Sierra Chart Cumulative Delta - Sierra Chart | futures io social day trading
futures io futures trading


Sierra Chart Cumulative Delta
Updated: Views / Replies:20,955 / 65
Created: by Big Mike Attachments:19

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 90,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors Ė all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you donít need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 19  
 
Thread Tools Search this Thread
 

Sierra Chart Cumulative Delta

  #1 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
Big Mike's Avatar
 
Posts: 46,238 since Jun 2009
Thanks: 29,350 given, 83,214 received

Sierra Chart Cumulative Delta

OK I am having a bit of trouble getting Cumulative Delta to plot as a candlestick in Sierra Chart. I am a novice SC user. I wanted to separate this topic out of the "What about Sierra Chart" thread so that thread isn't just a catch-all for everything.

I tried this method by @sctrader:


sctrader View Post
BigMike,

I donít know if you figured out how to set up CD but, if not, you can do what has been suggested above or below are specific steps of one way to do it.
1) Once you have your intraday chart set up you add 2 studies. First add the BidVolume vs. AskVolume study and then click the Settings button. Under the Subgraphs tab
a) for the Draw Style select Ignore for Ask Volume, Bid Volume, and Zero Line.
b) for Difference (SG5) select Bar for Draw Style. Then under Auto-Coloring, select Based on +/- and then just above auto-coloring adjust for the two colors you want. Donít forget to check Show under Value Label to display the number.
This will plot the delta for each bar. If you donít want this and just want CD then just select Ignore under Draw Style for Difference(SG5)

2) Then add Cumulative Sum of Study and again click Settings. Under the Settings and Inputs tab, change SG1 to SG5 under Input Value.
Then under the Subgraphs tab you will see only Sum(SG1) and do the same changes as for Difference in 2b.

It was the simplest/easiest but it produced a bar chart but it is based on a +/- zero line. I wanted a candlestick chart with up and down bars. I tried changing the Subgraph Draw Style from Bar to Color Bar Candle, and that just produces an empty/blank panel.

I was going to try @cory's method:


cory View Post
a sample of a chart book of building 1m delta bar out of 1 sec delta bar

remember to put dll in /data folder

things to look for
- overlay study adds data source to its name to prevent the confusion in case you use multiple overlay studies.
- I point to chart #11 but you may have to change it to a diff number in case it doesn't do it automatically.

But the DLL is missing and no link provided to it.

Then @LukeGeniol mentioned this method:
Sierra Chart - Help Details - Cumulative AskVolume and BidVolume Difference Bars (Cumulative Delta)


Quoting 
There are two charts required for the final study. There is a chart with a very short timeframe per bar, 1 second, and then another chart with a timeframe that the bars are displayed on.

On the 1 second chart, there is the BidVolume versus AskVolume study. This allows us to have access to the BidVolume and AskVolume over a very short timeframe per bar for the next the studies used. It is not recommended to set this chart to 1 Tick because that generally is less CPU efficient.

On the 1 second chart, there is the study Cumulative Sum of Study that performs a summation of the AskVolume from the beginning of the trading day. This summation is reset at the start of each trading day. To disable this reset functionality open the Study Settings window for the Cumulative Sum of Study and set the Reset at Session Start Time (Reset at Start of Trading Day) Input to No.

On the 1 second chart, there is a second study Cumulative Sum of Study that performs a summation of the BidVolume from the beginning of the trading day. This summation is reset at the start of each trading day. To disable this reset functionality open the Study Settings window for the Cumulative Sum of Study and set the Reset at Session Start Time (Reset at Start of Trading Day) Input to No.

On the 1 second chart, there is the study Difference-Study Subgraph which simply calculates the difference between the cumulative AskVolume in the cumulative BidVolume by referencing two prior studies.

The next step is to create longer duration bars of the 1 second cumulative difference. On the 5 minute chart we use the study Study Overlay-OHLC which references the Difference-Study Subgraph study from the 1 second chart and creates Candlestick bars. That is it.

Using the Chartbook

To use this chartbook select File >> Open Chartbook and select the chartbook named: Cumulative_AskVolume_BidVolume_Difference_Bars.cht. If you do not see a chartbook with this exact name, then please install the latest prerelease of Sierra Chart. This chartbook also will be overwritten every time you upgrade Sierra Chart. Therefore, if you want to save changes to it, then use Save As on the File menu and give it a different name.

