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Date/Time: Sun, 19 May 2024 02:02:01 +0000

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Volume Threshold At Price V2

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[2024-04-12 13:17:34] #1 [Go To First Post]
User656492 - Posts: 136
I'm trying to highlight each price level where < N contracts have traded on ask side on a numbers bar chart where I'm aggregating ticks. Example: NQM4.CME Tick Size 0.50 (vs. 0.25 default) sample bar, where N = 5: I can highlight the x 0 rows, but don't know how to highlight the 29 x 3 shown below. 1 x 11 26 x 24 29 x 3 <---- ?????? 24 x 0 <---- 11 x 0 <---- 12 x 0 <---- 20 x 0 <---- 1 x 10 20 x 20 How can I do this? Thanks!

[2024-04-12 15:05:32] #2 [Go To First Post]
John - SC Support - Posts: 31704
The first thing is that we do not recommend actually changing the Tick Size of the chart. Rather, use the "Volume at Price Multiplier" to do this. Refer to the following: Chart Settings: Volume at Price Multiplier for Historical/Intraday Chart (Chart >> Chart Settings >> Chart Data >> Volume at Price menu) -- There really is not a good way to get what you are wanting. The problem is that each "alert" in the "Volume at Price Threshold Alert V2" is a separate subgraph that has the price at which the alert condition is true. And it is not a matter of each "alert" matching up from bottom to top, it just starts filling in from the first subgraph to however many alerts there are in a bar. The only thing we can suggest is to use the Spreadsheet Study along with the Volume at Price Threshold Alert V2 where the "Volume at Price Threshold Alert V2" is set to alert at the level of the "Less Than" that you want. For instance, in your example you would set the value for the Ask Volume to 5. Then you would need to compare each price level of a bar to the prices of the alerts and display that value if there is not a match. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing

[2024-04-12 15:11:37] #3 [Go To First Post]
User656492 - Posts: 136
Thanks, John! Addressing first point about Tick Size of Chart... Numbers Bars get very tall for an instrument like NQ. Does Volume at Price Multiplier help me address bar height?

[2024-04-12 15:33:10] #4 [Go To First Post]
John - SC Support - Posts: 31704
Yes. It works exactly the same as changing the Tick Size, but it does not actually change the tick size. It just combines the volume data together behind the scenes, so everything else will still appear correctly. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing

[2024-04-12 18:25:25] #5 [Go To First Post]
User656492 - Posts: 136
Thanks, John. I'm working on this but it seems like n odd design decision to be able to flag 0 or a min value, but not a max value. Any chance we can see an updated version of this study?

[2024-04-12 18:33:03] #6 [Go To First Post]
John - SC Support - Posts: 31704
Most people are looking for the presence of large outliers rather than the opposite. We have set this as a "Feature Request", but we can not say when we would get to any particular request. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing

[2024-04-12 18:56:20] #7 [Go To First Post]
User656492 - Posts: 136
I'm confused by the proposed spreadsheet approach. I have the V2 study and I have numbers bars. How to do I find the volume at a price level inside a bar as described in the original query? The V2 study puts only the price level in the spreadsheet. The docs say that AVAP, BVAP are not for use with a spreadsheet. Is there a step I'm missing?

[2024-04-12 19:34:59] #8 [Go To First Post]
John - SC Support - Posts: 31704
How to do I find the volume at a price level inside a bar as described in the original query? If you want the Bid or Ask volume at a particular price level, you would have to feed that into the "Spreadsheet Formula" study and use the BVAP/AVAP functions within that. The Spreadsheet Formula uses the Alert syntax rather than the Spreadsheet Syntax (despite its name). For example, if you want to know the value of the Bid Volume at the level of the first alert in the Volume at Price Threshold Alert V2, then you would enter the following for the formula in the Spreadsheet Formula: =BVAP(ID1.SG1, 0) Where ID1 is the Volume at Price Threshold Alert V2 study ID. You would have to use another copy of the Spreadsheet Formula to get SG2, and then another for SG3, etc. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing

[2024-04-12 19:47:04] #9 [Go To First Post]
User656492 - Posts: 136
That is such a beautifully clear response that I'm going to name a puppy after you. Some day. Thanks!

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