Time and sales coding in ACSIL

February 11th, 2021, 12:46 PM

I need a code for Sierra Chart which is based on Time Sales data. The code would put ask/bid values on the relevant prices. The very same as volume at price, but based on TS. Only part of the code or help would be enough for me.

Anyone can help?

February 11th, 2021, 03:47 PM

Have a look at the code for these studies,

scsf_VolumeAtPriceArrayTest
scsf_VolumeAtPriceThresholdAlert
scsf_VolumeAtPriceThresholdAlertV2

in C:\SierraChart\ACS_Source\Studies8.cpp

February 11th, 2021, 03:58 PM

Thank you, but these studies are examples of VAP. I am trying to work with Time and Sales data in the way as VAP - put ASK/BID volume on the price levels in the current bar.

Trembling Hand

Have a look at the code for these studies,

scsf_VolumeAtPriceArrayTest
scsf_VolumeAtPriceThresholdAlert
scsf_VolumeAtPriceThresholdAlertV2

in C:\SierraChart\ACS_Source\Studies8.cpp

February 11th, 2021, 04:23 PM

liboro

Thank you, but these studies are examples of VAP. I am trying to work with Time and Sales data in the way as VAP - put ASK/BID volume on the price levels in the current bar.

So just to be clear what you are wanting is for example a bar that has a high of 105 and low of 100 you want to know how many bid trades at,
100,101,102,103,104,105

and the same for the ask trades?

February 11th, 2021, 04:26 PM

Yes, this is correct.

Trembling Hand

So just to be clear what you are wanting is for example a bar that has a high of 105 and low of 100 you want to know how many bid trades at,
100,101,102,103,104,105

and the same for the ask trades?

February 11th, 2021, 06:58 PM

liboro

Yes, this is correct.

Well thats the function you need I would think,

Code

SCSFExport scsf_VolumeAtPriceTest(SCStudyInterfaceRef sc)
{


	if (sc.SetDefaults)
	{
		// Set the configuration and defaults

		sc.GraphName = "Volume At Price Test";
		sc.StudyDescription = "This study tests the sc.VolumeAtPriceForBars array.";
		sc.AutoLoop = 1;
		sc.MaintainVolumeAtPriceData = 1;  // true


		return;
	}

	SCString DataString;

	if ((int)sc.VolumeAtPriceForBars->GetNumberOfBars() < sc.ArraySize)
		return;


	// Get the sum of the volumes from all of the prices at this bar
	unsigned int TotalVolume = 0;

	const s_VolumeAtPriceV2* p_VolumeAtPrice = NULL;
	int VAPSizeAtBarIndex = sc.VolumeAtPriceForBars->GetSizeAtBarIndex(sc.Index);
	for (int VAPIndex = 0; VAPIndex < VAPSizeAtBarIndex; VAPIndex++)
	{
		if (!sc.VolumeAtPriceForBars->GetVAPElementAtIndex(sc.Index, VAPIndex, &p_VolumeAtPrice))
			break;

		TotalVolume += p_VolumeAtPrice->Volume;

		//Calculate the price.  This requires multiplying p_VolumeAtPrice->PriceInTicks by the tick size
		float Price = p_VolumeAtPrice->PriceInTicks * sc.TickSize;

		//Other members available:
		unsigned int AskVolume = p_VolumeAtPrice->AskVolume;
		unsigned int BidVolume = p_VolumeAtPrice->BidVolume;
		unsigned int NumberOfTrades = p_VolumeAtPrice->NumberOfTrades;

		DataString.Format("Index: %d,  Price: %f, AskVolume: %d, BidVolume: %d, NumberOfTrades: %d", sc.Index, Price, AskVolume, BidVolume, NumberOfTrades);
		sc.AddMessageToLog(DataString, 0);
	}

}

2021-02-12 10_54_53-Window

February 12th, 2021, 02:44 AM

This is great, thank you.

But I need the same system but data from TS as I mentioned earlier - I would like to code something like Large Volume Trade Indicator.

Do you think it is possible?

February 12th, 2021, 07:29 AM

liboro

This is great, thank you.

But I need the same system but data from TS as I mentioned earlier - I would like to code something like Large Volume Trade Indicator.

Do you think it is possible?

Ok. So then you need one of these,

Time and Sales

Time and Sales for bar index

February 12th, 2021, 07:32 AM

Thank you.

Do you have any idea how
scGetTimeSalesArrayIndexesForBarIndex
works or for which purposes I should use it?

I tried to work with - limit "for loop" only for the "begin" and "end" index,
but with no success.

My code looks like this:

int BeginIndex = 0, EndIndex = 0;
sc.GetTimeSalesArrayIndexesForBarIndex(sc.UpdateStartIndex, BeginIndex, EndIndex);

...

c_SCTimeAndSalesArray TimeSales;
sc.GetTimeAndSales(TimeSales);

if (TimeSales.Size() == 0)
return; // No Time and Sales data available for the symbol

// Loop through the Time and Sales
int OutputArrayIndex = sc.ArraySize;
for (int TSIndex = BeginIndex; TSIndex <= EndIndex; ++TSIndex)
{
//Adjust timestamps to Sierra Chart TimeZone
SCDateTime AdjustedDateTime = TimeSales[TSIndex].DateTime;
AdjustedDateTime += sc.TimeScaleAdjustment;
}

But with no success.

And do you believe that I can achieve TS data for price levels in the bar
with these two functions?

Thank you for your help!

February 12th, 2021, 07:36 AM

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

Time and sales coding in ACSIL

Discussion in Sierra Chart

Time and sales coding in ACSIL