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Market Depth Historical Graph


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Market Depth Historical Graph

  #1 (permalink)
 
WilleeMac's Avatar
 WilleeMac 
Prospect, KY. USA
 
Experience: None
Platform: Sierra Chart
Broker: Infinity
Trading: /CL
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I'm wanting to start a thread/ topic/ discussion on this new feature

Market Depth Historical Graph - Sierra Chart

It looks as though it is the same (?) as Bookmap https://bookmap.com/ which it looks like Peter @DionysusToast and Morad @FuturesTrader71 use (?)

Basically

Are you using this study

How to use this study

What to look for

Etc, etc

-William

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  #2 (permalink)
 
FuturesTrader71's Avatar
 FuturesTrader71 
 
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WilleeMac View Post
I'm wanting to start a thread/ topic/ discussion on this new feature

Market Depth Historical Graph - Sierra Chart

It looks as though it is the same (?) as Bookmap https://bookmap.com/ which it looks like Peter DionysusToast and Morad @FuturesTrader71 use (?)

Basically

Are you using this study

How to use this study

What to look for

Etc, etc

-William

Interesting thread. The product I use is the S5 Bookmap which is the same as Bookmap. It is my preferred execution tool now because it puts the DOM, prints, depth, my orders and everything else I need in perspective in one spot. There will be some additional improvements that I'm making to it as well. It is the original depth and order flow heat map.

Risk Disclaimer: Trading Futures is not suitable for all investors. Past Performance is not indicative of future results.

If you have any questions about the products or services provided, please send me a Private Message or use the futures.io " Ask Me Anything" thread
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  #3 (permalink)
 
WilleeMac's Avatar
 WilleeMac 
Prospect, KY. USA
 
Experience: None
Platform: Sierra Chart
Broker: Infinity
Trading: /CL
Posts: 687 since Jan 2012
Thanks Given: 309
Thanks Received: 617


First thing I have noticed is your computer must not be on sleep or shut down etc if you want continuous data

-William

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  #4 (permalink)
 
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 Jigsaw Trading  Jigsaw Trading is an official Site Sponsor
 
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FuturesTrader71 View Post
Interesting thread. The product I use is the S5 Bookmap which is the same as Bookmap. It is my preferred execution tool now because it puts the DOM, prints, depth, my orders and everything else I need in perspective in one spot. There will be some additional improvements that I'm making to it as well. It is the original depth and order flow heat map.

Although much of what is in it now comes from Jigsaw - don't forget that Morad

In terms of what Sierra have developed - I would imagine a number of vendors are now developing something along a similar line.

The bottom line though - is that despite the pretty historical depth views - the depth is perhaps the least important set of order flow information. It's fake most of the time. If you were to lean on above average depth each time you saw it - you would lose money. Mostly because the depth is there to entice you to do something stupid.

Footprint charts and other tools that show you where people are positions will always be superior because when a cluster of positions exist in an area, you know with a much greater certainty that people will react to a move away from that area. The same cannot be said about market depth because it does not represent existing risk.

So - on the Sierra screenshots - the execution data is still the most valuable.

If you have any questions about the products or services provided, please send me a Private Message or use the futures.io " Ask Me Anything" thread
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  #5 (permalink)
 
WilleeMac's Avatar
 WilleeMac 
Prospect, KY. USA
 
Experience: None
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Broker: Infinity
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Posts: 687 since Jan 2012
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Peter @DionysusToast thank you for the information

Morad @FuturesTrader71 as well

Ride safe and keep the rubber side down



-William

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  #6 (permalink)
 
Neo1's Avatar
 Neo1 
Christchurch, New Zealand
 
Experience: Beginner
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Broker: IB, BC, Dx Feed
Trading: US Equities
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WilleeMac View Post
I'm wanting to start a thread/ topic/ discussion on this new feature

Market Depth Historical Graph - Sierra Chart

It looks as though it is the same (?) as Bookmap https://bookmap.com/ which it looks like Peter @DionysusToast and Morad @FuturesTrader71 use (?)

Basically

Are you using this study

How to use this study

What to look for

Etc, etc

-William


The SC iteration has more potential than any of the independent vendor products- no offensive to BM or Jigsaw( Both seem like great products), it's just that SC is offering it in a full scale platform.

With SC you can access historical market depth via ASCIL, so there is lots of potential for advanced customization. It's unprecedented in terms of an out of the box retail platform.

The advantage for your average user is that the Market depth historical graph functions just like any other study, thus can be added to a single chart, or combined with multiple other SC studies, making it easier to combine into your current trading. furthermore, without any custom programming you can come up with something that no vendor currently offers Eg a pretty historical depth combined with a footprint chart/ vol profile/ VWAP band Study etc.

"Free markets work because they allow people to be lucky, thanks to aggressive trial and error, not by giving rewards or incentives for skill. The strategy is, then, to tinker as much as possible and try to collect as many Black Swan opportunities as you can"
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  #7 (permalink)
 
Neo1's Avatar
 Neo1 
Christchurch, New Zealand
 
Experience: Beginner
Platform: SC
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Trading: US Equities
Posts: 428 since Jul 2014
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WilleeMac View Post
First thing I have noticed is your computer must not be on sleep or shut down etc if you want continuous data

-William

If I remember correctly, SC had future plans to offer historical market depth data via an add on service.

"Free markets work because they allow people to be lucky, thanks to aggressive trial and error, not by giving rewards or incentives for skill. The strategy is, then, to tinker as much as possible and try to collect as many Black Swan opportunities as you can"
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  #8 (permalink)
 
CenFlo's Avatar
 CenFlo 
Tampa FL
 
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I've been playing with and using this study more, @WilleeMac knows this.

I'm curious to know how close anyone has been able to get the study to the "real" Bookmap?

I'm just using the basics and starting to add stuff, but any screenies for what others have done would be nice.

You miss 100% of the shots you don't take. - Wayne Gretsky
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  #9 (permalink)
 
CenFlo's Avatar
 CenFlo 
Tampa FL
 
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@OmegaXan2

You've gotta post where you're at, bro.

I was playing with it more tonight:


You miss 100% of the shots you don't take. - Wayne Gretsky
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  #10 (permalink)
 OmegaXan2 
Los Angeles, CA
 
Experience: Advanced
Platform: SC
Trading: TSY, Energy, Equity
Posts: 213 since May 2015
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Here's what I'm working with so far, still want to clean up some things.

On the very bottom, I have Cumulative Delta Vol and the Line of Close is the same thing but for minimum contract volume of 13.


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Last Updated on January 9, 2018


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