You will see two charts open. One chart will have a very short timeframe per bar (1 second by default). And the other chart will have a longer timeframe per bar (such as 5 minutes per bar). The symbol of the charts in the chartbook will likely be old or not matching to the symbols used by the data or trading service you are using, and will need to be updated. To update them go to one of the charts and select Chart >> Chart Settings. Enter the current/correct symbol in the Symbol box. Press OK. The other chart will automatically update to the same symbol as well because there is a link (Chart Linking) established between them.

If you have set the Cumulative Sum of Study studies to not reset at the start of the trading day, then you will want to go to the chart with the very short timeframe bars and set the Days to Load setting in Chart >> Chart Settings to the number of days that you want the Difference Bars based on.

If you wish to use these charts in one of your existing chartbooks, then you will need to duplicate both charts into another chartbook. To do this use Chart >> Duplicate Chart to Chartbook on each of the charts.
After you duplicate the charts to another chartbook, you will need to go to the longer timeframe per bar chart which contains the Study Overlay-OHLC study and set the Chart Number input for that study to reference the shorter timeframe per bar chart. You need to look at what the chart number (#) is of the shorter timeframe per bar chart and select that one from the list.

Missing Data: If you are missing any data in the chart for the day or missing bid volume and ask volume, then the Last value for the last bar in the chart may not be accurate. You may want to refresh the data following the instructions in help topic 7.1.

But this is the most complex, and I thought someone mentioned there was a way to have cumulative delta bars (candles) without having to do two charts (one driving another). A simpler way.

Still trying to figure this out.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote
The following user says Thank You to Big Mike for this post:
 
  #2 (permalink)
Quick Summary
Quick Summary Post

Quick Summary is created and edited by users like you... Add FAQ's, Links and other Relevant Information by clicking the edit button in the lower right hand corner of this message.

 
  #3 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
Big Mike's Avatar
 
Posts: 46,238 since Jun 2009
Thanks: 29,350 given, 83,214 received


So I made progress using the last method (it looks harder than it really is). But this method is resetting the CD on each session it would seem (see attachment) whereas @sctrader's method was not reset on each session. I am a novice at CD, but I know @FulcrumTrader doesn't reset his daily.

I checked both charts (primary 6 range + 1 second CD) and they both have 00:00:00 to 23:59:59 session times, I couldn't figure out where/why it is resetting the values for the study on a new session.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Attached Thumbnails
Sierra Chart Cumulative Delta-1-23-2011-11-13-55-pm.png  
Reply With Quote
The following user says Thank You to Big Mike for this post:
 
  #4 (permalink)
Elite Member
Italy (IT)
 
Futures Experience: Advanced
Platform: ATAS, R|Trader, NT8
Broker/Data: Rithmic
Favorite Futures: CL, Brent, GC, TF
 
LukeGeniol's Avatar
 
Posts: 1,501 since Apr 2010
Thanks: 408 given, 974 received

@Big Mike, here you go: right click on 1 sec chart--> Studies:

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

Take your Pips, go out and Live.
Luke.
Reply With Quote
The following 3 users say Thank You to LukeGeniol for this post:
 
  #5 (permalink)
Elite Member
Las Vegas, NV
 
Futures Experience: Intermediate
Platform: Sierra Chart
Broker/Data: Optimus/Rithmic
Favorite Futures: es
 
Posts: 36 since Aug 2010
Thanks: 19 given, 59 received


Big Mike View Post
So I made progress using the last method (it looks harder than it really is). But this method is resetting the CD on each session it would seem (see attachment) whereas @sctrader's method was not reset on each session. I am a novice at CD, but I know @FulcrumTrader doesn't reset his daily.

I checked both charts (primary 6 range + 1 second CD) and they both have 00:00:00 to 23:59:59 session times, I couldn't figure out where/why it is resetting the values for the study on a new session.

Mike


You have to go the 2 Cumulative Sum of Studies in the 1 second chart and, under the Settings and Inputs tab, change the input value of Reset at Start of Trading Day from the default yes to no. Don't forget to do it for both.

Reply With Quote
The following 2 users say Thank You to sctrader for this post:
 
  #6 (permalink)
Market Wizard
virginia
 
Futures Experience: Intermediate
Platform: ninja
Favorite Futures: ES
 
cory's Avatar
 
Posts: 5,212 since Jun 2009
Thanks: 628 given, 6,305 received

looks like you get first tier SC service over here.

