Support Board
Date/Time: Wed, 27 Nov 2024 20:52:23 +0000
Calculation of stacking and pulling values from historical market depth
View Count: 1037
| [2023-03-03 17:09:45] |
| User787032 - Posts: 37 |
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Hi, I know that with the Market Depth Historical Graph added to a chart, when I replay the chart, I can see stacking and pulling values for historical bars. I believe that historical stacking/pulling values are not stored anywhere, so are these values calculated simply from changes in the market depth at each price during the replay, or are the traded volumes on each bar also taken into account (as they would also impact resting liquidity)? I couldn't find any documentation showing how the stacking/pulling values are calculated For the Numbers Bars Calculated Values 2, but if it exists, I would appreciate the relevant link. Thanks. |
| [2023-03-07 12:27:08] |
| Sierra_Chart Engineering - Posts: 17198 |
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Yes and trades affect the values as well: I believe that historical stacking/pulling values are not stored anywhere, so are these values calculated simply from changes in the market depth at each price during the replay, or are the traded volumes on each bar also taken into account (as they would also impact resting liquidity)?
There is no historical data available for these. 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, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2023-03-07 17:53:59] |
| User787032 - Posts: 37 |
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Thanks for your reply. Yes, I understand that there is no historical data available for stacking/pulling. However, I'd like to know if there is any documentation that describes how the stacking/pulling values are calculated For the Numbers Bars Calculated Values 2 during a chart replay? I'm trying to develop a custom study that will plot the stacking/pulling on historical bars of a chart that has market depth history and trade volumes available. |
| [2023-03-11 09:35:55] |
| User787032 - Posts: 37 |
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However, I'd like to know if there is any documentation that describes how the stacking/pulling values are calculated For the Numbers Bars Calculated Values 2 during a chart replay?
I'll assume that the lack of response means "no". Thanks anyway. |
| [2023-07-02 19:40:24] |
| Tahir - Posts: 35 |
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I'd like to know this also!
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| [2023-07-03 04:22:00] |
| Sierra_Chart Engineering - Posts: 17198 |
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No there is no documentation for this: However, I'd like to know if there is any documentation that describes how the stacking/pulling values are calculated For the Numbers Bars Calculated Values 2 during a chart replay?
It is the same as real-time market data. 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, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2023-07-03 13:09:16] |
| John - SC Support - Posts: 36344 |
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The "Pulling Stacking" items in the Numbers Bars Calculated Values 2 study are simply the sums of the Pulling/Stacking data for the Bid and the Ask, and the difference between these two. The calculation is the same in a replay as it is in real-time. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2023-07-04 22:22:25] |
| Blue Brazilian - Posts: 42 |
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Thanks for your response, John. We've already established from Sierra Chart Engineering's response above that no historical data is available for Pulling/Stacking. So when you say: The "Pulling Stacking" items in the Numbers Bars Calculated Values 2 study are simply the sums of the Pulling/Stacking data for the Bid and the Ask, and the difference between these two.
where does the replay get the Pulling/Stacking data for historical bars?
The calculation is the same in a replay as it is in real-time. |
| [2023-07-04 22:41:08] |
| Sierra_Chart Engineering - Posts: 17198 |
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where does the replay get the Pulling/Stacking data for historical bars? It does not! It will only exist for chart bars that are newly being constructed during the replay and for dates and times that there is market depth data available.
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, use the Teton service: Sierra Chart Teton Futures Order Routing |
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