Volume Delta Indicator - Page 2 - Traders Laboratory

02-02-2007, 08:38 AM

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Volume Delta Indicator

This is an interesting indicator created by Walterw. The Volume Delta plots the number up volume (green) and number of down volume (red) with the larger of the two always on top. This is a very useful visual tool to judge buyers vs sellers per bar.

All credits go out to Walterw for the TICK Delta. Also check out the...

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#10 (permalink)

By walterw on 06-08-2007, 12:52 AM

Re: Volume Delta Indicator

	Quote:	nickm001
	not really... Tick = trade and each trade can be 1 or many contracts... Real volume would be measured in contracts, not the number of trades.

Hi nickm : we found out that the histogram of this indicator is exactly the same to volume... you can make a comparisson adding the volume indicator...

So we came to the conclussion that this was not a Tick Delta but a Volume Delta... cheers Walter.

#11 (permalink)

By cooter on 06-08-2007, 06:32 AM

Re: Volume Delta Indicator

	Quote:	nickm001
	not really... Tick = trade and each trade can be 1 or many contracts... Real volume would be measured in contracts, not the number of trades.

Walter is correct. You might also want to check your TS help guide - there is a section which explicitly defines and explains the relationship between Ticks, UpTicks, DownTicks and Volume (plus Open Interest) as it is used on the TS platform.

#12 (permalink)

By nickm001 on 06-08-2007, 04:09 PM

Re: Volume Delta Indicator

we are both correct (imagine that! )... pending on how the chart is setup...
""""""""""""""""""""""""" """""""""""
The keyword "Ticks" with "Trade Vol" selected shows the number of contracts traded over all transactions during the bar.
The keyword "Ticks" with "Tick Count" selected shows the number of transactions occurring during the bar and ignores the number of contracts traded.

""""""""""""""""""""""""" """"""""""""""
and for detailed explanation see the following link

https://www.tradestation.com/wiki/di...lume-bookmarka

The Following User Says Thank You to nickm001 For This Useful Post:
minoo (08-16-2008)

#13 (permalink)

By cooter on 06-08-2007, 04:29 PM

Re: Volume Delta Indicator

	Quote:	nickm001
	https://www.tradestation.com/wiki/di...lume-bookmarka

Perfect! That's exactly what I was referring to as well. Thanks for posting the link.

#14 (permalink)

By epiktetos on 06-16-2007, 03:11 AM

Re: Volume Delta Indicator


	Up_Ticks Function // Up_Ticks Function vars: IntraBarPersist Last_Tick ( 0 ) , IntraBarPersist MyCurrentBar ( 0 ) , IntraBarPersist Count ( 0 ) ; if GetAppInfo( aiRealTimeCalc ) = 1 then { real-time tick - not on bar in history } begin if CurrentBar > MyCurrentBar then begin Up_Ticks = 0 ; Count = 0 ; end ; if Close > Last_Tick then Count = Count + UpTicks ; Last_Tick = Close ; MyCurrentBar = CurrentBar ; end ; Up_Ticks = Count ; // Dn_Ticks Function vars: IntraBarPersist Last_Tick ( 0 ) , IntraBarPersist MyCurrentBar ( 0 ) , IntraBarPersist Count ( 0 ) ; if GetAppInfo( aiRealTimeCalc ) = 1 then { real-time tick - not on bar in history } begin if CurrentBar > MyCurrentBar then begin Dn_Ticks = 0 ; Count = 0 ; end ; if Close < Last_Tick then Count = Count + DownTicks ; Last_Tick = Close ; MyCurrentBar = CurrentBar ; end ; Dn_Ticks = Count ;

Last edited by epiktetos; 06-16-2007 at 03:14 AM.

#15 (permalink)

By cooter on 06-16-2007, 04:38 AM

Re: Volume Delta Indicator

Quote:

epiktetos

More thoughts on the Ticks Issue and an improvement suggested by a TS user

TS uses the following rules when assigning a tick to the reserved word UpTicks:An uptick is a tick whose price is higher than that of the previous tick of a different price. Thus, if tick 1 occurs at a given price, tick 2 occurs at a higher price, and tick 3 occurs at the same price as tick 2, both tick 2 and tick 3 are counted as upticks.

Here is an improvement that will only count an up tick if the tick > last tick and a down tick if a tick < last tick. If you find that the TS definitions for the reserved words Up/DownTicks is not to your liking you may want to try these functions in place of the reserved words.

Up_Ticks Function // Up_Ticks Function vars: IntraBarPersist Last_Tick ( 0 ) , IntraBarPersist MyCurrentBar ( 0 ) , IntraBarPersist Count ( 0 ) ; if GetAppInfo( aiRealTimeCalc ) = 1 then { real-time tick - not on bar in history } begin if CurrentBar > MyCurrentBar then begin Up_Ticks = 0 ; Count = 0 ; end ; if Close > Last_Tick then Count = Count + UpTicks ; Last_Tick = Close ; MyCurrentBar = CurrentBar ; end ; Up_Ticks = Count ; // Dn_Ticks Function vars: IntraBarPersist Last_Tick ( 0 ) , IntraBarPersist MyCurrentBar ( 0 ) , IntraBarPersist Count ( 0 ) ; if GetAppInfo( aiRealTimeCalc ) = 1 then { real-time tick - not on bar in history } begin if CurrentBar > MyCurrentBar then begin Dn_Ticks = 0 ; Count = 0 ; end ; if Close < Last_Tick then Count = Count + DownTicks ; Last_Tick = Close ; MyCurrentBar = CurrentBar ; end ; Dn_Ticks = Count ;

This is interesting. Could you illustrate the difference visually on a chart for us to see?

With this function it seems you'll then have the issue of so-called "Un_Changed Ticks", since your Up_Ticks + Dn_Ticks will not equal the Total Ticks, right?

So you'd probably want a function to count these "Un_Changed Ticks" as well, just for the sake of completeness.

#16 (permalink)

By jojojo on 06-27-2007, 11:06 AM

Re: Volume Delta Indicator

For all who are interested here's a link which leads quite a bid further :

https://www.tradestation.com/Discuss...Topic_ID=51615

very interesting stuff

Regs Jojo

sorry the real stuff is here :

https://www.tradestation.com/discuss...Topic_ID=41825

Last edited by jojojo; 06-27-2007 at 11:11 AM.

#17 (permalink)

By dfarns on 09-18-2007, 06:13 AM

Re: Volume Delta Indicator

I may be the only person here using TS2000i, but it would sure be nice to see an indicator like Volume Delta in it's text form so I could write it into an .ela .

Dan

#18 (permalink)

By Crazynasdaq on 10-27-2007, 02:07 PM

Re: Volume Delta Indicator

Here I try to convert the indicator from TS8 to TS2000i.....I try, but I don't know if it works because I don't use it since time.

{ WAV_Vol_3 Indicator WAV 8/20/05

intended for intra-day sessions only

plots histogram showing both upTicks and DownTicks for a bar in
real time - the larger of the 2 is always shown on top

plots volume average

plots mid-point of total average as a dot

}
inputs:

UpColor(green),
DnColor(red);

vars:
VolAvg(0), {//plotted vol avg}
Vol(0); {//intra-bar volume (ticks)}

{//only for intra-day}
if Datacompression < 2 then
begin
Vol = ticks; {//sum of upticks and downticks}

{//do not change order of following
//be sure both plot3 and plo4 are same width}
if UpTicks < DownTicks then
begin
plot3(UpTicks,"UpDn",UpCo lor);
plot4(vol,"Total",DnColor );
end else
begin
plot3(DownTicks,"UpDn",Dn Color);
plot4(vol,"Total",UpColor );
end;

{//plot mid point of total ticks with a dot
//dot should fit within histogram}

end;{//if BarType}

#19 (permalink)

By jilln on 08-11-2008, 07:51 AM

Re: Volume Delta Indicator

When I install this, the bar height is always the same as the tick count for the chart, e.g. 144, 233. What am I doing wrong?

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