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Whew. This was a long exchange that seems to not have gotten anywhere, I'm sorry to say.
Not to take sides, because I don't really understand the details and I don't want to add to the level of disagreement in the world, but I think that the moral of the story is that any request for coding help should be extremely and unambiguously detailed and clear, if possible with a chart picture of what is wanted, and coders should decline to take it on until they get that. Misunderstandings, often with no one at fault, are going to happen otherwise.
I am sorry that this didn't work out, and I hope that @liboro gets his idea implemented to his satisfaction.
Good luck to all going forward.
Bob.
When one door closes, another opens.
-- Cervantes, Don Quixote
Funny thing is at the end of it all I now have a understanding of what's liboro wants.
A custom Filtered Volume at Price based on threshold trade volume.
It cannot be done with standard ASCIL, VAP container or collecting T&s data and subgraph
But
it can be with custom c++ and sc.Usetool()
Not sure how performant it would be because you need to print to chart a custom drawing for every price level at every bar above the threshold vol. Might have another quick crack at it later.
Yeah. But what I see on the pic, the threshold here is based on the total ask+bid volume on the price levels. IMO there is no order size filtering. I like the way of plotting/charting, it is a great reference.
Yeah I understand. You want to only include trades where the volume is greater than X amount
You need a structure to hold the collected data, in this case each trade above a threshold at every bar at every price. As you can never know how many price levels you will need for the chart you cannot use Subgraphs because,
they can only plot 1 data point per bar.
You cannot dynamically alot them.
If you have a chart with a High/Low range of 200-500 ticks you would need that many Subgraphs!!! Which is far more than the max.
You cannot use persistent Variables because you can only have 1000 again not enough to store. 100 bars * avg 10 ticks per bar and you have run out.
So its a custom C++ container is the only way I see to go. Unless SC makes the VAP container customisable.
Yep that looks like what I think @