Support Board
Date/Time: Tue, 04 Mar 2025 15:18:32 +0000
Counting Zero Bid/Ask Inside Price Bar
View Count: 789
| [2021-12-18 01:37:20] |
| SavantTrader - Posts: 110 |
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Assuming the following: >> Charting ES using 2.5R bar (i.e., 11 ticks/bar) Is there an elegant way for me to obtain a count of how many bid-at-price slots within that bar were zero? Something similar to this, but perhaps allowing a range to be specified: COUNTBLANK(BVAP(H-TICKSIZE),BVAP(H-TICKSIZE*2),...,BVAP(H-TICKSIZE*11))
I'm not even sure if COUNTBLANK will count a "0" volume value as blank, but assuming it does, my problem is that using the above very lengthy calculation as part of a CBBOAC formula is extremely cumbersome, especially when the expression needs to appear multiple times within the formula. Is there something more abbreviated I can use to specify the price range slots that constitute a bar, or (in the alternative) to simply count the number of zeros that occur in a price bar bid/ask column? I attached an example using a 3rd party study, but I could just as easily have used your Numbers Bar study to illustrate the same example. Thank you! Date Time Of Last Edit: 2021-12-19 06:42:07
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 Capture.PNG / V - Attached On 2021-12-19 06:38:39 UTC - Size: 14.37 KB - 183 views |
| [2021-12-20 15:16:02] |
| John - SC Support - Posts: 38345 |
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There is a way to do this, although it is a bit outside of the typical use case. Use the Volume At Price Threshold Alert V2 study and set the following Inputs: - Comparison Method: Ask Volume Bid Volume Ratio - Percentage Threshold: 1000 (for the Bids, use -1000 for the Asks) - Enable Zero Bid/Ask Compares: Yes - Zero Value Compare Action: Set Percentage to +/- 1000% Subgraph 59 then has a "Count of Alerts" that you can use to get the number of 0 Bids. The one thing to be aware of is that you will get a few additional comparisons in the mix where the ratio is larger than 1000%, such as an Ask of 12 and a Bid of 1 (1200% ratio). For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
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