Support Board
Support Board
Search Board
Control Panel
View My Posts / Threads
Direct MessagesDate/Time: Tue, 16 Apr 2024 23:34:38 +0000
How to aggregate price depth data in number bars for equities
View Count: 1755
| [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. |
| [2019-03-20 22:39:38] |
| |
|
The only thing you could do is to change the Tick Size to a multiple of the current Tick Size. This will group together the data that falls within the price ranges of the new Tick Size. For example, if the Tick Size is 0.01, then changing this to 0.02 will combine two levels into 1 - changing it to .03 will combine 3 into 1, etc. Just be aware of how this may impact drawings, indicators, and other items that are dependent on the Tick Size. Refer to the following for the Tick Size: Chart Settings: Tick Size (Chart >> Chart Settings >> Symbol >> Symbol Settings menu) 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 |
To post a message in this thread, you need to log in with your Sierra Chart account: