Different Types of Input Data for Indicators
Types of Input Data for Indicators
1.Volume Type
It is raw data of transactions of passive and aggressive buyers and sellers coming form the exchange. Suppose the input data of your indicator is set to Volume. At a certain price level, there are 30 contracts offered by passive sellers in the order book. However, these 30 contracts come from three different sellers — 10 contracts each.
When an aggressive buyer enters the market with a market order for 30 contracts, he/she will consume those 30 contracts, but the raw data feed will record it as three separate transactions (10 contracts each).
Now, imagine you are using a Big Trades indicator with the minimum order size set to 30. Since the 30-contract trade was executed as three separate 10-contract transactions, the indicator will skip them, considering them three smaller trades rather than one large execution.
2.Order Type
The Order input type works only with data feeds that provide MBO (Market by Order) data. If you set the input data to Order, in the Advanced Time & Sales window, you’ll notice a column called List
To understand this, note that large institutions often split their orders into many smaller ones to stay hidden from the market. For example, instead of sending one large market order of 500 contracts, they might execute 100 separate orders of 5 contracts each.
In futures markets, commissions are based on quantity traded, not the number of orders, so both methods cost them same.
When this happens and we are using raw data types like Volume or Order, our indicator might miss the fact that these 100 small orders represent a single large trade. However, if we set the input data type to Aggregate, DeepCharts analyzes the transaction data and can reconstruct that hidden large order.
it does this by identifying that all those 100 smaller trades share the same aggressor ID, allowing DeepCharts to infer that they belong to a single 500-contract parent order.
3.Aggregate Type
The Aggregate input type is not provided directly by the data feed — it’s calculated by DeepCharts and this input type did not require to have a data feed that provide MBO (Market by Order) data so it can be used with any data feed.
here the data is calculated on base of speed of the tap and Trade transactions
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