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Market Depth Historical Graph
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Market Depth Historical Graph

  #41 (permalink)
Market Wizard
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WilleeMac View Post
Settings for Market Depth M1 Chart /CL today

This is today coming out of the London session. Left is 0445amET Right is 531am

Green and red stair step lines are best bid and ask

-William

Looks good, I'm still having trouble with the bid / ask lines and Omega's vid didn't help any.

Is there a Global setting that needs to be changed as well to make the bid / ask lines display on the chart? I've been checking everything, but I'm still missing something on my chart. I'd really like to have those as opposed to the bars.

==

Edit: Disregard, I think I've finally figured it out. Edit: Didn't have the 1 Tick setting set correctly in the Date/Trade service settings.

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@Neo1 I presume you're using this as well?

You miss 100% of the shots you don't take. - Wayne Gretsky

Last edited by CenFlo; February 22nd, 2017 at 01:49 AM. Reason: Added info and corrected.
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  #42 (permalink)
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CenFlo View Post
I'm using the Total Volume setting on the LVTI, I presume you guys are as well?

Concerning /CL

I have experimented with X = 20 and X = 10

10 seems to capture more useful information but also that is relevant to time of day

For example today at 0500amET total volume picked up 81 at what became a micro turning point (as I write, longer term?)

This number consisted of Bid 50, 18 and 13. If X was set to 20 the software would only pick up the 50

-William

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  #43 (permalink)
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CenFlo View Post
Looks good, I'm still having trouble with the bid / ask lines and Omega's vid didn't help any.

Is there a Global setting that needs to be changed as well to make the bid / ask lines display on the chart? I've been checking everything, but I'm still missing something on my chart. I'd really like to have those as opposed to the bars.

==

Edit: Disregard, I think I've finally figured it out. Edit: Didn't have the 1 Tick setting set correctly in the Date/Trade service settings.

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@Neo1 I presume you're using this as well?

I use the heatmap when i'm trading futures. I use the SC market depth study, but I've also used some other proprietary stuff( which isn't my own to share). Since the depth bars are accessible via ACSIL functions, there's lots of room for customization. It'a hard for other vendors to compete with SC.

The large volume trade indicator is a useful addition, it just needs further inputs to control the scaling.

* I also like to use the bid/ask depth bars study, so you can visually track the total changes in bid vs ask depth. This can be configured so that bid depth is displayed below the main chart, and ask depth above. This study outputs values so simple alerts can be created.

*The edge here with SC is that you can now create custom simple alerts using the likes of the large volume trade indicator/ bid/ask depth bars. Or more advanced iterations calling market depth in ASCIL- So you could easily identify specific conditions, or potentially backtest across all data you have recorded. So you can automate the process more, and find out for yourself what works/what doesn't.

"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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  #44 (permalink)
Market Wizard
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Neo1 View Post
I use the heatmap when i'm trading futures. I use the SC market depth study, but I've also used some other proprietary stuff( which isn't my own to share). Since the depth bars are accessible via ACSIL functions, there's lots of room for customization. It'a hard for other vendors to compete with SC.

The large volume trade indicator is a useful addition, it just needs further inputs to control the scaling.

* I also like to use the bid/ask depth bars study, so you can visually track the total changes in bid vs ask depth. This can be configured so that bid depth is displayed below the main chart, and ask depth above. This study outputs values so simple alerts can be created.

*The edge here with SC is that you can now create custom simple alerts using the likes of the large volume trade indicator/ bid/ask depth bars. Or more advanced iterations calling market depth in ASCIL- So you could easily identify specific conditions, or potentially backtest across all data you have recorded. So you can automate the process more, and find out for yourself what works/what doesn't.

@Neo1

Do you mind posting a screenshot?

We're trying to work together here for the greater good and bounce ideas off of each other to improve this study that we all are finding useful for trading.

You miss 100% of the shots you don't take. - Wayne Gretsky
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  #45 (permalink)
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paps View Post
Agree... ...depth means nothing "ooops practically" in Order Flow terms. It is always Trade rate & Trades or Arrival Rate or Quote rate which will dictate. Atleast in the ideal world. Ofcourse there are times when a Huge Order in LOB as shown in DOM will stick.Not sure in world of retail what exactly applies.
I use bookmap dont get me wrong. But am i getting info before the event...i am not sure if I am looking at depth.

But whoever opens up their reconstructed LOB via API's will be king of the markets. well in my mind .

anyways OP...here is a link i found when i started my journey in OF. If you do not find it useful...pls ignore https://cran.r-project.org/web/packages/obAnalytics/vignettes/guide.html A deep study of even LOB is needed if one really wants to see how depth changes or what exactly affects the LOB.

cheers

well Truth is multi dimensional. So is Trading.

Did not want anyone to think Depth really means nothing...hence came back to revisit this point. There are some very specific events which co-relate to Depth. So Depth definitely means something. Depth will play a big role....however i have not found many products which are very visual in illustrating Depth capabilities. Depth will PLAY a role in every market turn....or price change and at times more often than not will lead the market or be coordinated with very specific Speed events.

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  #46 (permalink)
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This was posted on the SC support board, I grabbed it and started to modify it a bit.

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I'm going to test it for a bit in a couple of sessions and see if any tweaks need to be made and will eventually upload it in the Elite Downloads section.

I like how it has the VP on the cart and shows the VAH / VAL / VPOC.

You miss 100% of the shots you don't take. - Wayne Gretsky
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  #47 (permalink)
Market Wizard
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Here's my version of it.

There are two studies hidden, they can both be enabled if so desired. One is a different trade indicator study and the other is a volume study in region 2.

This was initially made for /CL and I'm using it for /ES.

The Volume profile value areas may not be precise, I'm more accustomed to MP, although the VPOC does appear to be accurate.

The large volume trade indicator will need to be adjusted to whatever suits the trade levels the end user likes to see.

I personally have remove the DOM depth, it can be disabled/enabled via Trade > Show Depth

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I've attached the chartbook to this post as well and will be uploading it to the Elite downloads section.

You miss 100% of the shots you don't take. - Wayne Gretsky
Attached Files
Register to download File Type: cht Market_Depth-VP_RTH-V3.cht (88.4 KB, 73 views)

Last edited by CenFlo; April 18th, 2017 at 06:26 PM.
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  #48 (permalink)
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CenFlo View Post
@OmegaXan2

What bar indicator/settings are you using for price? I've been messing with that as well, but haven't been able to get it to look like BM or yours.

I like how SC has updated to make the large trade vol visual indicators round instead of just square, much cleaner look.

I also used the transparency settings in the Global settings (40% seems to work the best for me) so you can see through the indicator.

Hi CenFlo, where do you change the transparency levels in the global settings? I'm not finding that?

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  #49 (permalink)
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@jproux

Possibly here

Global Settings -->> Graphics Setting - Global -->>Other -->> Transparency Level...

-William

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  #50 (permalink)
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jproux View Post
Hi CenFlo, where do you change the transparency levels in the global settings? I'm not finding that?

https://www.sierrachart.com/index.php?page=doc/ChartStudies.html#UsingTransparency

"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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