Wednesday, December 7, 2011

ToS Range Bar Volume

I was doing a little more reading on the thinkorswim Resource Center and confirmed that volume is ignored when using the Range Bar aggregation type. Just know that when you are looking at a chart with associated studies that causes them not to show up correctly.

Given that, how would you show a time based data on a study with range bars specified? Many of the Fundamental functions all you to specify an aggregation period using the term "period".  For example, let's say you wanted to plot the ten day average closing price with daily aggregation:

thinkscript:
plot CloseData = Average(close(period = AggregationPeriod.DAY), 10);
plot VolumeData = Average(volume(period = AggregationPeriod.DAY), 10);

The CloseData plot works great. But, the plot for the "volume" fundamental function doesn't appear to function as expected. Additionally, it may be causing the ToS platform to hang. I've also had some other adverse behavior with the platform when trying to view other tickers with range bars enabled. I'm going to update the development team and see if there are some known issues. Maybe there are some limitations that I've missed. I think it'd help to read the release notes.

Tuesday, December 6, 2011

Range Bars in the TOS Platform

ToS Range Bars


Today I was changing the style on one segment of my ToS platform chart, and noticed a new menu entry titled "Aggregation Period". I hadn't seen that in the recent days, but figured it was a way of managing and seperating the ticks and the time intervals. Much to my surprise I saw an new entry there for Ranges. I've been looking for the ability to see ToS charts with ranges, and the closest I've been able to find has been the range bar approximation indicator from Prospectus. That was a great solution to address the basics of range bars, but with an integrated component, this will be a great addition to this powerful trading platform. Here is a screenshot of the e-mini S&P 500 Index (/ES) with a 1 month timeframe and a $1 range bar:

Setting Up Range Bars


It's very simple. In the ToS platform, navigate to the charts tab, select charts, then for the Style, select the Aggregation Type to Range. Once the range aggregation has been set, select the time-frame whether you want Intraday or Daily. Not too much work to do there, but what I did notice is that with range bars, you do not see any volume information, nor to other studies that rely on volume show up appropriately. That may be by design. Another observation on the chart are fine dotted markings that show the 15 minute periods. Good luck with the range bars and thank you to the ThinkOrSwim development team for incorporating that into the TOS Platform.