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LinkBack (26) | Release Tools | Display Modes | Language |
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"Market Delta" Footprint for TradeStation
Developer Last Online: Feb 2008
Market Delta is 3rd party software that provides interesting ways of viewing bid/ask information. This information could be useful for analyzing market behavior as price approaches a key support/resistance level.
For those that use TradeStation, I have created a simulation of Market Delta. Note that TradeStation provides a snapshot of the bid/ask so it won't be accurate most of the time. Therefore, I have provided an option in this analysis technique to use upticks and downticks instead. Although the bid/ask info is not completely accurate in TradeStation, you can determine whether it is good enough or if using upticks/downticks is preferred. This Market Delta indicator defaults to using upticks/downticks, which I find useful. For example, in the first chart below, a downswing is highlighted in the ES on 8/29. In the second chart, you can see that the simulation of Market Delta using upticks/downticks highlighted the net selling. Additional Information about the Indicator Attached is the code to simulate Market Delta. Note that if you apply this indicator to a chart and then refresh that chart, all of the Volume info at each strike price is lost. This code does not save historical information. The code supports four color gradients that are controlled by the Threshold inputs. The default Threshold settings are appropriate for the ES on a 5 or 15 minute chart. Setting the Type parameter to '1' will use upticks/downticks, setting that parameter to '2' will use bid/ask. The DisplayDelta parameter indicates whether the net selling vs net buying delta is displayed below the bars (see example below). This code can be easily modified to display Volume at each strike. This is a Paintbar indicator. From my observation, the footprint is updated in real-time in a timely manner. Experiment and play with it and see if you find it useful. Make sure to spread out the bars so that the data and bars fit neatly. I have tested this primarily with the emini S&P. This indicator was originally posted to the TradeStation Forum where other traders are making enhancements to it. |
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By
jmi88
on
10-05-2006, 06:41 PM
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Re: "Market Delta" Footprint for TradeStation
I have prosuite2000i, and it dosent import eld files....is there anyway you can post the code so i can paste it into the EL editor? it would be greatly appreciated...
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By
ant
on
10-05-2006, 06:57 PM
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Re: "Market Delta" Footprint for TradeStation
As far as I know, this indicator cannot be supported by TS2000i or any TradeStation version prior to 8.1 because of limitations related to making updates/calculations on every tick. Sorry.
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By
MarketMole
on
02-12-2007, 11:18 AM
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Re: "Market Delta" Footprint for TradeStation
I don't suppose it would be possible to paste the actual TS code into this thread?
Many thanks, MarketMole ~bangeye~ |
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By
ant
on
02-12-2007, 11:23 AM
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Re: "Market Delta" Footprint for TradeStation
inputs: Threshold1( 150 ), Threshold2( 300 ), Threshold3( 600 ), DisplayDelta( false ), Type( 1 ), // 1 = Use Upticks/Downticks, 2 = Use Bid/Ask BidAskArraySz( 1000 ); variables: TickSize( MinMove / PriceScale ), PriceAtIndex( Open ), BaseIndex( BidAskArraySz/2 ), Red1(RGB(255,185,185)), Red2(RGB(255,128,128)), Red3(RGB(255,0,0)), Red4(RGB(128,0,0)), Green1(RGB(210,255,210)), Green2(RGB(125,255,125)), Green3(RGB(0,255,0)), Green4(RGB(0,128,0)), i( 0 ); variables: intrabarpersist Price( 0 ), intrabarpersist MyVol( 0 ), intrabarpersist VolTmp( 0 ), intrabarpersist LastTick( 0 ), intrabarpersist MyCurrentBar( 0 ), intrabarpersist Index( 0 ), intrabarpersist BidAskDelta( 0 ), intrabarpersist xDelta( 0 ), intrabarpersist TextString(""), intrabarpersist MyUpTicks( 0 ), intrabarpersist MyDownTicks( 0 ); Arrays: intrabarpersist Bid[](0), intrabarpersist Ask[](0); Array_SetMaxIndex( Bid, BidAskArraySz ); Array_SetMaxIndex( Ask, BidAskArraySz ); if (Type = 1 or Type = 2) and LastBarOnChart and BarType < 2 then begin MyVol = Ticks; PriceAtIndex = Open; if CurrentBar > MyCurrentBar then begin VolTmp = 0; MyCurrentBar = CurrentBar; MyUpTicks = 0; MyDownTicks = 0; for i = 0 to BidAskArraySz - 1 begin Bid[i] = 0; Ask[i] = 0; end; end; Index = BaseIndex + (Close - PriceAtIndex) / TickSize; if InsideBid < InsideAsk then begin if Type = 1 then begin // Use Upticks/Downticks if DownTicks <> MyDownTicks then Bid[Index] = Bid[Index] + MyVol - VolTmp else if UpTicks <> MyUpTicks then Ask[Index] = Ask[Index] + MyVol - VolTmp else begin if Close <= LastTick then Bid[Index] = Bid[Index] + MyVol - VolTmp else Ask[Index] = Ask[Index] + MyVol - VolTmp; end; end else begin // Use Bid/Ask // Warning: TradeStation provides snapshot of bid/ask if Close <= InsideBid then Bid[Index] = Bid[Index] + MyVol - VolTmp else if Close >= InsideAsk then Ask[Index] = Ask[Index] + MyVol - VolTmp else begin // Last tick was between bid/ask if Close <= LastTick then Bid[Index] = Bid[Index] + MyVol - VolTmp else Ask[Index] = Ask[Index] + MyVol - VolTmp; end; end; end; MyUpTicks = UpTicks; MyDownTicks = DownTicks; VolTmp = MyVol; LastTick = Close; xDelta = 0; Price = Low; while Price <= High begin Index = BaseIndex + (Price - PriceAtIndex) / TickSize; TextString = NumToStr(Bid[Index],0) + " x " + NumToStr(Ask[Index],0); Value99 = Text_New(Date, Time, 0, " "); Text_SetString(Value99, TextString); Text_SetLocation(Value99, Date, Time, Price); Text_SetStyle(Value99, 1, 1); BidAskDelta = Ask[Index] - Bid[Index]; if BidAskDelta > Threshold3 then Text_SetColor(Value99, Green4) else if BidAskDelta > Threshold2 then Text_SetColor(Value99, Green3) else if BidAskDelta > Threshold1 then Text_SetColor(Value99, Green2) else if BidAskDelta >= 0 then Text_SetColor(Value99, Green1) else if BidAskDelta < -Threshold3 then Text_SetColor(Value99, Red4) else if BidAskDelta < -Threshold2 then Text_SetColor(Value99, Red3) else if BidAskDelta < -Threshold1 then Text_SetColor(Value99, Red2) else Text_SetColor(Value99, Red1); xDelta = xDelta + BidAskDelta; Price = Price + TickSize; end; if DisplayDelta = true then begin Value99 = Text_New(Date, Time, 0, " "); Text_SetString(Value99, NumToStr(xDelta, 0 )); Text_SetLocation(Value99, Date, Time, Low - TickSize); Text_SetStyle(Value99, 1, 1); if xDelta >= 0 then Text_SetColor(Value99, Green) else Text_SetColor(Value99, Red); end; end; |
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By
MarketMole
on
02-12-2007, 11:56 AM
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Re: "Market Delta" Footprint for TradeStation
ant,
Thank you - your gesture is most appreciated. I had to copy from the ViewSource of the browser to get the line brakes but that worked just fine. Have a big day. MM |
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LinkBacks (?)
LinkBack to this Thread: http://www.traderslaboratory.com/forums/f46/market-delta-footprint-for-tradestation-516.html
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| Posted By | For | Type | Date |
| MarketDelta | This thread | Refback | 08-18-2007 03:07 PM |
| MarketDelta | This thread | Refback | 07-27-2007 08:00 AM |
| AmiBroker Fan | This thread | Refback | 06-23-2007 08:04 AM |
| MarketDelta | This thread | Refback | 06-14-2007 09:38 AM |
| MarketDelta | This thread | Refback | 05-25-2007 07:29 PM |
| TS SUPPORT :: View topic - Market Delta | This thread | Refback | 05-14-2007 07:53 PM |
| MarketDelta | This thread | Refback | 05-10-2007 06:32 AM |
| AmiBroker Fan | This thread | Refback | 04-29-2007 01:22 AM |
| TS SUPPORT :: View topic - Market Delta | This thread | Refback | 04-24-2007 09:19 AM |
| TS SUPPORT :: View topic - Market Delta | This thread | Refback | 04-15-2007 05:59 AM |
| Latest posts of: Joe | This thread | Refback | 04-13-2007 02:17 PM |
| TS SUPPORT :: View topic - Market Delta | This thread | Refback | 04-13-2007 10:30 AM |
| TS SUPPORT :: View topic - Market Delta | This thread | Refback | 04-12-2007 09:24 AM |
| TS SUPPORT :: View topic - Market Delta | This thread | Refback | 04-10-2007 11:14 PM |
| MarketDelta | This thread | Refback | 04-10-2007 09:53 PM |
| MarketDelta | This thread | Refback | 04-07-2007 11:00 PM |
| TS SUPPORT :: View topic - Market Delta | This thread | Refback | 04-02-2007 12:04 PM |
| TS SUPPORT :: View topic - Market Delta | This thread | Refback | 04-02-2007 09:56 AM |
| TS SUPPORT :: View topic - Market Delta | This thread | Refback | 03-19-2007 07:09 PM |
| AmiBroker Fan | This thread | Refback | 03-07-2007 04:22 PM |
| MarketDelta | This thread | Refback | 02-27-2007 02:26 AM |
| AmiBroker Fan | This thread | Refback | 02-15-2007 08:36 AM |
| MarketDelta | This thread | Refback | 02-03-2007 09:10 AM |
| MarketDelta | This thread | Refback | 12-27-2006 03:56 PM |
| MarketDelta | This thread | Refback | 12-23-2006 09:10 AM |
| MarketDelta | This thread | Refback | 12-06-2006 03:10 PM |
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