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I have an idea that am looking for programmers to code it into Sierra Chart , if any.
Here is my idea :
my idea is simple and it gets its raw data from REAL time & sales data : it is a cumulative oscilator of the T&S Data .. it adds volumes on ask and subtract volumes on bid.
Suppose that our Cumulative T&S starts from 0 so our oscilator will draw and update itself like this
0+3+5-2+10+6-4+2-5-10+4-2-7+1
each ask volume we add +
each bid volume we subtract -
this oscilator shall be drawn on many timeframes which goes from tick , 10 sec , 30 sec , 1 min , 2 min .. etc
but i want to have mini time frames like 10 sec so that we have a chance to catch HFT.
i mean it update itself on tick bid/ask volumes using timeframes ( 10 sec , 30 sec ..etc etc ).
each new 10 sec : it adds old value + new updated values of bid volume / ask volume , and so on.
our oscillator shall go past 10000 - 15000 lines of T&S.
Kindly , advise me about my idea
As we got the oscillator , then we can check for the Volumes hammering either Bid or Ask.
I guess that what am thinking about is diffrent from normal CD , as mine is a cumulative one which added old interval one to the new bars one and hence forth.
So : mine is add/subtract ask vol / bid vol for each T&S line comes in and so on.
lets see what our programmers here can help us about.
Nice to see you here. This situation is quite funny because I was watching a very interesting video on Youtube about iceberg orders ( Iceberg Orders and Market Manipulation) while writing in this thread. At the end of the video, I noticed it was... yours.
but : am not sure if this is what exactly in mind.
let me ask some questions which shall clarify it all
1- does the Cumulative Delta Bars draws its bars for each askvol-bidvol candle or it adds/subtract the new candle value for the previous candle value ?
2- does this ask vol/bid vol represented volume of contracts entered on market orders or limit orders waiting to be activated at each bar ?
attached in my last post , is T&S window picture : does the Ask Volume and the Bid Volume used for the calculation of Cumulative Delta Bars represend the contract numbers in ( volume = # 1 ) or it represent bidsize / asksize ( numbers 2 + 3 ) ?
what am thinking is that i want to use volume ( # 1 ) : if it is green raw ( ask trade ) we add this volume , if it red raw ( bid trade ) we subtract this volume , we can draw this oscilator in many timeframes ( 10 sec , 30 sec .. etc etc ).
thanx for your comments.
appreciates.
best regards
