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Large Volume Charts
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Large Volume Charts

  #1 (permalink)
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Large Volume Charts

@Big Mike @rhuz (including @josh since you are the Sierra Master)

I've noticed both of you post 100,000 volume charts in Sierra and I have a question. How do you deal with session limitations? That is to say, in NT, for example, the biggest session I can have is a weekly one. As such, for 100000 volume charts, I can usually get about 7-10 contiguous 100000 volume bars and then one incomplete one before the next week restarts the volume count. I took a brief look at Sierra and it too seems to have session limitations. Have you found a way to get around those limitations so ALL BARS are an even 100000 volume? Interested to see if Sierra can do that because NT can't.

Example of the best I can do:

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  #2 (permalink)
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  #3 (permalink)
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srgtroy View Post
@Big Mike @rhuz (including @josh since you are the Sierra Master)

I've noticed both of you post 100,000 volume charts in Sierra and I have a question. How do you deal with session limitations? That is to say, in NT, for example, the biggest session I can have is a weekly one. As such, for 100000 volume charts, I can usually get about 7-10 contiguous 100000 volume bars and then one incomplete one before the next week restarts the volume count. I took a brief look at Sierra and it too seems to have session limitations. Have you found a way to get around those limitations so ALL BARS are an even 100000 volume? Interested to see if Sierra can do that because NT can't.

Example of the best I can do:

In Sierra Chart if you uncheck the "New Bar At Session Start" box it will get rid of the incomplete bars (give you full 100K bars). This is the way I use it and I think is accurate but maybe josh or Mike can confirm it or give us a better way.

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  #4 (permalink)
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josh View Post
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Man, that's pretty. Those are the kinds of little details I like about Sierra...

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  #5 (permalink)
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I would rather have the new bar at session start, so my VWAP, ONH/ONL etc stats are all accurate.

Mike

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  #6 (permalink)
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Big Mike View Post
I would rather have the new bar at session start, so my VWAP, ONH/ONL etc stats are all accurate.

Mike

I think this is the kind of issue that came up some time ago, in a discussion of opening range that involved @Fat Tails' opening range indicator.

He correctly pointed out that a non-time type bar (tick was the subject of discussion, but it applies to volume also) could, and will, often span a particular time. At issue was, in the case where the chart session was ETH, what is the price at the specific time of the RTH open? You can't use any value of the tick/volume bar for that, since the time you want to look at is going to happen during the span of the bar. Not the open or close, but somewhere in between.

As I recall, the solution he implements is to load a time-based bar series (I believe minute bars -- someone correct me if I'm wrong), and therefore can read the actual price at a specific time.

The relevance to this discussion is that, if you have non-time-based bars of any type, and you are interested in a time-based value, such as such as the O/H/L/C of a session, if the non-time bar does not begin at the session time, you will have to look to a time series to get the value. Essentially, you need to look inside the bars at a particular time. Hence, you would have to revert to time-based data, unless you just made the bar start at the session open and accept having incomplete bars.

This would become very complex if done for everything. I think that you just have to make a choice of going one way or the other, and be happy with the compromises that it presents you with.

Bob.

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  #7 (permalink)
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bobwest View Post
what is the price at the specific time of the RTH open?

For ES, Monday's session starts Sunday at 5pm central time, and ends at Monday 4:15pm central time, and so on for the week.

98% of my charts use this session time. I do have one chart that plots just the RTH session (market profile/volume profile), as well as one chart that plots only the globex overnight up until the cash open (for ONL/ONH values).

Mike

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  #8 (permalink)
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Big Mike View Post
For ES, Monday's session starts Sunday at 5pm central time, and ends at Monday 4:15pm central time, and so on for the week.

98% of my charts use this session time. I do have one chart that plots just the RTH session (market profile/volume profile), as well as one chart that plots only the globex overnight up until the cash open (for ONL/ONH values).

Mike

Understood.

My point was only that if you check "New bar at session start," you will have an incomplete bar almost all the time as the last bar of the previous session, whatever it was. If you uncheck that setting, the bars will all have the same volume, but you won't be able to tell the true open or close value of the session from any of the bars that you then plot, because there will be no bar that ends at the close, and none that begins at the open.

Probably not an important point in the scheme of things, but that seems to be the issue of the thread.

Bob.

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  #9 (permalink)
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I could easily see using a daily session for 10000 volume charts so that the daily vwap conforms nicely with the start of the session and the volume bars. On the 100000 volume chart, where I think @Big Mike uses a weekly vwap, I would consider using a weekly session. The weekly vwap will still conform to the start of the session, but you will avoid having every tenth candle or so being incomplete (and thus a bit misleading) and get a more uniform set of candles, with only the last one in the week being incomplete, which at that point doesn't matter. Just my 2 cents...


Last edited by srgtroy; March 14th, 2015 at 05:30 PM.
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