Reply With Quote
The following user says Thank You to cory for this post:
 
  #7 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
Big Mike's Avatar
 
Posts: 46,238 since Jun 2009
Thanks: 29,350 given, 83,214 received

Awesome, thanks guys.

I am still having a small issue. There is still some gap in the CD data, see panel 2. I tried changing the source chart from 1 second to 1 tick, it made no difference. These gaps are infrequent, but present. And it screws up the moving average because when there is a gap the value of '0' is used on the moving average, which then subsequently also screws up the panel scale.

Why am I seeing these gaps in CD data?

I've added the MA because I was just trying to duplicate @FulcrumTrader's chart and that is what exposed the issue.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Attached Thumbnails
Sierra Chart Cumulative Delta-1-24-2011-1-41-27-am.png  
Reply With Quote
The following user says Thank You to Big Mike for this post:
 
  #8 (permalink)
Market Wizard
virginia
 
Futures Experience: Intermediate
Platform: ninja
Favorite Futures: ES
 
cory's Avatar
 
Posts: 5,212 since Jun 2009
Thanks: 628 given, 6,305 received

from SC support looks like if you have no data with that time stamp they just leave it blank.

Reply With Quote
The following user says Thank You to cory for this post:
 
  #9 (permalink)
Market Wizard
virginia
 
Futures Experience: Intermediate
Platform: ninja
Favorite Futures: ES
 
cory's Avatar
 
Posts: 5,212 since Jun 2009
Thanks: 628 given, 6,305 received

you can create s/r zone by click on [erhl] extend high light button, then click on anywhere you see a zone they will last forever
Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

Reply With Quote
The following user says Thank You to cory for this post:
 
  #10 (permalink)
Elite Member
Italy (IT)
 
Futures Experience: Advanced
Platform: ATAS, R|Trader, NT8
Broker/Data: Rithmic
Favorite Futures: CL, Brent, GC, TF
 
LukeGeniol's Avatar
 
Posts: 1,501 since Apr 2010
Thanks: 408 given, 974 received



Big Mike View Post
Awesome, thanks guys.

I am still having a small issue. There is still some gap in the CD data, see panel 2. I tried changing the source chart from 1 second to 1 tick, it made no difference. These gaps are infrequent, but present. And it screws up the moving average because when there is a gap the value of '0' is used on the moving average, which then subsequently also screws up the panel scale.

Why am I seeing these gaps in CD data?

I've added the MA because I was just trying to duplicate @FulcrumTrader's chart and that is what exposed the issue.

Mike


cory View Post
from SC support looks like if you have no data with that time stamp they just leave it blank.

Ok, i found a way to overcome this issue, you have to use 1 tick chart instead 1 sec for better CD result, the on the 6 range bar chart use the Study/Price Overlay study:
Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


Then you have to set Fill Blanks With Last Value to Yes, the you have to input Chart Study the 6 range chart and the Ovrly-OHLC of Study Subgraphs (i.e. the total ask bid vol diff bars study):
Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


Hide the Total Ask Bid Vol Diff Bars study, adjust the subgraphs region and it's done:
Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

Take your Pips, go out and Live.
Luke.
Reply With Quote
The following 2 users say Thank You to LukeGeniol for this post:

Reply



futures io > > > > Sierra Chart Cumulative Delta

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)

Linda Bradford Raschke: Reading The Tape

Elite only

Adam Grimes: TBA

Elite only

NinjaTrader: TBA

January

Ran Aroussi: TBA

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
Cumulative Delta Volume Trading Big Mike The Elite Circle 980 Today 07:17 AM
Volume Breakdown and Cumulative Delta cleon EasyLanguage Programming 8 November 9th, 2014 06:12 AM
Gomi cumulative delta gmorgan111 The Elite Circle 6 February 7th, 2012 02:15 AM
Multicharts Cumulative Delta Student of Tape MultiCharts 4 May 31st, 2011 06:24 AM
Gomi Cumulative Delta gmorgan111 Traders Hideout 2 May 11th, 2011 01:11 PM


All times are GMT -4. The time now is 10:39 PM.

Copyright © 2017 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2017-12-10 in 0.26 seconds with 20 queries on phoenix via your IP 54.221.73.186