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Sierra Chart Reconstructed Time & Sales
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Created: by samsupertrader Attachments:3

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Sierra Chart Reconstructed Time & Sales

  #1 (permalink)
Elite Member
Australia
 
Futures Experience: Advanced
Platform: Sierra Chart
Broker/Data: CTS/AMP
Favorite Futures: NQ, CL, HSI
 
Posts: 37 since Oct 2014
Thanks: 6 given, 25 received

Sierra Chart Reconstructed Time & Sales

Hi there,

Does anyone know if there is a vendor which has an aggregated/reconstructed time & sales for SC? There are plenty of options for Ninja and other platforms do it but I have not been able to find a vendor for Sierra.

In particular I am keen on an indicator which allows you to plot the T&S prints on your chart.

Here is a picture of what I mean. The top platform is one called Advanced Time & Sales, and the bottom is Sierra Chart. The circles on the chart are the plots of the trades so you get a visual representation of where the market orders are stacking up, and or drying out.

I've reached out to a few developers to try and get a custom study done but no one seems to know how to do the reconstruction method. Jigsaw does it, Discotrading (NT indicator developer), Advanced Time & Sales etc. They are all ones I have used over the years but I won't move away from SC because of how stable it is. They all seem to use the same method because they all pretty much get the same results when put side by side.

I have a reconstructed T&S ribbon for SC but it does not print on the candle. The guy I got it off was not able to get back in touch with the original developer so not sure how this is reconstructed.

Cheers.

Attached Thumbnails
Sierra Chart Reconstructed Time & Sales-reconstructed-t-s-example.png  
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  #2 (permalink)
Trading Apprentice
russia kaliningrad
 
Futures Experience: Intermediate
Platform: sc, custom
Favorite Futures: es,zn,zb
 
ludvig's Avatar
 
Posts: 12 since Jan 2011
Thanks: 0 given, 11 received

Sorry, it is coded about 4 yaes ago, the only main idea how to calculate expected volume from matching events, is true.
To work correct, this code should be recompiled with modern ACSIL names and members.

 
Code
#include "C:\SierraChart\ACS_Source\sierrachart.h"

SCDLLName("REAL ORDERS")

#define REAL_ORDERS(sc)\
if(MyBidVolume[sc.Index] >= volume1Threshold.IntValue && MyBidVolume[sc.Index] < volume2Threshold.IntValue)\
Bid1Volume[sc.Index] = sc.Close[sc.Index];\
else if(MyBidVolume[sc.Index] >= volume2Threshold.IntValue && MyBidVolume[sc.Index] < volume3Threshold.IntValue)\
Bid2Volume[sc.Index] = sc.Close[sc.Index];\
else if(MyBidVolume[sc.Index] >= volume3Threshold.IntValue)\
Bid3Volume[sc.Index] = sc.Close[sc.Index];\
else if(MyAskVolume[sc.Index] >= volume1Threshold.IntValue && MyAskVolume[sc.Index] < volume2Threshold.IntValue)\
Ask1Volume[sc.Index] = sc.Close[sc.Index];\
else if(MyAskVolume[sc.Index] >= volume2Threshold.IntValue && MyAskVolume[sc.Index] < volume3Threshold.IntValue)\
Ask2Volume[sc.Index] = sc.Close[sc.Index]; \
else if(MyAskVolume[sc.Index] >= volume3Threshold.IntValue)\
Ask3Volume[sc.Index] = sc.Close[sc.Index];\
Bid1Volume.DataColor[sc.Index] = RGB(255,0,0);\
Bid2Volume.DataColor[sc.Index] = RGB(255,0,0);\
Bid3Volume.DataColor[sc.Index] = RGB(255,0,0);\
Ask1Volume.DataColor[sc.Index] = RGB(0,255,0);\
Ask2Volume.DataColor[sc.Index] = RGB(0,255,0);\
Ask3Volume.DataColor[sc.Index] = RGB(0,255,0);\


