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Bookmap style Orderbook & Heatmap for US Equities

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[2024-02-29 19:23:37] #1 [Go To First Post]
User763335 - Posts: 82
Am subsribed to both "Nasdaq Total View" Market depth data feed & US Consolidated Tape for Equities. Using <Ticker>_MBO notation for charting(Footprint,Volume Profile,TPO etc). Former user of Bookmap. Trying to come up with Bookmap style Orderbook/Heatmap for some of my key tickers like $TSLA, $AMD, $SPY, but dont have much luck. Under the Symbol Settings, I dont find the _MBO ticker, but located <Ticker>-NQTV (for eg TSLA-NQTV). Supports Market Depth="supported", Record Market Depth Data="yes", "Use Custom symbol Settings Values" are set. Plotted a 30sec chart, using a HeatmapExample.cht found on this support forum and this (attached) is what I get. Market Depth Historical Graph is the only study. Graph type is Bid/Ask Volume bar. Some of chart settings are Maximum Market Depth Data Days to load=30, Maximum Market Depth Levels=500,Number of Levels for Bid/Ask Depth Calculations=500. How do I get the CurrentOrderBook(COB) on the right column, with Bid/Ask size rounded to K/M and colored distinctly, SessionVolumeProfile & ChartVolumeProfile(visible bars) on the right columns? How do I make the Liquidity levels on the heatmap more pronounced and discrete? Right now, it has painted in pretty much two colors broadly, one above(ask side) and one below(bid side)..without any clear distinct liquidity levels.. Looking to get something like attached Bookmap screenshot.. What am I doing wrong? can you pls assist? Thanks


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[2024-02-29 19:53:12] #2 [Go To First Post]
John - SC Support - Posts: 36238
With regards to the symbol settings, there is nothing you need to change in those. If you have the Market Depth Historical Graph on a chart for a symbol, then the Market Depth will automatically be stored while your Sierra Chart is connected to the data feed. And for when you are not connected, we have historical market depth data available that will get downloaded (and if not, you can force the download). Refer to the following: Market Depth Historical Graph: Downloading Of Historical Market Depth Data With regards to the coloring of the Market Depth Historical Graph, it depends on the colors you have set for the "Range x Min/Max Ask/Bid Color" and the other settings that define the top and bottom of the range of values you want to color. Please let us know what exactly you want to see in terms of the Market Depth coloring (i.e. what values you want at what color) and we will point you towards how to set that up. Also, refer to the following for how the coloring is done, which will help you understand how to setup the Market Depth Historical Graph: Market Depth Historical Graph: Block Coloring Logic For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing

[2024-02-29 21:44:59] #3 [Go To First Post]
User763335 - Posts: 82
Hi, thanks for the info..seems the coloring logic & config of this is way too complicated for what we're trying to achieve..All I'm looking for is the thickness and color intensity of the displayed bars(at a liquidity level, be it a bid or ask) to be proportional to the size .As shown in the attached Bookmap screenshot, the level 180 is highlighted most intense RED and highest thickness, corresponding to the highest ask size of 41.8K and and smallest size(bid or ask) darkest blue gradually..pls see the desired color gradient in my notes. Besides the color gradient and thickness of the bars, I'm very keen on getting the Bid & Ask sizes displayed on two different columns(size using large number display format(K,M,G), as indicated in the screenshot..,as well Session Volume Profile and Chart Volume Profile on the last two columns. Also is there an option to display Volume Dots (with Volume Delta coloring) like Bookmap? Thanks


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[2024-02-29 22:25:54] #4 [Go To First Post]
John - SC Support - Posts: 36238
We do not have a constant color gradient. You need to define the colors into the 4 categories of "Range Max Ask/Bid Color". If you want to essentially get a constant gradient, then set the option for "Use Range Minimum Colors" to "No". And then set your "Range x Max Ask/Bid Color" to give you the range you want. For instance, try setting the following: - Range 3 Max Ask Color: Red - Range 2 Max Ask Color: Yellow - Range 1 Max Ask Color: White - Range 0 Max Ask Color: Blue If you want the Bids to have the same coloring then set them the same way. Another item that is different is that Sierra Chart does not change the thickness of the information based on intensity. All the blocks are the same size. There is a lot you can do with our Market Depth Historical Graph, but you need to understand how the items interact and what exactly you want. Be sure you go through the Inputs at the following link: Market Depth Historical Graph: Study Inputs -- To get the Bid/Ask sizes displayed in columns in the DOM, make sure you have the "Trade >> Trading Chart DOM On" or "Trade >> Show Market Data Columns". Then be sure you have either the "Bid Size" and "Ask Size" columns displayed or the "Bid Size/Buy" and "Ask Size/Sell" columns displayed. Refer to the following: Global Trade Settings Windows: Sell Order Column - Left/Center/Right Aligned There is not an option to display the Market Depth data with a size suffix (such as K, M, etc.). The numbers are only shown as the full integer. -- With regards to Volume Dots, refer to the following study: Large Volume Trade Indicator For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing

[2024-03-01 18:05:53] #5 [Go To First Post]
User763335 - Posts: 82
I was able to adjust the 4 ranges including min/max and other settings(including tick size, large trade indicator), to come up with something like the attached. Not close to Bookmap, but best I can do based on whats feasible. Request SierraChart to make further enhancement w.r.to better displaying the bid/ask size, when zoomed to see bigger price range, without compressing/messing up the numbers too much. Auto scaling the Chart DOM zooms in and correctly shows the bid/ask sizes around the current price closely like shown in the 2nd screenshot, but the moment I go back to "Scale Range Automatic", it zooms out and messes up the display of bid/ask sizes as shown in the first screenshot(to the point of unreadable). We should be able to zoom out , to see bigger picture and see high level liquidity levels upto say $10-$25 above/below the current price..for some of these high priced stocks. thanks for your assistance, Date Time Of Last Edit: 2024-03-01 18:11:24


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[2024-03-01 18:40:41] #6 [Go To First Post]
John - SC Support - Posts: 36238
We are not certain if this is what you are looking for, but the Market Depth Historical Graph has the ability to automatically combine price increments together based on the spacing of the chart. Refer to the following Input information: Market Depth Historical Graph: Automatic Combine Increment Adjustment Value For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing

[2024-03-01 19:16:45] #7 [Go To First Post]
User763335 - Posts: 82
I had tried playing with it with different values 5-10, but doesnt seem to help. Besides, setting the scale range to automatic on price scale, re-adjusts those combine increment in ticks value(from what was set in study settings)..,still messed up sizes, when price scale is automatic or zoomed out. Dont get these kinda issues with Bookmap. One other thing I noticed is, sometimes you do display the bid/ask sizes in large format(K/M), not just integers. See attached screenshot. Just need it consistently.


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