TRADEPRO Academy
Sierra ES Chartbook Spec Sheet
Order Flow Trading
This document is intended for use by TRADEPRO Academy Inc subscribers.
Copying, modifying, publishing, sharing or distributing this document in any way
is strictly prohibited without the written consent of TRADEPRO Academy Inc.
Introduction
The following document is a legend of the TRADEPRO Academy ES Chartbook for Sierra
Chart.
The purpose of this legend is to outline all of the charts and studies that we use so that you are
more familiar with the chartbook.
This legend also serves as a reference guide for those members that are using an alternative
platform to Sierra Chart and would like to replicate our template onto their native platform.
You will be provided with details of all the charts and tools that we use in our chartbooks and
with this information you can reach out to your platform’s support team for help in the
construction of these charts.
Finally this legend is meant to serve as a supplement to the Sierra Charts Tutorial Course which
effectively walks you through how to build each chart and indicator in our chartbook from
scratch. If you are looking to troubleshoot any issues with the TRADEPRO chartbook and
Sierra, we highly recommend you check out that tutorial course!
Part 1 - The TPA ES Chartbook
The default TRADEPRO ES Chartbook runs on a single screen and contains all of the ES order
flow tools that we use.
When you open the chartbook in Sierra Charts for the first time, you will see the above chart
layout populate onto your screen.
The open charts that you see include the following:
1. 10-tick Range Bar Chart
2. 5-tick Range Bar Chart
3. 5-tick Reversal Bar (aka Footprint Chart)
4. Heatmap (Inventory Levels) Chart
5. Equity Correlations Chart
6. Inverse Correlations Chart
7. 60-Minute Bar Chart (Pivot Charts)
There are also a number of additional charts that are minimized in the chartbook and we will
explain these below.
Part 2 - The 10-Tick Range Chart
The 10-tick Range Bar chart (also displayed as the 2.50 range on Sierra) helps us identify
market structure and trading zones.
This chart consists of the following indicators:
1. Volume Weighted Average Price >> This is the GLOBEX VWAP and is the purple line
that you see displayed on the chart.
2. Market Depth Historical Graph >> This is the heatmap overlaid onto the range bar
chart! By default we have left this indicator hidden, however, you can “uncheck” the hide
button in order to display inventory levels on this chart
3. US Session Volume Weighted Average Price>> This is the US Session VWAP and is
the orange line that you see displayed on the chart. This indicator is actually overlaid
from another chart in the chartbook which is called “ES US Session VWAP”.If you wish
to make changes to this study, you must go to the source chart or else the changes will
not reflect on this chart!
4. Multiple VP (VbP - 1 Days) >> This study shows us the volume profile for the current
session and is actually broken down into two separate profiles on the 10-tick chart; the
dark gray volume profile on the left side of the chart shows us the GLOBEX volume,
whereas the blue volume profile represents the US cash session volume.
5. Daily OHLC >> This study identifies and displays the US Cash Session Opening price
level on the 10-tick chart; this is indicated by a solid yellow line with the name value
“Open”
6. Daily OHLC >> This study identifies and displays the key session levels on this chart
which include the Prior Day’s High (PD/H - dashed red line) / Prior Day’s Low (PD/L -
dashed green line/ Prior Day Close (PD/C - dashed black line)
7. High/Low for Time Period - Extended >> This study identifies and displays the
Overnight High (ON/H) and Overnight Low (ON/L) levels. These are your Globex high
and low and they are displayed as solid lines. The ON/H is displayed as a solid red line
on the chart, whereas the ON/L is displayed as a solid green line on the 10-tick chart.
8. High/Low for Time Period - Extended >> This study identifies and displays the
Opening Range for the session. The default is set to identify the high and low of the first
5 minutes of trading for the day. This study is displayed with solid yellow lines on the
chart with the values ORH (Opening Range High) and ORL (Opening Range Low).
9. Volume >> This study displays the volume bars at the bottom of the 10 tick chart,
10. VP: 5 Day Right (VbP- 5 Days at End) >> This study is the 5-day volume profile which
shows up on the right side of the chart (in grey) and displays the volume at price levels
for the last 5 trading sessions.
