL) You can modify the existing Cumulative Delta Bars-Volume study. Refer to: https://www.sierrachart.com/index.php?page=doc/BuildCustomStudiesDLL.html As you are aware in modern markets most big orders are broken down into smaller ones, as a result the filter is kind of irrelevant. Yes, we are aware of this.
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: 2017-01-15 19:36:47
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