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Volume Dots for Sierra Chart
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Volume Dots for Sierra Chart

  #1 (permalink)
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Volume Dots for Sierra Chart

This is a feature of Bookmap and I'd like to have something like it on my charts. I'm guessing it's configurable using existing Sierra studies, but I don't know how. Any suggestions appreciated.

Here's how Bookmap describes it :

"BookMap displays transacted volume using the volume dots. Each dot represents the aggregate
volume that has been transacted during a time period that is equivalent to 1 pixel slice of the userís screen.
This time unit will change based on the level of zoom applied to your BookMap
chart: the more zoomed in the view is the shorter the time period represented by a single pixel
slice will be,and vice versa. The size of the volume dots circles is determined by user settings and
by an algorithm that scales the aggregated volume of executed trades at a specific pixel time unit in
relation to the instrumentís average volume.
User can gauge the volume dots to gain information on the relative size of executions at specific
time and price areas and which side has been more aggressive in these transactions. "

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Volume Dots for Sierra Chart-bookmap-dots.jpg  
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  #2 (permalink)
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Wewe View Post
This is a feature of Bookmap and I'd like to have something like it on my charts. I'm guessing it's configurable using existing Sierra studies, but I don't know how. Any suggestions appreciated.

Here's how Bookmap describes it :

"BookMap displays transacted volume using the volume dots. Each dot represents the aggregate
volume that has been transacted during a time period that is equivalent to 1 pixel slice of the userís screen.
This time unit will change based on the level of zoom applied to your BookMap
chart: the more zoomed in the view is the shorter the time period represented by a single pixel
slice will be,and vice versa. The size of the volume dots circles is determined by user settings and
by an algorithm that scales the aggregated volume of executed trades at a specific pixel time unit in
relation to the instrumentís average volume.
User can gauge the volume dots to gain information on the relative size of executions at specific
time and price areas and which side has been more aggressive in these transactions. "


I threw an attempt together. The dots are printed by a color bar alert study based on the ratio of volume to avg volume over (I think) the last 10 bars. The dots are then colored by color bar alert study based on the difference between bid and ask. Blue for greater than 50, Red for less than -50.

I picked the settings out of the sky, so they'll need to be tweaked.

I hope it's of use to you though and please let me know if you come up with further refinements. Let me know if you have questions.

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  #3 (permalink)
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Thanks pludloe for taking the time to work on this. I'm going to try it out and get back to you.
I've also been using the velocity studies that you posted based on Okina's set-up. Great work.

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  #4 (permalink)
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pludloe View Post
I threw an attempt together. The dots are printed by a color bar alert study based on the ratio of volume to avg volume over (I think) the last 10 bars. The dots are then colored by color bar alert study based on the difference between bid and ask. Blue for greater than 50, Red for less than -50.

I picked the settings out of the sky, so they'll need to be tweaked.

I hope it's of use to you though and please let me know if you come up with further refinements. Let me know if you have questions.

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

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.


Last edited by Stillgreen; April 28th, 2016 at 11:03 PM. Reason: Grammar
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  #5 (permalink)
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@ , here's Jigsaw's Auction Vista

Auction Vista Heatmap - Jigsaw Trading

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  #6 (permalink)
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I'll play with it this weekend and see if I can figure something out. I can't make any promises though.

Thanks for the feedback.

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  #7 (permalink)
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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 :" BookMapís 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.Jigsawís 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.

OK, I couldn't sleep.

I played around and now the dots print depending on total volume at time. This works out to be at price if you go down to a very short chart. (I reduced my chart down to 1 sec with a 1 day lookback filtered for 50 contract blocks and it was basically one tick prints) The coloring of the dots is still a solid coloring depending on whether ask or bid volume is more, with a middle buffer zone. I could probably include a heck of a lot of color bar studies and have dots printing on dots but it would be way too cluttered. Instead I have the % of total volume for ask and bid print above and below the dots.

The volume filter is in the chart settings on the Advanced Settings 2 tab just type 50 in the >= slot and check "Filter Trade Completely". Here are some pics(if I did this right).

If I have misunderstood something I apologize. Let me know and I'll see what I can do. My abilities are limited but I do enjoy trying to figure some of this stuff out.

There's a thread in the NinjaTrader section where they were trying to do the same thing and might be worth a read.

Here are some pics(if I did this right).

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  #8 (permalink)
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This is really cool @pludloe. I've been replaying today's ES chart, using 1-second and Line on Close and it looks great. It shows the market in a very interesting way. Thank you also for the info on the Volume Filter, which I never knew existed. I have found that unchecking " Filter Trade Completely" works better for my purposes, but I'm not sure why........I'm going to spend more time on it over the weekend
Many thanks.


Last edited by Stillgreen; April 30th, 2016 at 01:10 PM.
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Wewe View Post
This is a feature of Bookmap and I'd like to have something like it on my charts. I'm guessing it's configurable using existing Sierra studies, but I don't know how. Any suggestions appreciated.

Here's how Bookmap describes it :

"BookMap displays transacted volume using the volume dots. Each dot represents the aggregate
volume that has been transacted during a time period that is equivalent to 1 pixel slice of the userís screen.
This time unit will change based on the level of zoom applied to your BookMap
chart: the more zoomed in the view is the shorter the time period represented by a single pixel
slice will be,and vice versa. The size of the volume dots circles is determined by user settings and
by an algorithm that scales the aggregated volume of executed trades at a specific pixel time unit in
relation to the instrumentís average volume.
User can gauge the volume dots to gain information on the relative size of executions at specific
time and price areas and which side has been more aggressive in these transactions. "

Where did you get that definition from, I was under the impression it had nothing to do with average volume?

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  #10 (permalink)
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@nodoji , that quote is from the Bookmap User Guide :

https://www.bookmap.com/User_Guide/BookMap_User_Guide_4.3.pdf

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