Support Board
Date/Time: Thu, 28 Nov 2024 11:01:11 +0000
Calculations: bid - ask, average market depth
View Count: 494
| [2023-05-10 13:50:35] |
| User775644 - Posts: 8 |
|
SC Support, I was wondering if you could help with these 2 calculations? Q1: Does SC already have a study or indicator that displays this calculation: “bid - ask” (not the “ask – bid”)? Q2: Does SC already have a study or indicator that can calculate the current “average market depth” (limit orders), for the bid side and ask side? For example: add up the bid limit orders, 5 levels deep, and calculate the average. And do the same calculation on the ask side. Thank you for SC, and thank you for any advice and help with these questions! |
| [2023-05-10 14:58:26] |
| John - SC Support - Posts: 36350 |
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The only item that has "Bid - Ask" is the Volume by Price study. The Input for "Display Volume in Bars" has the options of "Ask - Bid" and "Bid - Ask". Refer to the information here: Volume By Price Study: Display Volume in Bars But this is also the negative of "Ask - Bid", so if you are looking for the per bar information, you could use the "Numbers Bars Calculated Values" and then use the "Study Subgraph Multiply" to multiply by -1 to get the "Bid - Ask" and then display that result. Refer to the following: Numbers Bars: Numbers Bars Calculated Values Subgraph Descriptions Study Subgraph Multiply For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2023-05-11 12:02:55] |
| User775644 - Posts: 8 |
|
SC Support, Thank you so much for the "bid- ask" calculation help! For question 2, is there a study is SC that can calculate the current “average market depth” (limit orders), for the bid side and ask side? For example: add up the bid limit orders, 5 levels deep, and calculate the average. And do the same calculation on the ask side. Thank you again for any advice and help with this! |
| [2023-05-11 14:27:33] |
| John - SC Support - Posts: 36350 |
|
Sorry we forgot to answer that. Again, there is not a single study, but you can put together what you need. To get the sum of the Bids or Asks, you would use the Bid and Ask Depth Bars, and set the calculation mode to Sum Bid Side for one copy and Sum Ask Side for a second copy. This will give you the sums in the "Close" subgraph. Refer to the following: Bid & Ask Depth Bars There is not a way to get the number of levels of Bid and Ask, so you would have to limit this by using the option for Chart >> Chart Settings >> Market Depth >> Number of Levels for Bid Ask Depth Calculations. Refer to the following: Chart Settings: Number of Levels for Bid/Ask Depth Calculations (Chart >> Chart Settings >> Market Depth menu) Then you can use the Study Subgraph Divide study to divide the data from the Close subgraph in the Bid and Ask Depth Bars by the number of levels you have defined to get your average. Refer to the following: Study Subgraph Divide 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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