Support Board
Date/Time: Fri, 29 Nov 2024 02:51:17 +0000
Calculating Delta at specific price levels within a bar
View Count: 512
| [2023-03-08 23:00:12] |
| User340810 - Posts: 9 |
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Is there a way to calculate the delta at specific price levels within a bar without having to write a custom study? For example, if I wanted to calculate the delta at the bottom 4 ticks of a bar or the top 4 ticks of a bar, can that be done via the numbers bar study?
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| [2023-03-08 23:18:43] |
| John - SC Support - Posts: 36350 |
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This can be done, but you would have to use the Spreadsheet Formula to do it, as the only access to the data is through the Alert Syntax. Refer to the following information first to understand the syntax we will be using: Study/Chart Alerts And Scanning: Special Functions To get the delta at a single price level, if you know the price level, you would enter the following for the Formula in the Spreadsheet Formula: = AVAP(3898.0, 0) - BVAP(3898.0, 0) To get the delta at the high of a bar, you would do the following: = AVAP(H, 0) - BVAP(H, 0) And finally, if you want to get the sum of the deltas for the top 3 price levels, you would enter the following: = AVAP(H, 0) - BVAP(H, 0) + AVAP(H - TICKSIZE * 1, 0) - BVAP(H - TICKSIZE * 1, 0) + AVAP(H - TICKSIZE * 2, 0) - BVAP(H - TICKSIZE * 2, 0) You should be able to work out what you need from this. There are then various ways to display the data, but look at the Study Subgraph Above/Below Bar as Text: Study Subgraph Above/Below Bar as Text 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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