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How to get high volume trades visual alert plotted on a range chart?
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How to get high volume trades visual alert plotted on a range chart?

  #61 (permalink)
Elite Member
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@Rui S - Please try this version and let me know how it goes.

- This should address the missing trades
- This should paint the correct bar as well

One important point to note: If there are multiple T&S records for the same "second" that meet volume criteria - it would pick the volume from very latest record ( would pick the very "latest" record that met the criteria - Which would be typically on top of T&S window - for that second).

PS: Still haven't included Aggregate T&S to this yet and thinking whether it makes sense to actually implement or not either. Would think through and would implement if it makes sense.

Thanks

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Register to download File Type: cpp VolumeThreshold5.cpp (2.7 KB, 10 views)
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  #62 (permalink)
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@Rui S - I still see few of the trades being missed out(potentially) during faster market - Checking further.

Please post your observations though.

Thanks.


Last edited by ejtrader; December 5th, 2013 at 10:51 AM.
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  #63 (permalink)
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@ejtrader

I was precisely writing this message for you when I saw yours.

I have been testing Volume Threshold5 study for a few hours now and I regret to confirm that unfortunately the study is still revealing the same problems I reported for version 4 (as you said).

All the trades the study signals and plots are 100% accurate, both in terms of bar painting and price level. However it is still missing too many trades, not painting the bar nor plotting the number of contracts.

The market hasn't been too fast up to the time I am writing this message, so I don't really know if the problem is solely related to the price speed.

I hope you can somehow figure out a solution for it.

Sorry for the hassle.

Thank you.

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  #64 (permalink)
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@Rui S - I think I found the bug. So far my test looks good using this version. Please check this version and let me know your feedback.

PS: As mentioned before - Once the condition of volume threshold for the current bar is detected, it would be mark the Volume detected at that time and would stop processing further T&S records for that specific bar. When a new bar is formed - it would start processing T&S records again. This is to save CPU Cycles.

Thanks

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Register to download File Type: cpp VolumeThreshold6.cpp (2.7 KB, 7 views)

Last edited by ejtrader; December 5th, 2013 at 03:17 PM.
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  #65 (permalink)
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@ejtrader

Volume Threshold6 compiled and working.

Now I have to wait until tomorrow to have liquidity and speed on CL to make the real test (CL is my benchmark).

I will let you know as soon as I have any conclusion.

Thanks.

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  #66 (permalink)
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@Rui S - Was looking further at the code for any "potential" issues and though there are NO issues expected from "missed" trades, there is a likely chance for a Duplicate trade. Please use the attached version and let me know if you notice any kind of issue ( either missed or duplicate trades ).

Hopefully this should solve all the earlier issues you have faced.

Thanks

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Register to download File Type: cpp VolumeThreshold7.cpp (2.7 KB, 6 views)

Last edited by ejtrader; December 6th, 2013 at 12:15 AM.
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  #67 (permalink)
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@ejtrader

I decided to test both last two versions of the study - Version 6 and version 7 - and I am glad I did so as I got different outcomes that might provide you some important information.


Volume Threshold6:

This version isn't missing any trade, even when the price moves faster. However, as you figured, when the price moves a bit faster or with sudden impulses the study is misplacing some of the trades (trade volume plotted in the wrong price and sometimes painting the wrong bar). It also sometimes duplicates some signals.



Volume Threshold7:

This version is behaving pretty much as version 5 was: All the trades it plots in the chart are 100% accurate, whether in terms of painting the correct bar or plotting the volume at the price level where the trade occurred.

However the study is still failing to plot many trades - and several of the times it happens the price is not moving very fast. It seems to me that in this case the problem might not be exclusively related to the speed of the market.



So I guess the ideal would be to have the best of both versions and get rid of the bad things - if it was easy I am sure that you would have already done it.

For me, the best version so far is version 6, although if it would have the plotting accuracy of version 7 would be much better.

I hope that this information helps you somehow to figure out what is wrong. I wish I could help more...


Thanks.

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  #68 (permalink)
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@Rui S - Would you please check this version and let me know your findings.

Goal is to avoid missing trades and at the same time also avoiding duplicate trades as well as marking at the correct price.

if you still notice any missed trades - please do the following:
- Mark down the T&S record - for which candle it would belong to and post the image if you can.
- Also Timestamp of T&S record, time stamp of 2 bars prior + bar where the trade is missed + 2 bars after - Timestamp of total 5 bars

Please do the same when you notice duplicates as well ( T&S record, time stamp of 2 bars prior + bar where there is duplicate + 2 bars after - Timestamp of total 5 bars ).

Thanks

Edit - Have uploaded a newer version(v8) a moment ago. Please download and use it.

Attached Files
Register to download File Type: cpp VolumeThreshold8.cpp (2.8 KB, 6 views)

Last edited by ejtrader; December 6th, 2013 at 11:50 AM.
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  #69 (permalink)
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ejtrader View Post
@Rui S - Would you please check this version and let me know your findings.

Goal is to avoid missing trades and at the same time also avoiding duplicate trades as well as marking at the correct price.

if you still notice any missed trades - please do the following:
- Mark down the T&S record - for which candle it would belong to and post the image if you can.

Thanks


@ejtrader

I think you forgot to attach this last version...

Would you please? I will start testing it right away.

Thanks.

Edit: Sorry, it is already there.

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  #70 (permalink)
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@ejtrader

Sorry, this last version still shows the same problem.

Despite the market was slow, after a few minutes I saw Volume Threshold 8 missing two trades. Version 6 plotted them perfectly (the market was slow).


I toke screen shots of both to allow you to compare.


I hope the screen shots are what you asked for. If not, just let me know what you need.


Thanks.

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How to get high volume trades visual alert plotted on a range chart?-volume-threshold-6.png   How to get high volume trades visual alert plotted on a range chart?-volume-threshold-8.png  
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