SCSFExport scsf_TimeAndSalesTrueOrders(SCStudyGraphRef sc)
{
	int i = 0;      
  SCSubgraphRef Bid1Volume = sc.Subgraph[i++];
  SCSubgraphRef Ask1Volume = sc.Subgraph[i++];
  SCSubgraphRef Bid2Volume = sc.Subgraph[i++];
  SCSubgraphRef Ask2Volume = sc.Subgraph[i++];
  SCSubgraphRef Bid3Volume = sc.Subgraph[i++];
  SCSubgraphRef Ask3Volume = sc.Subgraph[i++];		
  SCSubgraphRef MyAskVolume = sc.Subgraph[i++];
  SCSubgraphRef MyBidVolume = sc.Subgraph[i++];
  
  int j = 0;
  SCInputRef volume1Threshold = sc.Input[j++];
  SCInputRef volume2Threshold = sc.Input[j++];
  SCInputRef volume3Threshold = sc.Input[j++];
  
  SCInputRef ticks1Threshold = sc.Input[j++];
  SCInputRef ticks2Threshold = sc.Input[j++];
  SCInputRef ticks3Threshold = sc.Input[j++];
  
	int& barStartIndex = sc.PersistVars->i1;
	int& intermediateIndex = sc.PersistVars->i2;
	
	if (sc.SetDefaults)
	{
		sc.DrawZeros = 0;  
    sc.GraphRegion = 0; 
    sc.ValueFormat =VALUEFORMAT_INHERITED; 
    
		sc.GraphName = "";
		sc.StudyDescription = "";

		sc.FreeDLL = 1;
		sc.AutoLoop = 1;
			
		
		Bid1Volume.Name = "Bid 1 Volume";
    Bid1Volume.DrawStyle = DRAWSTYLE_TRIANGLEDOWN;
    Bid1Volume.LineWidth = 3;
    Bid1Volume.PrimaryColor = RGB(128,0,128);
    
    Bid2Volume.Name = "Bid 2 Volume";
    Bid2Volume.DrawStyle = DRAWSTYLE_TRIANGLEDOWN;
    Bid2Volume.LineWidth = 5;
    Bid1Volume.PrimaryColor = RGB(128,0,128);
    
    Bid3Volume.Name = "Bid 3 Volume";
    Bid3Volume.DrawStyle = DRAWSTYLE_TRIANGLEDOWN;
    Bid3Volume.LineWidth = 7;
    Bid1Volume.PrimaryColor = RGB(128,0,128);
    
    Ask1Volume.Name = "Ask 1 Volume";
    Ask1Volume.DrawStyle = DRAWSTYLE_TRIANGLEUP;
    Ask1Volume.LineWidth = 3;
    Ask1Volume.PrimaryColor = RGB(0,128,128);
    
    Ask2Volume.Name = "Ask 2 Volume";
    Ask2Volume.DrawStyle = DRAWSTYLE_TRIANGLEUP;
    Ask2Volume.LineWidth = 5;
    Ask1Volume.PrimaryColor = RGB(0,128,128);
    
    Ask3Volume.Name = "Ask 3 Volume";
    Ask3Volume.DrawStyle = DRAWSTYLE_TRIANGLEUP;
    Ask3Volume.LineWidth = 7;
    Ask1Volume.PrimaryColor = RGB(0,128,128);
    
    volume1Threshold.Name = "Volume 1 Threshold";
		volume1Threshold.SetInt(20);
		
		volume2Threshold.Name = "Volume 2 Threshold";
		volume2Threshold.SetInt(50);
		
		volume3Threshold.Name = "Volume 3 Threshold";
		volume3Threshold.SetInt(200); 
		 
		return;
	}
     
    SCTimeAndSalesArray TimeSales;
    sc.GetTimeAndSales(TimeSales);
    
