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Volume Dots for Sierra Chart
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Created: by Stillgreen Attachments:10

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Volume Dots for Sierra Chart

  #11 (permalink)
Elite Member
Christchurch, New Zealand
 
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Wewe View Post
Hi @pludloe, I've been looking at how the Volume Dots are calculated in Bookmap and also in the similar Auction Vista (which is new from Jigsaw).
Here's a quote :" BookMap’s current implementation allows you to follow large traders by giving users the option to tune minimum traded volume and total volume per dot. For example, you can set a heatmap to only take into account individual trades larger than 10 contracts and only display a dot when it reaches a minimum of 200 total contracts."

FT71 ( do you know him--a great teacher) for example, sets his volume dots to only appear when a significant number of trades occur at a price. It varies according to market conditions , but at the moment it's around 300 in the ES.
So could you change the way the dots are calculated so that,instead of being based on average ratio, they represent the actual number of trades at the the bid or ask, but only above a certain threshold, which the user can define?
And the color of the dots varies according to which is dominant.Jigsaw’s dots are bi-colored and depending on the amount of bid/ask volume-a dot will show more of the buying or selling color. BookMap blends the color depending on the buying/selling balance.
So, something like this : All trades at a price are calculated but no dot appears unless the min. threshold is met. The size of the
dot will vary according to number of trades and the color will represent the dominant side at that price and time.This could be done by a gradation of color.
Sorry if my explanation is awkward. I'm still figuring it out.I appreciate your work on this.

BookMap Volume Dot(fixed size) Hack for SC:

1-Create a range chart based in ticks, set the period to 1. So for ES this will default to 0.25
1a-Go into the volume filter as described by @pludloe, and change Exclude <=300
1b-Open 2x ScanABVDT study, set one to scan for ask, min,300,point & set the other to scan for bid,min,300,point.

2- Open another chart in the same chartbook, using the timeframe you trade in eg 1min.
2a-Load 2x "study/Price Overlay", and reference the 2 x ScanABVDT studies from your other chart.

*If you want to add in more size filters, with different size/colour dots, then create multiple 0.25 range charts and overlay them on your main chart.

Credits to @pludloe for his work above, and also to whoever it was that created the ScanABVDT

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"Free markets work because they allow people to be lucky, thanks to aggressive trial and error, not by giving rewards or incentives for skill. The strategy is, then, to tinker as much as possible and try to collect as many Black Swan opportunities as you can"
Attached Files
Register to download File Type: cht BMVOLDOTS.cht (77.8 KB, 71 views)
Register to download File Type: dll scanABVDT_b3.dll (28.5 KB, 71 views)

Last edited by Neo1; May 2nd, 2016 at 12:55 AM.
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  #12 (permalink)
Rristocrat
zurich
 
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I don't use Bookmap and have no experience with it,

but I am impressed that this is possible with "build-in lego system click & connect".
TY @pludloe @Neo1

Sierra is so versatile. I am sure this application was not imagined by the developers, yet it is possible to do it.

A sign of a great platform that is more than the sum of its components.

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  #13 (permalink)
Trading Apprentice
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Amazing work @pludloe and @Neo1 I know a lot of guys using bookmap and its a little out of my reach atm but seeing guys like you being able to recreate parts of it in SC is great.

Edit to my post i got it working on YM you guys rock! thank you!

Cheers

Aaron


Last edited by aaronjames; May 11th, 2016 at 05:38 AM. Reason: fixed the issue myself
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  #14 (permalink)
Market Wizard
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aaronjames View Post
Amazing work @pludloe and @Neo1 I know a lot of guys using bookmap and its a little out of my reach atm but seeing guys like you being able to recreate parts of it in SC is great.

Edit to my post i got it working on YM you guys rock! thank you!

Cheers

Aaron

Thanks, Would plz eloborate on use of this, seems like good tool to capture/analyze order flow.

Sent from my SAMSUNG-SM-G900A using Tapatalk

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  #15 (permalink)
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bmtrading9 View Post
Thanks, Would plz eloborate on use of this, seems like good tool to capture/analyze order flow.

Sent from my SAMSUNG-SM-G900A using Tapatalk

Ive been looking for a way to see the bigger orders in the dow but ive yet to develop an effective edge with it so I am interested to hear how others use this also.

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  #16 (permalink)
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aaronjames View Post
Ive been looking for a way to see the bigger orders in the dow but ive yet to develop an effective edge with it so I am interested to hear how others use this also.

I primarily trade around mean reversion, looking for areas of volume capitulation around daily highs/lows/ extended ranges or other obvious reference points, to then trade moves back towards VWAP. I'm also focused on equities, which have different characteristics.

The best way to find out how watching big orders might help YOU, is to spend 1000s of hours watching the screen. After that, you might have some ideas to test out. IMO.

"Free markets work because they allow people to be lucky, thanks to aggressive trial and error, not by giving rewards or incentives for skill. The strategy is, then, to tinker as much as possible and try to collect as many Black Swan opportunities as you can"
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  #17 (permalink)
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Thanks indeed to @Neo1 and @pludloe for your contributions to this.
Since people here have an interest in Bookmap-type studies for Sierra Chart, let me draw your attention to this thread :

https://futures.io/elite-circle/22353-sierra-chart-dom-chart.html

@Nicolas11 has done great work to create a "Heatmap" for SC.

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There's a few things I'd like to adjust in it, if someone here wants to give it a go ( Nicolas11 is not interested in making more changes to it). As it stands, the number of trades for the darkest color must be set manually by the user.It would be great if the study could automatically adapt itself to whatever the largest amounts currently are.
(Note : my username just changed from Wewe to Stillgreen)

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  #18 (permalink)
Trading Apprentice
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Posts: 11 since Apr 2016
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Stillgreen View Post
Thanks indeed to @Neo1 and @pludloe for your contributions to this.
Since people here have an interest in Bookmap-type studies for Sierra Chart, let me draw your attention to this thread :




There's a few things I'd like to adjust in it, if someone here wants to give it a go ( Nicolas11 is not interested in making more changes to it). As it stands, the number of trades for the darkest color must be set manually by the user.It would be great if the study could automatically adapt itself to whatever the largest amounts currently are.
(Note : my username just changed from Wewe to Stillgreen)

Looks great but I'm not elite unable to view the thread

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  #19 (permalink)
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Can someone explain to me how I use the .cht file to compile the study? I'm not really sure how to use a .cht file

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  #20 (permalink)
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jakejake View Post
Can someone explain to me how I use the .cht file to compile the study? I'm not really sure how to use a .cht file

Yes go to the c drive and then the sierra directory copy and paste in there. Then open the chart book in sierra.

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