Support Board
Date/Time: Fri, 04 Apr 2025 21:20:09 +0000
Custom Calculated Symbols and Volume
View Count: 982
| [2023-09-24 17:17:32] |
| maxpi - Posts: 182 |
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I'm working to have a chart with 1 second data via Custom Calculated Symbols. I have various symbols all aimed at having a chart of the ES: .5*{ESZ23-CME} +.5*{ESZ23-CME}, {ESZ23-CME}/2+{ESZ23-CME}/2, 1*{ESZ23-CME}, {ESZ23-CME}, 6*{ESZ23-CME}-5*{ESZ23-CME}, all of which chart Region 1 fine with 30 second bars. The problem is that all of them show different values for the Volume study and none match the volume of a normal chart of the ES. That makes use of any volume based bars or studies moot. If any symbol was to be correct I would expect that it would be {ESZ23-CME} but volume is way different than the usual ES chart with exact same settings. If I pull up a new chart with one of the custom symbols it does not initially display [FSE] but when I add the volume study [FSE] displays and after removing the volume study the chart still displays [FSE]. The docs seem to indicate that custom symbol volume should be useful but I can't see how at this point. |
| [2023-09-25 13:52:39] |
| maxpi - Posts: 182 |
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Realtime volumes of {ESZ23-CME} look much less synthetic than the historical volumes I got over the weekend but they do not match the volumes of ESZ23-CME. The volumes of ESZ23-CME seem to be consistently larger than the volumes of the custom symbol but the scaling is not consistent
Date Time Of Last Edit: 2023-09-25 15:25:42
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| [2023-09-25 17:56:44] |
| John - SC Support - Posts: 39172 |
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Refer to the following: Custom Calculated Symbols: Custom Calculated Symbols Volume Calculations For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2023-09-25 18:12:02] |
| maxpi - Posts: 182 |
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if "the following fields: TotalVolume, BidVolume, AskVolume, and NumTrades for each generated Intraday data record are the total sum from these same fields of all of the component symbols used in the custom calculated symbol" were true than my chart would display the volume correctly, no?
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| [2023-09-25 20:53:01] |
| maxpi - Posts: 182 |
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compare volumes of 1 second charts, one ESZ23-CME and one {ESZ23-CME} you will see that the custom chart volume is always <= to the standard chart volume, never exceeds it. https://www.sierrachart.com/image.php?Image=1695735229916.png Date Time Of Last Edit: 2023-09-26 13:42:23
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| [2023-09-27 23:35:47] |
| maxpi - Posts: 182 |
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The Number of Trades is the same for the normal symbol and the custom calculated symbol, the Ask Volume and Bid Volume is not the same as those from the normal symbol, the Total Volume does equal the sum of the Bid and Ask volumes... Making a {MSFT-NQTV} symbol and comparing it's chart to the MSFT-NQTV chart shows the same problems as the futs charts It seems that incorrect Bid and Ask volumes for the Custom Calculated Symbols is the basis for the discrepancies https://www.sierrachart.com/image.php?Image=1695910500969.png Date Time Of Last Edit: 2023-09-28 14:16:07
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| [2023-09-28 14:19:27] |
| maxpi - Posts: 182 |
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I would really like to urge that this be fixed or I be shown how to get it right. I believe that I am complying with the instructions.
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| [2023-09-29 14:35:25] |
| Sierra_Chart Engineering - Posts: 19075 |
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We will look this over.
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 |
| [2023-10-04 10:42:58] |
| maxpi - Posts: 182 |
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I'm editing the data and finding I do not have 1 second bars. I have bar times that look like the normal data with millisecs indicated and often several per second Edit: the last part of the data is not 1 second, most of it is. I think that the 1 second data was generated by data downloaded after the software was not running all day, historical iow, then the non-1 second data might be what was added after that while a chart was getting realtime data Date Time Of Last Edit: 2023-10-04 22:16:00
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| [2023-10-05 12:05:32] |
| maxpi - Posts: 182 |
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More exactly: I purge the custom symbol and it's data entirely. I make it anew. The data is 1 second granularity, the volume looks synthetic; many consecutive 1 sec bars with the same volume for example. I load it into a chart and the data generated in realtime is not 1 sec, it is many data points per second but the charts' volume is correct.
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| [2023-10-05 13:57:06] |
| Sierra_Chart Engineering - Posts: 19075 |
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Yes that does make sense. We will make sure the documentation makes this clear.
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 |
| [2024-09-15 18:24:45] |
| User150671 - Posts: 69 |
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Bumping this as I am having the same issue. Created a custom symbol of (AAPL-NQTV} going of the documentation here: Custom Calculated Symbols Results in very different volume and bid/ask volume fields see below: https://www.sierrachart.com/image.php?Image=1726424458973.png Am I doing something wrong here? |
| [2024-09-16 09:30:59] |
| User150671 - Posts: 69 |
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Testing this with a live chart on multiple symbols against a 'Sum Charts from List' study using the same assets, price is fine but the volume is way off. The Formula chart has FSC at the end, so in theory should be calculating correctly. |
| [2024-09-16 21:47:07] |
| User150671 - Posts: 69 |
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See a notification of reply from Sierra_Chart Engineering, but see no reply?
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| [2024-09-17 13:13:37] |
| John - SC Support - Posts: 39172 |
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There was a post, but it was subsequently removed. This is still being looked into.
For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2024-10-29 15:57:38] |
| User150671 - Posts: 69 |
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Hey guys, appreciate you guys have a lot on your plate, just curious if there was any update on this?
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| [2024-10-29 16:14:58] |
| John - SC Support - Posts: 39172 |
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There have not been any changes to this yet.
For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2024-12-13 10:20:35] |
| Tamas_Biro - Posts: 6 |
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Dear Team, please fix the custom symbol volume/bid volume/ask volume wise. Historical volumes are not accurate. Also if you could implement the weighting based on the operators - it would be very nice. I am creating my own, the challenge i face that in case there is no new data for one symbol yet, but there is for another, then as the base data index is handled for each chart/symbol differently, the last index for one will represent a different timestamp than the other. In case of volume based calculations, like vwap - a custom weighted index will not be precise at all. As im coding it now i know it is work intense, but im also aware your coders are way above my level. Thank you in advance! |
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