Market Delta Footprint

[ant 10]

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.

MarketDelta.ELD

[Soultrader 12]

Very interesting. I will need to study this indicator a little further. Thank you.

[RMos22 10]

When the bid/ ask spread are displayed on my 5 min. chart ,they are hardly readable since they are too close to each other. Is there a way to set the price level axis to a fixed increment in Tradestaion?. Let's say for the Emini Russell, I want the price level to be fixed in 0.10 increments.