Quick Intro to Volume At Price | Sierra Chart C++ Custom Study Programming | VAP

Introduction

This tutorial provides a quick introduction to using Sierra Chart's Volume At Price (VAP) containers with a focus on programming in C++. You'll learn how to access and manipulate VAP data on a footprint chart, enabling you to analyze trading volume at specific price levels effectively. This guide is especially relevant for traders looking to enhance their technical analysis with custom programming.

Step 1: Understand Footprint Charts

• A footprint chart displays price and volume information at specific price levels within a defined time period.
• It helps traders visualize where the most trading activity occurs, allowing for better decision-making.
• Familiarize yourself with the layout of a footprint chart to effectively utilize VAP data.

Step 2: Learn About Volume At Price

• Volume At Price indicates how much volume has traded at each price level during a specific period.
• This metric is essential for understanding market sentiment and identifying support and resistance levels.
• Review the documentation on Volume At Price for a deeper understanding.

Step 3: Code Walkthrough

• Begin with the C++ code to iterate through VAP containers.
• Here’s a simplified code snippet to get you started:

for (int barIndex = 0; barIndex < sc.ArraySize; barIndex++) {
    const SCVolumeAtPrice& vapData = sc.VolumeAtPrice[barIndex];
    // Process vapData
}

• This loop iterates through each bar in the footprint chart, allowing you to access VAP data.

Step 4: Define the VAP Struct

• The VAP struct is crucial for storing volume data associated with price levels.
• Understand how to define and utilize this struct in your code to manage VAP data efficiently:

struct SCVolumeAtPrice {
    int PriceLevel;
    double BidVolume;
    double AskVolume;
};

• This struct helps you organize the volume data based on price levels, facilitating easy access and manipulation.

Step 5: Determine Number of Price Levels

• Identify how many price levels are available in a particular bar.
• Use the following code to retrieve the number of price levels:

int numberOfPriceLevels = sc.VolumeAtPrice[barIndex].NumberOfPriceLevels;

• This data is important for analyzing volume distribution across price levels.

Step 6: Loop Through Bar and Read Total Volume

• Once you have the number of price levels, iterate through them to read total volume at each price:

for (int priceLevelIndex = 0; priceLevelIndex < numberOfPriceLevels; priceLevelIndex++) {
    double totalVolume = sc.VolumeAtPrice[barIndex].TotalVolume[priceLevelIndex];
    // Use totalVolume for analysis
}

• This allows you to gather volume information effectively for your trading analysis.

Step 7: Analyze Bid and Ask Volumes

• To get a clearer picture of market sentiment, analyze bid and ask volumes at each price level.
• Include this code to access bid and ask volumes:

double bidVolume = sc.VolumeAtPrice[barIndex].BidVolume[priceLevelIndex];
double askVolume = sc.VolumeAtPrice[barIndex].AskVolume[priceLevelIndex];

• Understanding the relationship between bid and ask volumes can help identify market trends and potential reversals.

Conclusion

In this tutorial, you learned how to utilize Sierra Chart's Volume At Price containers through C++ programming. Key takeaways include understanding footprint charts, defining the VAP struct, and iterating through price levels to analyze total, bid, and ask volumes. For further exploration, consider implementing error handling and memory management in your code to enhance its robustness. Happy trading!