Coding a Real-Time Futures Orderbook Indicator - Sierra Chart ACSIL

[@Arivan_Abdulla]

massive respect I don't really code in c++ because it is harder but you did impressive work with coding here

[@VerrilloTrading]

Thank you!

[@richardfenton6353]

You've got some good videos on how to use IBKR. Do you ever do videos on money management and risk management? Would you ever share your equity curve, if not in USD terms then in a non-currency way to allow discussion of maximum drawdowns, which is a major part of trading. Techniques are part of the equation, but ultimately it's all about the numbers and risk management over the long term.

[@VerrilloTrading]

Thanks. Yes I've done a number of videos on those and showing trade stats too. You'd have to look through the channel to find them. There will be more in the future. Those videos don't perform as well as the tutorial content so they get uploaded less frequently unfortunately.

[@dotharth]

Nice to see some SierraChart content back on your channel ! Love it. Can you clarify what is the difference between your study and the "Bid & Ask Depth Bars" study from SierraChart ? When you set the calculation mode with "Cumulative difference (Ask - Bid)", it should do the same no ? Or am I missing something ?

[@VerrilloTrading]

From what I just read about that study. No it is not the same. I am recording each change made to the book. That study you mentioned looks to be using the c_ACSILDepthBars structure which has less information than the historical market depth data files do.

[@dotharth]

​@@VerrilloTrading I am currently using this study to assess the market depth "pressure" and it seems to work well. Nonetheless, I would be curious to see a comparison side by side of your custom study and this study to see which one gives better clarity.

[@piphunter]

This is a great video. Thanks for sharing. Have you considered adding something like a flip chart like the one in Jigsaw's auction vista.

[@VerrilloTrading]

Glad you enjoyed it. I am not familiar with this flip chart, do you have any resource?

[@piphunter]

@@VerrilloTrading Didn't you use Jigsaw a few years ago? It's a pulling and stacking indicator that sits on the the bottom of Auction Vista. If you were to create a pull/stack ratio at S&R levels, that might be an early indication of a price reversal. Just an idea.

[@Lavender_1618]

@@piphunter Go to my channel, and look at my latest couple of videos, and look for the green/red bar in the DOM. Is this kinda similar what you are referring to?? Its calculating the pull/stack and time and sales averages, to give a visual display to whether the market is "pulling" price down, or "stacking" price up. (along with T&S data for the average of the two). To discern whether the movement is just manipulation/cacellation based, or actual trade based.

[@AbouAdam-k2j]

its really impressive and for sure useful. Do you recommend for a beginner futures trader to use AMP Futures in CANADA, especially to trade micros and later grow to minis ES/NQ ?. Thank you

[@VerrilloTrading]

Yes this is a good discount broker. You can also check Ironbeam or Edgeclear. Similar thing.

[@Lavender_1618]

Its like a cumulative delta of the pulling/stacking column....kinda brilliant actually! I can immediately see the edge/benefit, just running a few simulations. I have an indicator I built for the DOM, that analyzes the pulling/stacking column, as well as time and sales delta, and also bid/ask depth and displays the average. Which shows a nice visual representation, of whether the price is being "pulled" upwards, or "stacked" It displays it on the DOM, as histogram bars (you can see it in the latest video I have next to the price).

[@VerrilloTrading]

Thanks for the feedback!

[@kylehofmeister6906]

It seems like you're tracking overall Bid/Ask activity where I think you would get more information if you separated the Bid and Ask and then further separate them into Pulling and Stacking categories. Maybe I don't fully understand how your study operates but I saw in your graphs that you may see a lot of Bid activity and see bid activity increasing as price plummets. My guess would be its pulling activity but I don't think you know just by looking at your charts. I would also like to see what the offer is doing. As price plummets are we seeing a lot of stacking on the offer? I think separating everything would give you much more detail. What I don't know yet, is how you would practically use the study. Its a lot to pay attention to at once and ask fast as the bid or offer can be pulled or stacked, the opposite can take place.

[@VerrilloTrading]

Thanks for the feedback!

[@BeardOvBorgia]

You have some very unique scripts and ideas, and that is some serious coding talent. Why don't you sell some of these concepts to other traders who find value in these studies? Also, why aren't you working as a developer with CME or alike? Here's a coffee, enjoy bro 🐸☕

[@VerrilloTrading]

Thank you for the tip and the feedback! 🙂✌👊

[@captainprice2025]

safe

[@tobiasewald607]

Hey buddy, thanks for your top videos regarding IBKR and Sierra Chart. I have a question regarding Sierra Chart and option trading on Lower TFs on IBKR. I would like to have everything in one place (charting, order execution to IB) and it seems that sierra chart is very suitable for that. The only question I have, before i continue with SC is if I can permanently chart in Sierra Chart on e.g. SPY and switch in Sierra Chart multiple 0DTE options strike prices and sides to execute orders ( like i do actually manually via a watchlist and the order book in TWS. Charting happens on Tradingview, which is a little bit odd ). Sorry for this here, but i dont know actually where i should ask you :) Great content btw.

[@VerrilloTrading]

Thanks for the super chat! I think Sierra is suited for this, but there are no built in options tools for viewing an options chain or switching between the strikes like you described. You would need to create this functionality using their watch list feature. You would need to put in the options symbols manually or programmatically every few days. I think it is possible, especially if you obtain the options data from IBKR API.

[@tobiasewald607]

@@VerrilloTrading i thought about this aswell, i think the watchlist is a handy workaround. Just put all DTE of one week or month subsequentially. I think you also can solve it programmatically via ib api. Thanks for the supportive direction:)

[@tobiasewald607]

Thats pretty awesome mate, impressive

[@VerrilloTrading]

Thanks!

[@sudiptabiswas2194]

Hi can you make videos on how we can setup zscore/vscore like Trade station/TV in Sierra charts

[@VerrilloTrading]

I have never heard of zscore/vscore could you provide a reference?

[@PriceSquawk]

Nice work! I have found it useful to hook up VS Code + Copilot extension to the Sierra Chart directory when coding custom studies as it uses the whole ACS (?) directory of study code to get the job done. Any help is appreciated with C++ 😅

[@VerrilloTrading]

Glad you enjoyed it!

[@jayshwinshah9768]

does dom trading have edge in your opinion for cl and es

[@VerrilloTrading]

I think it does, I also think it's a complex topic and markets have evolved a lot from when trading first went to the screens.

[@albertbs7756]

Great video and very fuirtful thank you so much, by the way a new subscriber 👋 Please i do have a question, Whats the minimum deposit to open an account with interactive brokers? Its my first time and i am totally confused (cus i've heard its 0$, then someone wrote its 10000$ , another one said its 2000$ ) Can you make it clear for me please

[@VerrilloTrading]

There is no minimum to open an account. It used to be USD 10k a very long time ago. You can open an account with any amount, just note there is a minimum account balance of USD $2000 required to enable margin trading.

[@fx_rookie]

There is a LOB study (I don't know if it is custom) which Lewis De Payne (X) uses in his analysis. It does not just scan for changes in the order book, but for their direction too. Pulling and stacking of the Limit Order Book (LOB) refers to the analysis of changes in limit orders at specific price levels, which can provide insights into market sentiment and potential price movements. It might give you an idea about how to refine yours.

[@VerrilloTrading]

Thanks for the feedback!

[@Lavender_1618]

​ @VerrilloTrading I tried to re-implement this using the pull/stack column as the data source for accumulation, and come up with completely different data, so the way that you're calculating this, uncovers novel information that I don't think would be available otherwise. its highly fascinating that there are trends, and movements, within the data, that are uncovered, that seem completely detached from the actual price movement, although at times, highly oppositely correlated. As for finding actionable trade ideas, Im not so sure yet. But I did find that using this in combination with the one I coded using Pull/Stack as the source, can spot very nice trade entires for really quick scalps.

[@VerrilloTrading]

@@Lavender_1618 Interesting! We'll keep working on it.

[@sebastiancioek5970]

Great idea ❤

[@VerrilloTrading]

Cheers!

[@Ossss800]

In the order book, ask orders are offers to sell, while bid orders are offers to buy. However, in a footprint chart, the ask volume represents aggressive buying, meaning buyers are hitting passive sell orders, and the bid volume shows aggressive selling, with sellers hitting passive buy orders. which can be confusing.

[@VerrilloTrading]

Yes, I've thought about this stuff for quite a long time.

[@zo9fg]

Wouldnt spoofing or MM hedging be a problem? How do u deal with noise like that?

[@VerrilloTrading]

If you have an idea that every order is a spoof order to some degree then it plays into the narrative.

[@zo9fg]

@@VerrilloTrading it happens sometimes, I see them on bookmap, I guess since u backtest the indicator, it should have filtered the noise and works 100% as intended

[@s9l.k973]

the key here is not to use this data alone.