Support Board
Date/Time: Wed, 15 Jan 2025 12:53:12 +0000
Number Bar / footprint / order flow improvements
View Count: 3713
| [2017-08-03 12:49:25] |
| User99934 - Posts: 227 |
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I like the improvements to number bars / footprint / order flow this developer did. What do you think? https://youtu.be/mOOS_ZOkboE playlist is https://youtu.be/mOOS_ZOkboE?list=PLR34rQ10tXJdbdMt79N5-IHuPOUpE93b7 Starting at 38:23 in the first video, he shows 1. upticks/downticks vs trades at bid/ask 2. improved diagonal comparison by shifting bids up 1/2 tick and shifting offers down 1/2 tick so your diagonal comparisons are on same line 3. at 41:56 he shows solution of volatility with order flow by using combined ticks 4. Many other improvements |
| [2017-08-03 18:08:18] |
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We did not watch the videos. 1. There really for the most part are small differences between these two methods and it is more technically correct to determine the aggressor side of a trade and that is identified and labeled as a bid trade or ask trade. We have no interest in using up ticks and down ticks. It is a lot of extra work for little benefit if any. 3. This is now supported: Sierra Chart Exchange Data Feed Supports Reporting Original Summary Trades From CME 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: 2017-08-03 18:09:00
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| [2017-08-03 21:47:39] |
| User99934 - Posts: 227 |
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"We have no interest in using up ticks and down ticks. It is a lot of extra work for little benefit if any." If you look at Sierra Cumulative Delta Bars up/down tick vs Sierra Cumulative Delta Bars-Volume on ES, there is a large difference. Would this also not be true using a Number Bar? The Cumulative Delta Bar up/down tick version has a much higher correlation to price action. The combined ticks at 41:56 on https://youtu.be/mOOS_ZOkboE is very different. He is not using 1 tick for each display point but rather combines multiple ticks for one display point. By the way, in version 1594, your "reconstruction of the tape" function is not working on 1000 trade bars for ES. |
| [2017-08-04 02:09:20] |
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The Cumulative Delta Bar up/down tick version has a much higher correlation to price action. This does not mean it is necessarily more accurate or better.He is not using 1 tick for each display point but rather combines multiple ticks for one display point. The new feature in Sierra Chart to combine trades does not require a chart be set to one trade per bar. By the way, in version 1594, your "reconstruction of the tape" function is not working on 1000 trade bars for ES. You need to use the Sierra Chart Exchange Data Feed for this feature:Sierra Chart Exchange Data Feed It is not supported when using any other service because no other service provides the necessary data to do this. Although the only exception is CTS. 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: 2017-08-04 02:10:20
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| [2017-08-04 12:53:01] |
| User99934 - Posts: 227 |
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The combined ticks feature I am referring to is a display function and not a "reconstruction of the tape." The combined ticks at 41:56 on https://youtu.be/mOOS_ZOkboE "It is not supported when using any other service because no other service provides the necessary data to do this. Although the only exception is CTS. " |
| [2017-08-04 17:27:36] |
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We did look at the video and what we think they are doing is what is documented here: Numbers Bars: Adjusting Tick Size For Larger Increment 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 |
| [2017-08-04 17:35:30] |
| User99934 - Posts: 227 |
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I think you are right. Thank you.
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| [2017-08-04 17:56:51] |
| User99934 - Posts: 227 |
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When using a number bar volume profile with diagonal dominant side askvol bidvol percentage with volume profile bars length relative to all visible bars, is there a way to put in a neutral color bar when criteria is not met to avoid empty profiles prices and maintain the proper look? http://www.sierrachart.com/image.php?Image=1501869286283.png |
| [2017-08-04 21:37:26] |
| User99934 - Posts: 227 |
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At 15:50 EST today, the NQ went from 5888.50 to 5893.25 in 2 seconds. The time and sales pic is attached. I don't think characterizing all these trades as bid trades (while technically correct because the bid jumped from 5888.50 to 5890.50 in .001 seconds at 15:50:00.014 EST) helps most studies. The cumulative delta up/down tick gave an accurate representation while cumulative delta volume did not. http://www.sierrachart.com/image.php?Image=1501880007746.png While this was an extreme example, this happens throughout the day on a smaller scale and for different reasons. In my opinion, this is why I think the exchange data throws off so many people who rely on it in order flow studies. If I am mistaken I would appreciate anyone's thoughts. |
| [2017-08-04 22:46:52] |
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The problem is you are using a faulty data feed. This is what the Sierra Chart Exchange Data Feed shows: http://www.sierrachart.com/image.php?Image=1501886681177.png This is what the Gain Capital feed shows: http://www.sierrachart.com/image.php?Image=1501886767331.png What we suspect is happening is the best bid and ask data are are not updating when they should be. 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: 2017-08-05 13:47:23
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| [2017-08-04 22:55:57] |
| User99934 - Posts: 227 |
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Oh my goodness!
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| [2017-08-05 01:34:48] |
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The Sierra Chart Exchange Data Feed is 25 USD a month for 10 symbols. Or 35 USD a month for 100 symbols. No we cannot match the cost, we would lose money. Exchange fees are the same no matter where you get the data from. CQG is a good data feed. You will be fine with it. Here is the CQG chart: http://www.sierrachart.com/image.php?Image=1501896853334.png 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 |
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