Time and sales coding in ACSIL

February 12th, 2021, 07:37 AM

Ok, thank you. I will be happy if you will let me know.

Trembling Hand

Yes I think it's very possible but I'm away from my computer til tomorrow I'll have another look then.

February 12th, 2021, 07:11 PM

So here is a Study that will save the time and sales data to a txt file to C:\SierraChart\Data (modified from something on SC forum).
You can see some of the available data types commented out in the main loop.

Code

SCSFExport scsf_Save_TimeNSales(SCStudyGraphRef sc) {

    SCInputRef OutputFile = sc.Input[0];


    if (sc.SetDefaults) {

        // https://www.sierrachart.com/SupportBoard.php?ThreadID=36979

        sc.GraphName = "Save_TimeNSales";
        sc.StudyDescription = "Save Time and sales to file";
        sc.GraphRegion = 0;
        //sc.AutoLoop=true; 
        sc.FreeDLL = 1;

        OutputFile.Name = "The storage link";
        SCString OutputFileDefaultName;
        OutputFileDefaultName.Format("C:\\SierraChart\\Data\\1_%s.txt", sc.Symbol.GetSubString(2, 0).GetChars());
        OutputFile.SetString(OutputFileDefaultName);

    }

    std::ofstream file(OutputFile.GetString(), std::ios_base::app);

    if (!file) {

        SCString Buffer;
        Buffer.Format("Unable to open file %s", OutputFile.GetString());
        sc.AddMessageToLog(Buffer, 1);
        //return; 

    }



    if (sc.Index == sc.ArraySize - 1)
    {

        __int64& LastProcessedSequence = sc.GetPersistentInt64(1);
        c_SCTimeAndSalesArray TimeSales;
        sc.GetTimeAndSales(TimeSales);
        if (TimeSales.Size() == 0)
            return;


        if (LastProcessedSequence != 0)
        {
            for (int TSIndex = 0; TSIndex < TimeSales.Size(); ++TSIndex)
            {
                if (TimeSales[TSIndex].Sequence < LastProcessedSequence)
                    continue;

                if (TimeSales[TSIndex].Type == SC_TS_BID || TimeSales[TSIndex].Type == SC_TS_ASK)
                {
                    //int AskVol = TimeSales[TSIndex].AskSize;
                    //int TotalAsks = TimeSales[TSIndex].TotalAskDepth;
                    //int BidVol = TimeSales[TSIndex].BidSize;
                    //int TotalBids = TimeSales[TSIndex].TotalBidDepth;
                    float Price = TimeSales[TSIndex].Price;
                    int Vol = TimeSales[TSIndex].Volume;
                    int TradeType = TimeSales[TSIndex].Type; // at bid or ask



                    int ValueFormat = sc.BaseGraphValueFormat;
                    SCString formatString = " %i/%02i/%02i  %02i:%02i:%02i: %03i , Index: %i, Price: %0.4f, Vol: %i BidAsk: %i";
                    SCDateTime TradeDateTime = TimeSales[TSIndex].DateTime;
                    TradeDateTime += sc.TimeScaleAdjustment;
                    int Year, Month, Day, Hour, Minute, Second, MilliSecond;
                    TradeDateTime.GetDateTimeYMDHMS_MS(Year, Month, Day, Hour, Minute, Second, MilliSecond);


                    SCString BarDataString;
                    BarDataString.Format(formatString, Year, Month, Day, Hour, Minute, Second, MilliSecond, TSIndex, Price, Vol, TradeType);
                    file << BarDataString << std::endl;

                }

            }

        }

        LastProcessedSequence = TimeSales[TimeSales.Size() - 1].Sequence;

    }



}

Of course this only works with a live market connection.

February 12th, 2021, 07:16 PM

I probably should of asked before I took the step but do you want this to work on historical data then that is a totally different method!

From SC Docs about sc.GetTimeAndSales()

See Docs

Quoting

Alternative Way For Obtaining Time and Sales Data

Open a chart that is set to 1 Number of Trades Per Bar for the symbol you want Time and Sales for.

Select Global Settings >> Data/Trade Service Settings and make sure the Intraday Data Storage Time Unit is set to 1 Tick.

Use the sc.GetChartArray and the sc.GetChartDateTimeArray functions to access the price, volume and DateTime arrays. Every element in these arrays is 1 trade. This may actually be a preferred way of accessing trade by trade data since there will be an abundant amount of history available.

February 12th, 2021, 10:56 PM

liboro

I would like to code something like Large Volume Trade Indicator.

Do you think it is possible?

LOL. I should have know being Sierra Chart they have already made a Study......

https://www.sierrachart.com/index.php?page=doc/StudiesReference.php&ID=390&Name=Large_Volume_Trade_Indicator

February 13th, 2021, 04:16 AM

Thank you for the codes and other help.

I understand the basics of the TS, but the crucial thing is how to work with the TS data within price leves in the bars - how these arrays would be allocated or how these arrays should look like (subgraphs arrays?)?

I know that SC has Large Volume Trade Indicator, but there is no source code available and I want to use it in my own way. That is the reason why I am trying to solve this.

Trembling Hand

LOL. I should have know being Sierra Chart they have already made a Study......

https://www.sierrachart.com/index.php?page=doc/StudiesReference.php&ID=390&Name=Large_Volume_Trade_Indicator

February 13th, 2021, 06:08 AM

What? I'm not sure what else you would need. If you are not able to use the above code samples then I guess you actually need to explain exactly what you are trying to do and maybe someone can do it for you. But every thing you have said so far is actually very short of what it seems like you really want.

February 13th, 2021, 06:17 AM

PRICE 69.60 AV (from TS) = XY, BV (from TS) = XY
PRICE 69.61 AV (from TS) = XY, BV (from TS) = XY
PRICE 69.62 AV (from TS) = XY, BV (from TS) = XY
PRICE 69.63 AV (from TS) = XY, BV (from TS) = XY

Is it more clear now?

Put AV and BV to the relevant prices in the current bar.

Trembling Hand

What? I'm not sure what else you would need. If you are not able to use the above code samples then I guess you actually need to explain exactly what you are trying to do and maybe someone can do it for you. But every thing you have said so far is actually very short of what it seems like you really want.

February 13th, 2021, 06:27 AM

liboro

PRICE 69.60 AV (from TS) = XY, BV (from TS) = XY
PRICE 69.61 AV (from TS) = XY, BV (from TS) = XY
PRICE 69.62 AV (from TS) = XY, BV (from TS) = XY
PRICE 69.63 AV (from TS) = XY, BV (from TS) = XY

Is it more clear now?

Put AV and BV to the relevant prices in the current bar.

That's what the first study I wrote did in post #6!

February 13th, 2021, 06:31 AM

I do understand the code in post #6, but as I mentioned, these data are from VAP function,
this is not the same as data in Time Sales data structure.

I believe there is no way how to use VAP for TS data.
Maybe I am wrong.

Trembling Hand

That's what the first study I wrote did in post #6!

February 13th, 2021, 06:43 AM

liboro

I do understand the code in post #6, but as I mentioned, these data are from VAP function,
this is not the same as data in Time Sales data structure.

I believe there is no way how to use VAP for TS data.
Maybe I am wrong.

I think you have a fundamental misunderstanding of what is going on here.

TS data is not a different data set from "other" data.

Could you explain why you think it is? Where does it come from?

Time and sales coding in ACSIL

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Time and sales coding in ACSIL