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Old 06-21-2008, 02:19 AM   #1

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Cumulative Volume(Delta Buy/Sell) Indicator

Hi All,
This indicator was posted by Ben, for use with NT

"Delta Buy/Sell Volume, Tick volume or Tick count
Hello everyone,

I've made a sweeping change to the cumulative delta indicator and posted it to this message. It is one indicator that lets you choose from the following 3 cumulative delta types:
1) Bid/Ask Volume
This is cumulation of the volume at the Ask - volume at the Bid
2) UpTick/DownTick Volume
This is the cumulation of the volume on upticks - volume on downticks
3) Tick Count
No volume in this calculation, just the sum of upticks - downticks

I believe this is a more efficient handling of the incoming market data and it may lead to resolving some of the "discrepancies" in the cumulative calculation. Please test it and report back to this thread.

Another enhancement in this version is you can completely turn-off the individual bar delta values (which were plotted as green and red dots in prior versions). This will prevent any undesirable scaling issues with the panel.

Let me know if you have any questions! Please test this indicator and report back.

Enjoy!
Ben
Attached Files
File Type: zip CumulativeVolumeOrTick.zi p (3.1 KB, 159 views)
Last edited by sbgtrading : 04-15-2008 at 05:25 AM. "

Does anyone here use Cumulative Volume(Delta Buy/Sell) indicator in conjunction with Market Profile, and if so ,would it be possible to comment on how they have used it ?

Thanks in advanced for any feed back
Cheers
Michael Bethell
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Old 06-22-2008, 05:56 AM   #2

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Re: Cumulative Volume(Delta Buy/Sell) Indicator

I do this for some years now.
The accumilted MD will generate a visual chart that will be close to the price chart but not allways.
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Old 08-07-2008, 08:40 AM   #3

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Re: Cumulative Volume(Delta Buy/Sell) Indicator

i was actually thinking of doing that(bid/ask, volume) just to see how it could actually perform. Did you run it? if so, what's the accuracy of the signals you get?
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Old 04-30-2009, 01:07 PM   #4

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Re: Cumulative Volume(Delta Buy/Sell) Indicator

Sorry if I am being dense, but I did not find any code to "test" this indicator. Would you please re-check your attachment status (or just tell me I messed up...).

Thanks,
Daawg
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Old 04-24-2010, 06:31 PM   #5

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Re: Cumulative Volume(Delta Buy/Sell) Indicator

Quote:
Originally Posted by mdtmn »
Hi All,
This indicator was posted by Ben, for use with NT

"Delta Buy/Sell Volume, Tick volume or Tick count
Hello everyone,

I've made a sweeping change to the cumulative delta indicator and posted it to this message. It is one indicator that lets you choose from the following 3 cumulative delta types:
1) Bid/Ask Volume
This is cumulation of the volume at the Ask - volume at the Bid
2) UpTick/DownTick Volume
This is the cumulation of the volume on upticks - volume on downticks
3) Tick Count
No volume in this calculation, just the sum of upticks - downticks

I believe this is a more efficient handling of the incoming market data and it may lead to resolving some of the "discrepancies" in the cumulative calculation. Please test it and report back to this thread.

Another enhancement in this version is you can completely turn-off the individual bar delta values (which were plotted as green and red dots in prior versions). This will prevent any undesirable scaling issues with the panel.

Let me know if you have any questions! Please test this indicator and report back.

Enjoy!
Ben
Attached Files
File Type: zip CumulativeVolumeOrTick.zi p (3.1 KB, 159 views)
Last edited by sbgtrading : 04-15-2008 at 05:25 AM. "

Does anyone here use Cumulative Volume(Delta Buy/Sell) indicator in conjunction with Market Profile, and if so ,would it be possible to comment on how they have used it ?

Thanks in advanced for any feed back
Cheers
Michael Bethell
please tell me how i can try out your cumulative delta indicator thanks
Bryangen@aol.com email
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Old 07-27-2010, 06:32 AM   #6

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Re: Cumulative Volume(Delta Buy/Sell) Indicator

I don't find any attached file...
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Old 04-15-2014, 09:09 PM   #7

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Re: Cumulative Volume(Delta Buy/Sell) Indicator

Anyone has the attached file ?
Thanks,
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Old 04-16-2014, 06:14 AM   #8

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Re: Cumulative Volume(Delta Buy/Sell) Indicator

Quote:
Originally Posted by Sean2003 »
Anyone has the attached file ?
Thanks,
No, but this will get you started if you use tradestation or Multicharts . . . There is one input, and it is for the start time of the session you trade.

input:startT(0930);
vars:vdelta(0);

if t>=startT and t[1]<startTthen
vdelta=upticks-downticks
else
vdelta=(upticks-downticks)+vdelta;

plot1(vdelta);

if vdelta>0 then
setplotcolor(1,green)
else
setplotcolor(1,red);

I am not totally convinced by the statements in the opening post. Volume at the Ask can only ever be Volume on Upticks - when the market ticks up it trades at the Ask. Buy stops and market orders counterparty with sell limits there.

What you really need to try and find is a way to work out is whether the volume that is traded on any particular leg (lots of buying, say) is mostly traders buying to establish a new position, or traders buying to exit an existing (short) position. If they're buying to establish a new position and you know that a load of traders just got long, and then the market begins to move against them, then you know there are a whole bunch of people sitting on a losing position that they're going to have to bail. Now, can you predict where they will bail? Where are their stop losses all sitting? As soon as their stops start to get get hit, that's just going to drive the market even lower . . .

Hope that's some help.

BlueHorseshoe
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