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Diagonal Comparison of Bid Volume and Ask Volume

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[2014-07-05 11:34:10] #1 [Go To First Post]
Neo - Posts: 198
I'm currently trialing out Sierra charts with my IQ feed to see if I want to switch over from Market Delta. I'm trying to setup a "foot print" volume imbalance chart for the YM, which I believe is refereed to on here as a Diagonal comparison. However i'm having trouble with the scaling. What am I doing wrong?


vol bal.png / V - Attached On 2014-07-05 11:33:24 UTC - Size: 43.52 KB - 729 views Attachment Deleted.

[2014-07-05 11:46:51] #2 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
The bar spacing looks very close. Refer to this section here to change the bar spacing and also the vertical scaling: http://www.sierrachart.com/index.php?l=doc/doc_NumbersBars.php#Scaling Also the overall appearance is based upon the Input settings you have set. If the overall appearance is not as you require, you will need to change the settings. Here is the documentation for those: http://www.sierrachart.com/index.php?l=doc/doc_NumbersBars.php#InputSettings It is somewhat hard to understand what it is you are trying to point out as the issue with this chart. The study is highly configurable and we do not know what your intentions are relative to what we are seeing. 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

[2014-07-05 12:52:18] #3 [Go To First Post]
Neo - Posts: 198
Thanks for the prompt response. First class. I thought I'd used the wrong input settings, but it looks like all i needed to do was play around with the manual scaling. Cheers.

[2014-07-05 14:01:39] #4 [Go To First Post]
Neo - Posts: 198
I've got my chart setup now, i'm impressed. Would of liked parameters for a 4th range color/ threshold, but it's already looking more versatile than MD. Just wondering if I can change the top/bottom, bid/ask into black? as per the other values in my 2nd column. Cheers.


YM flow.png / V - Attached On 2014-07-05 13:53:43 UTC - Size: 22.09 KB - 730 views

[2014-07-07 16:36:07] #5 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
What do you have the Column 2 Text Coloring Method input set to? What do you have the Column 2 Comparison Thresholds input set to? 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 Date Time Of Last Edit: 2014-07-07 16:36:46

[2014-07-08 09:00:08] #6 [Go To First Post]
Neo - Posts: 198
Ok cool, I've sorted that out. Thanks. Now i'm trying to filter out units. I know changing the bid/ask threshold to 1 will remove all zero units as they appear of the chart. However it only filters them out visually, leaving gaps in the chart, and still includes them in any diagonal comparison calculations. Is there anyway around this? I've played around with the volume filter aswell, but that's obviously not relevant to this kind of study.

[2014-07-09 08:06:20] #7 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
When you say units, are you referring to trades with a volume over or under a specific value? Sounds like the Volume Filtering is what you want. 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 Date Time Of Last Edit: 2014-07-09 08:06:33

[2014-07-09 11:40:53] #8 [Go To First Post]
Neo - Posts: 198
I'm talking about bid vs ask, however i'm referring to how it's calculated in the study. I don't want trades with a zero value on the bid or ask side, to be included in my diagonal comparison study. So in the image posted i don't want the top two trade prints(100 & 1664) to be highlighted, as it's giving a false sense of strength. eg Yellow is my top threshold which is set to 500, however if a 100 lot goes through and it's being compared to a zero lot on the other side, then that's hardly relevant, and gives no indication of strength. It just clutters my study. The volume filter just reduces the volume amount on each side, but will still color the prints if they remain x amount greater as per the threshold set. If in the same example below I adjust the bid/ask threshold to 1, then that would just hide the zero's from 'view', however i'll still end up with the 100 & 1664 left highlighted.


VL filter.png / V - Attached On 2014-07-09 11:38:42 UTC - Size: 19.37 KB - 551 views

[2014-07-10 17:23:03] #9 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
OK we understand the problem. This will be solved in the next release. 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

[2014-07-10 18:13:29] #10 [Go To First Post]
Neo - Posts: 198
Ok cool, look forward to it. Just another question. Am I able to run a ask/bid study(similar to the ask/bid volume difference bars) and use a diagonal comparison instead of a horizontal? Or is there another way i can display this on my chart? So each print block/ bar basically shows a total underneath based on diagonal comparison. I'm sure I've seen screen shots of people doing this, but can't figure it out. Just to to be clear, using the example in the image posted above: Starting from the bottom up, and adding up the diagonal comparisons you would have -77, -1500, -137, -265 = -1979 ( sold on the bid side) +635, +495, +1958, +100, +1664, +100 = 4952 (bought on the ask side) So a ask/bid volume difference bar would represent this as +2973 While a comparison on the chart could display this under each unit block eg showing 1979 x 4952, a +/- total(eg +2973) or even color the outline of the unit block based on a threshold set by the user.

[2014-07-11 12:31:09] #11 [Go To First Post]
Dom7364 - Posts: 257
This is something I asked for, in short, diagonal Delta, but was told this would be nearly similar to current delta, and heard no more about it. It can indeed be similar, and it can be v different. What is certain is that if you are going to look at imbalance on a diagonal bid/ask basis, I see no reason to consider the delta differently than diagonal bid/ask delta. Date Time Of Last Edit: 2014-07-11 12:33:50

[2014-07-11 13:15:05] #12 [Go To First Post]
Neo - Posts: 198
Yup diagonal Delta Sure the values would be the same alot of the time, however when you start filtering the data they will change. Eg if comparisons against a zero value were left out of the calculation: 100x200 0 x600 200x900 100x800 Using normal Delta you would exclude the 600, however using diagonal delta you would exclude the 200.

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