Part 2 - The 5-Tick Range Chart
The 5-tick Range Bar chart (also displayed as the 1.25 range on Sierra) helps us refine our
trading zones and also identify market rotations at our key levels.
This chart consists of the exact same indicators as the 10-tick chart! You can find these listed
again below for your reference:
1. Volume Weighted Average Price >> This is the GLOBEX VWAP and is the purple line
that you see displayed on the chart.
2. Market Depth Historical Graph >> This is the heatmap overlaid onto the range bar
chart! By default we have left this indicator hidden, however, you can “uncheck” the hide
button in order to display inventory levels on this chart
3. US Session Volume Weighted Average Price>> This is the US Session VWAP and is
the orange line that you see displayed on the chart. This indicator is actually overlaid
from another chart in the chartbook which is called “ES US Session VWAP”.If you wish
to make changes to this study, you must go to the source chart or else the changes will
not reflect on this chart!
4. Multiple VP (VbP - 1 Days) >> This study shows us the volume profile for the current
session and is actually broken down into two separate profiles on the 10-tick chart; the
dark gray volume profile on the left side of the chart shows us the GLOBEX volume,
whereas the blue volume profile represents the US cash session volume.
5. Daily OHLC >> This study identifies and displays the US Cash Session Opening price
level on the 10-tick chart; this is indicated by a solid yellow line with the name value
“Open”
6. Daily OHLC >> This study identifies and displays the key session levels on this chart
which include the Prior Day’s High (PD/H - dashed red line) / Prior Day’s Low (PD/L -
dashed green line/ Prior Day Close (PD/C - dashed black line)
7. High/Low for Time Period - Extended >> This study identifies and displays the
Overnight High (ON/H) and Overnight Low (ON/L) levels. These are your Globex high
and low and they are displayed as solid lines. The ON/H is displayed as a solid red line
on the chart, whereas the ON/L is displayed as a solid green line on the 10-tick chart.
8. High/Low for Time Period - Extended >> This study identifies and displays the
Opening Range for the session. The default is set to identify the high and low of the first
5 minutes of trading for the day. This study is displayed with solid yellow lines on the
chart with the values ORH (Opening Range High) and ORL (Opening Range Low).
9. Volume >> This study displays the volume bars at the bottom of the 10 tick chart,
10. VP: 5 Day Right (VbP- 5 Days at End) >> This study is the 5-day volume profile which
shows up on the right side of the chart (in grey) and displays the volume at price levels
for the last 5 trading sessions.
Part 3 - The 5-Tick Reversal Footprint Chart
The 5-tick Reversal Footprint chart (also displayed as the Rev. 5t on Sierra) is used to
effectively “see inside” the candles and visualize order flow and rotations once the market
reaches our trading zones so that we can qualify/disqualify our next best trades.
This chart consists of the following indicators:
1. Numbers Bars >> This is the study that actually displays the footprint that you see on
the chart and allows us to configure imbalance percentages so that we only see the most
aggressive market buying/selling when it occurs. The buy and sell imbalances highlight
500% of opposing diagonal volume traded.
2. US VWAP >> As per the previous examples,this is the US Session VWAP and is the
orange line that you see displayed on the chart. This indicator is actually overlaid from
another chart in the chartbook which is called “ES US Session VWAP”.If you wish to
make changes to this study, you must go to the source chart or else the changes will not
reflect on this chart!
3. Market Depth Historical Graph >> This is the heatmap overlaid onto the range bar
chart! By default we have left this indicator hidden, however, you can “uncheck” the hide
button in order to display inventory levels on this chart
4. Daily OHLC >> This study identifies and displays the US Cash Session Opening price
level on the 10-tick chart; this is indicated by a solid yellow line with the name value
“Open”
5. PIVOT Overlay >> This study overlays the pivot point indicator from our 60-Minute Bar
chart onto our footprint chart so that we can easily reference where these levels sit
throughout the session.
6. Volume Weighted Average Price >> This is the GLOBEX VWAP and is the purple line
that you see displayed on the chart.
Part 4 - The Heatmap Chart
The heatmap chart is relatively simple as it is actually a blank time-based chart (1 minute) that
visually represents the inventory on the DOM (Depth of Market) in a nice visual format.
It highlights the larger bids and offers based on an input threshold. The lighter the coloring the
larger the inventory is being displayed.
This chart has following studies displayed:
1. Bid & Ask Prices >> This study simply displays the current bid and offer (ask) price on
the Y-axis of this chart (shown in blue and red). This study is configured as a stair step
so that we can easily track the real time auction in relation to the inventory at any given
price level.
2. Large Volume Trade Indicator >> This study displays a “square” when a large order of
89 contracts or more hits the market within the same millisecond (none displayed in the
screenshot above)
3. Market Depth Historical Graph >> This is the study that actually plots the inventory
levels onto the chart. We are able to set the “Lowest Quantity for Coloring” which
effectively allows us to only see inventory equal or greater to a certain number of lots.At
the time of writing (September 2020), a good threshold to start with is 249 - meaning that
only inventory at a price level with 249 contracts or more will be displayed on our heat
map.
Part 5 - The Equity Correlations Chart
The equity correlations chart is a 5-minute line chart that displays the last traded price for the
equity indices including the SP500, Nasdaq, Dow Jones & the Russell 2000. We like to use this
chart as a qualifier/disqualifier when looking at a potential trade.
By default the green line represents the SP500, the purple line represents the Nasdaq, the
yellow line represents the Dow Jones and the orange line represents the Russell 2000.
This chart is a bit more complex as the symbol for this chart is the SP500, however, the
remaining lines are actually studies overlaid onto this chart from other source charts which can
be found at the button of your Sierra Chart dash.
If the correlation charts ever stop working, you can troubleshoot by going into each of the
source charts displayed above to perform a symbol rollover to the front-month contract which
should fix the issues.
Part 6 - The Inverse Correlations Chart
The inverse correlations chart is a 5-minute line chart that displays the last traded price for a
number of risk-off assets including Gold, US 30-Year T-Bond Futures, US 10- Year T Note
Futures, Japanese Yen futures (6J) and the US Dollar Index. We like to use this chart as a
qualifier/disqualifier when looking at a potential trade.
By default the brown line represents the US 30-Year T-Bond Futures, the silver line represents
the US 10- Year T Note Futures, the gold line represents Gold, the red line represents the
Japanese Yen futures (6J) and the green line represents the US Dollar Index.
As with the other correlation chart, this chart is a bit more complex as the lines displayed are
actually studies overlaid onto this chart from other source charts which can be found at the
button of your Sierra Chart workspace.
If the correlation charts ever stop working, you can troubleshoot by going into each of the
source charts displayed above to perform a symbol rollover to the front-month contract which
should fix the issues.
Part 7 - The 60-Minute Bar Chart (Pivot Chart)
This chart is mainly used during our pre-market analysis and is based on the 60-minute
timeframe.
We like to use this chart to display the pivot point study which calculates the pivot of the asset,
as well as the S1, S2, R1, R2 based on the prior day’s range,
These levels tend to act as strong support and/or resistance depending on where the market
approaches them from. The grey line represents the actual pivot point, whereas the R1 and R2
studies are displayed in red (to represent potential resistance), whereas the S1 and S2 are
displayed in green )to represent potential support).
The Pivot Points are actually calculated and derived from the source chart called “ES Daily”
which is hidden from the workspace but can be found on the bottom tab of the workstation.
Part 7 - The Depth of Market (DOM)
The Depth of Market is included in the TPA chartbook, however in the interest of saving screen
real estate, it is minimized by default.
In order to open the DOM, you will need to click on the tab titled “ES DOM” at the bottom of your
Sierra Chart workspace (see image above for reference) to maximize it.
The TRADEPRO DOM is very simple and displays bids (buyers) on the left hand side of the
ladder (blue) as well as offers (sellers) on the right side of the ladder(red).
