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New Idea : Time and Sales Cumulative
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New Idea : Time and Sales Cumulative

  #1 (permalink)
Trading Apprentice
Riyadh - Saudi Arabia
 
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New Idea : Time and Sales Cumulative

Hi all ;

I have an idea that am looking for programmers to code it into Sierra Chart , if any.

Here is my idea :

my idea is simple and it gets its raw data from REAL time & sales data : it is a cumulative oscilator of the T&S Data .. it adds volumes on ask and subtract volumes on bid.

suppose that we have this series of T&S Data :

Ask 3
Ask 5
Bid 2
Ask 10
Ask 6
Bid 4
Ask 2
Bid 5
Bid 10
Ask 4
Bid 2
Bid 7
Ask 1

Suppose that our Cumulative T&S starts from 0 so our oscilator will draw and update itself like this
0+3+5-2+10+6-4+2-5-10+4-2-7+1

each ask volume we add +
each bid volume we subtract -

this oscilator shall be drawn on many timeframes which goes from tick , 10 sec , 30 sec , 1 min , 2 min .. etc
but i want to have mini time frames like 10 sec so that we have a chance to catch HFT.
i mean it update itself on tick bid/ask volumes using timeframes ( 10 sec , 30 sec ..etc etc ).

each new 10 sec : it adds old value + new updated values of bid volume / ask volume , and so on.

our oscillator shall go past 10000 - 15000 lines of T&S.

Kindly , advise me about my idea

As we got the oscillator , then we can check for the Volumes hammering either Bid or Ask.

is it applicable ?

Thanx

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  #3 (permalink)
Market Wizard
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You might want to take a look at GOMI CD first - what you describe is a cumulative delta indicator or some people call it volume breakdown.

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  #4 (permalink)
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DionysusToast View Post
You might want to take a look at GOMI CD first - what you describe is a cumulative delta indicator or some people call it volume breakdown.

ok sir ;

may you guide me to GOMI CD ?

I guess that what am thinking about is diffrent from normal CD , as mine is a cumulative one which added old interval one to the new bars one and hence forth.

So : mine is add/subtract ask vol / bid vol for each T&S line comes in and so on.

lets see what our programmers here can help us about.

regards

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  #5 (permalink)
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@omrangassan,

I am a SC programmer.
As @DionysusToast told you, what you describe is exactly the cumulative delta.
It is a built-in study in SC.
Documentation: http://www.sierrachart.com/index.php?l=doc/doc_TechnicalStudiesReference.html#292 and http://www.sierrachart.com/index.php?l=doc/helpdetails71.html
So I am not sure to understand what you ask for.

Nicolas

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  #6 (permalink)
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Thanx Nicolas

I will come back after i study the links you sent me.

regards

Attached Thumbnails
New Idea : Time and Sales Cumulative-timeandsales.png  
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  #7 (permalink)
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@omrangassan,

For me, cumulative delta, trade after trade, adds the green figures and subtracts the red figures in the "volume" column of your picture.


Last edited by Nicolas11; August 18th, 2012 at 01:01 PM.
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  #8 (permalink)
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@DionysusToast,

Nice to see you here. This situation is quite funny because I was watching a very interesting video on Youtube about iceberg orders (Iceberg Orders and Market Manipulation) while writing in this thread. At the end of the video, I noticed it was... yours.

Nicolas

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  #9 (permalink)
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Nicolas11 View Post
@omrangassan,

For me, cumulative delta, trade after trade, adds the green figures and subtracts the red figures in the "volume" column of your picture.

thanx Nicolas and DionysusToast

but : am not sure if this is what exactly in mind.

let me ask some questions which shall clarify it all

1- does the Cumulative Delta Bars draws its bars for each askvol-bidvol candle or it adds/subtract the new candle value for the previous candle value ?

2- does this ask vol/bid vol represented volume of contracts entered on market orders or limit orders waiting to be activated at each bar ?

attached in my last post , is T&S window picture : does the Ask Volume and the Bid Volume used for the calculation of Cumulative Delta Bars represend the contract numbers in ( volume = # 1 ) or it represent bidsize / asksize ( numbers 2 + 3 ) ?

what am thinking is that i want to use volume ( # 1 ) : if it is green raw ( ask trade ) we add this volume , if it red raw ( bid trade ) we subtract this volume , we can draw this oscilator in many timeframes ( 10 sec , 30 sec .. etc etc ).


thanx for your comments.
appreciates.
best regards

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  #10 (permalink)
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@omrangassan,

I respectfully think that you are mixing up some concepts.

One trade = one market order hitting a limit order which was waiting in the DOM.

For instance, a BUY market order meeting a SELL limit order which was waiting in the DOM.
The size of this trade is accounted in "Ask Volume".

...or a SELL market order meeting a BUY limit order which was waiting in the DOM.
The size of this trade is accounted in "Bid Volume".

Cumulative delta cumulatively adds the "ask volumes" and subtracts the "bid volumes".

For me, "ask size" and "bid size" is something different. It is the size of limit orders waiting at first level of the DOM on each side.

Nicolas


Last edited by Nicolas11; August 18th, 2012 at 01:14 PM.
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