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Direct MessagesDate/Time: Sun, 08 Sep 2024 00:25:07 +0000
[User Discussion] - Problem of price with large volume trades
View Count: 290
| [2024-07-07 17:59:26] |
| User440951 - Posts: 50 |
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Hello, I would like to send a message because I can't solve my problem. What I'm trying to do is to output the price level of large volume trades as we can see them on the time and sales window or on a chart with the Study "Large volume trade indicator" (Time and sales window and large trade on chart give the same results). I tried to get the price with the Study "Time and sales price" but it doesn't fit at all. I am attaching 2 screenshots to show and explain the problem. I would like to point out that the trade combination parameters are identical for the graph and the time and sales window. Does anyone have an idea to solve the problem or if there is a study already done to obtain this information ? Thank you so much ! |
 2024-07-07 18_55_00 copie.png / V - Attached On 2024-07-07 17:59:06 UTC - Size: 168.63 KB - 45 views 2024-07-07 19_22_06.png / V - Attached On 2024-07-07 17:59:13 UTC - Size: 44.85 KB - 40 views |
| [2024-07-07 18:29:27] |
| User431178 - Posts: 495 |
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As you have already found, you cannot make the comparison between the T&S and LVTI. This is because the time and sales study is not synchronized with the chart bars, so even though you compare data from same chart bar, they are unrelated. Did you think to try adding the T&S Volume study and using that as a reference in the spreadsheet (instead of LVTI)? That way at least the price and volume you are comparing would actually be in sync with each other. I am not a spreadsheet ninja, but I would've thought you would be able to persist the price values where the volume has met your specified threshold value and output those to the chart. |
| [2024-07-07 18:45:45] |
| User440951 - Posts: 50 |
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Thanks for the feedback. What i'm looking for is the price of the trades that appear on the time and sales window and only LVTI indicates exactly the same thing as this window. if it's to have other values of large trades, i'm not interested. I tried to put the periods of the bars in volumes, time or others, but nothing doesn’t do it, it doesn’t stick. |
| [2024-07-07 19:39:18] |
| User440951 - Posts: 50 |
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Apparently I manage to obtain the same values with the "Time and sales volume" study as the time and sales window and the price seems correct ! Thank you so much. What I would also like to do is to output 5,6,7... or even the last 10 non-zero price levels from the Bid Trade column and the Ask Trade column from the "Time and sales Price" study. . How can I do this ? What formula should I use ? |
| [2024-07-08 19:28:39] |
| User440951 - Posts: 50 |
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Okay, I managed to do what I wanted but I have another problem. Indeed, in replay everything works well the study time and sales Price and Volume gives values with the filters but on a live market these same studies (without changing anything in the parameters) do not give any values! Where could the problem come from? |
| [2024-07-09 22:34:54] |
| User440951 - Posts: 50 |
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I looked a little more in detail and here is what I could observe: - when there is no filter, the study times and sales display values but almost only 1 for the volume. - with filters, it almost never displays anything, sometimes but very rarely it displays according to the filters mentioned. I have the feeling that it does not take into account the Yes parameter into the chart settings (combinations of orders) John or Sierra Engineering, do you have an explanation ? |
| [2024-07-20 15:14:27] |
| User440951 - Posts: 50 |
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Hello, I would like to restart having received no response...? The problem remains, the Studies time and sales Price and Volume do not work correctly in real time ! - They do not often display information according to the chosen filter, if values are sometimes displayed, these values do not necessarily correspond to the time and sales window (mainly on the volume) - the history disappears after a while. These Studies are supposed to be a reflection of the time and sales window, right ? So why is nothing working in real time? It's really VERY frustrating, I'll need to extract these volume and price values, but like this it's impossible ! In replay everything works perfectly, it's just amazing ! To illustrate my point, I made 2 videos edited in exactly the same way, truncating the empty passages that do not illustrate the problem. The parameters are identical in real time and in replay (those that can be seen at the start of the video in real time). One is in real time and the other is a replay of the same period, and there are no photos ! I should point out that I use the Denali feed and that in the Charts settings, Combine Trades Into Original Summary Trade is set to Yes! Here are the links to the 2 videos. In real time : https://vimeo.com/987653528 In replay: https://vimeo.com/987655807 I am counting on Sierra to provide me with an explanation and a resolution to my problem. THANKS. |
| [2024-07-22 13:56:42] |
| John - SC Support - Posts: 34254 |
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The Time and Sales studies do not know anything about combining the records. So the only way to get an exact match between what you see in the Time and Sales window and in the Time and Sales studies, is to not use any combining of the records.
For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2024-07-22 16:46:29] |
| User440951 - Posts: 50 |
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thanks for the feedback. But then how do you explain when replay everything works well with the combination of recordings? we can see it clearly in the videos. I don't understand why the T&S window can interpret the combination and not the study? would it be possible for Sierra to make this the case? or can we extract the information from the T&S window into a spreadsheet? |
| [2024-07-22 17:57:55] |
| John - SC Support - Posts: 34254 |
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We can not say why exactly without analyzing the code, and this is not something we have the time to do for this question. There are differences in the replay versus real-time, and this just is one of them.
For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2024-07-22 17:58:32
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| [2024-07-22 19:52:29] |
| User440951 - Posts: 50 |
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Suffice to say that this study is therefore not of much use given that it is impossible to bring out the same information as the T&S window... I am disappointed, especially since it is also impossible to bring out the price level of the study large trade indicator and that this same study is not available in the trade DOM. I still hope that one day it will be possible... |
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