    if (TimeSales.GetArraySize() == 0)
        return;
    if(sc.Index == 0)
    {
     	barStartIndex = 0;
     	intermediateIndex = 0;
    }	 
     	  
   	if(sc.GetBarHasClosedStatus(sc.Index) == BHCS_BAR_HAS_CLOSED)
   		{
  			barStartIndex = TimeSales[TimeSales.GetArraySize() - 1].Sequence ;
  		}
  	
  	
	  	if(TimeSales[TimeSales.GetArraySize() - 1].Sequence >= barStartIndex && barStartIndex > intermediateIndex)
			{
				for (int TSIndex = TimeSales.GetArraySize() - 1; TSIndex >= TimeSales.GetArraySize() - 1 - (TimeSales[TimeSales.GetArraySize() - 1].Sequence - barStartIndex + 1); --TSIndex)
				{
					
					if(TimeSales[TSIndex].Level == SC_TS_BIDASKVALUES)
						{
							MyAskVolume[sc.Index] = 0;
							MyBidVolume[sc.Index] = 0;
							continue;
						}
					if(TimeSales[TSIndex].Level == SC_TS_ASK)
						{	
				  		MyAskVolume[sc.Index] += TimeSales[TSIndex].Volume;
				  		REAL_ORDERS(sc);
				  	}	
				  else if(TimeSales[TSIndex].Level == SC_TS_BID)
						{	
				  		MyBidVolume[sc.Index] += TimeSales[TSIndex].Volume;
				  		REAL_ORDERS(sc);
				  	}	
	  		}
		  }
		  else if(TimeSales[TimeSales.GetArraySize() - 1].Sequence >= barStartIndex && barStartIndex <= intermediateIndex) 
			{
				for (int TSIndex = TimeSales.GetArraySize() - 1; TSIndex >= TimeSales.GetArraySize() - 1 - (TimeSales[TimeSales.GetArraySize() - 1].Sequence - intermediateIndex + 1); --TSIndex)
				{
					if(TimeSales[TSIndex].Level == SC_TS_BIDASKVALUES)
						{
							MyAskVolume[sc.Index] = 0;
							MyBidVolume[sc.Index] = 0;
							continue;
						}
					if(TimeSales[TSIndex].Level == SC_TS_ASK)
						{	
				  		MyAskVolume[sc.Index] += TimeSales[TSIndex].Volume;
				  		REAL_ORDERS(sc);
				  	}	
				  else if(TimeSales[TSIndex].Level == SC_TS_BID)
						{	
				  		MyBidVolume[sc.Index] += TimeSales[TSIndex].Volume;
				  		REAL_ORDERS(sc);
				  	}	
	  		}
		  }
		  
		intermediateIndex = TimeSales[TimeSales.GetArraySize() - 1].Sequence;
}

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The following 2 users say Thank You to ludvig for this post:
 
  #3 (permalink)
Elite Member
Australia
 
Futures Experience: Advanced
Platform: Sierra Chart
Broker/Data: CTS/AMP
Favorite Futures: NQ, CL, HSI
 
Posts: 37 since Oct 2014
Thanks: 6 given, 25 received


Many thanks for this. I will let you know how I get along with it.

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  #4 (permalink)
Elite Member
Australia
 
Futures Experience: Advanced
Platform: Sierra Chart
Broker/Data: CTS/AMP
Favorite Futures: NQ, CL, HSI
 
Posts: 37 since Oct 2014
Thanks: 6 given, 25 received

Reconstructed T&S

I found a company called Beacon Commodity Trading www.beaconcommoditytrading.com who have an excellent trade reconstruction product. They are in the process of updating their website but you can get this indicator and some others on there now.

They have their own trade reconstruction Algo which is 99% consistent with other providers I have tested against (several stand alone platforms and Ninja add ons). It also has a T&S ribbon which shows where the trade takes place on the chart, and then there is an option to leave a shape on the chart for future reference. You can chose the size and shape and there are 5 size bands you can select from.

For trades that go through multiple levels the shape and the ribbon match to the level it finished at, so this is something that is unique compared to anything I have seen.

They have just released the first version of the indicator with a series of releases planned with improvements such as how the drawings are handled.

Anyway I have trialled it and as is it is suitable for what I need, and I think it is a first for Sierra Chart.

Attached Thumbnails
Sierra Chart Reconstructed Time &amp; Sales-bct-t-s-reconstruction.png  
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  #5 (permalink)
Trading Apprentice
Vancouver, BC
 
Futures Experience: Intermediate
Platform: TOS, Sierra
Favorite Futures: ES, YM
 
Posts: 22 since Dec 2015
Thanks: 13 given, 6 received

check this thread out:
https://www.sierrachart.com/SupportBoard.php?ThreadID=23587#post_last >> https://www.sierrachart.com/index.php?page=doc/ChartSettings.html#CombineTradesIntoOriginalSummaryTrade


sierra support says Reconstructed Tape is 100% accurate

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  #6 (permalink)
Elite Member
Australia
 
Futures Experience: Advanced
Platform: Sierra Chart
Broker/Data: CTS/AMP
Favorite Futures: NQ, CL, HSI
 
Posts: 37 since Oct 2014
Thanks: 6 given, 25 received



This is true but only for trades that are executed per price level. So for trades that are filled over multiple price levels they are reported as multiple trades which is not very useful if you are trying to establish the trade initiator/aggressor. This is not a limitation of SC rather this is the way that CME tag their trades.

For example 50 bid 5 lots, 49 bid 10 lots, 48 bid 15 lots. A 17 lot sell market order hits this gets reported as 3 order, 5,15,2 rather than 17 lots.

https://www.sierrachart.com/SupportBoard.php?ThreadID=31207

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  #7 (permalink)
Trading Apprentice
Vancouver, BC
 
Futures Experience: Intermediate
Platform: TOS, Sierra
Favorite Futures: ES, YM
 
Posts: 22 since Dec 2015
Thanks: 13 given, 6 received


samsupertrader View Post
This is true but only for trades that are executed per price level. So for trades that are filled over multiple price levels they are reported as multiple trades which is not very useful if you are trying to establish the trade initiator/aggressor. This is not a limitation of SC rather this is the way that CME tag their trades.

For example 50 bid 5 lots, 49 bid 10 lots, 48 bid 15 lots. A 17 lot sell market order hits this gets reported as 3 order, 5,15,2 rather than 17 lots.

https://www.sierrachart.com/SupportBoard.php?ThreadID=31207

hummmm

good to know...

the product you mentioned can show it as a 17 lot sell order then i guess?

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  #8 (permalink)
Elite Member
Australia
 
Futures Experience: Advanced
Platform: Sierra Chart
Broker/Data: CTS/AMP
Favorite Futures: NQ, CL, HSI
 
Posts: 37 since Oct 2014
Thanks: 6 given, 25 received


whats1thingnow View Post
hummmm

good to know...

the product you mentioned can show it as a 17 lot sell order then i guess?

Yes that is correct.

Here is a picture which helps explain it. On the T&S window you will see the raw feed, and then the reconstructed summary trade highlighted, and then the BCT Reconstructed trade. The trade is 25 sell market order which the summary trade would report as 20 & 5 as price went through two levels (6950.50, 6950.25), and the raw feed a heap of smaller trades. BCT captures it as the 25 sell market order which is useful if you believe understanding where large aggressive/initiator orders are taking place. It then records it on the chart so you can remember where these trades happened which is also useful.

In addition the indicator works on other non CME products such as EUREX and HKFE etc. so long as you have complete non filtered level 2 data. I occasionally look at HSI on the HKFE and it works well on that.

Attached Thumbnails
Sierra Chart Reconstructed Time &amp; Sales-raw-summary-reconstructed-trades.png  
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