"Market Delta" Footprint for TradeStation

[duhhhh 10]

Go back and look at the thread attachments. The md.xml is the source. Am I mis-understanding your post?

 

Thanks for your help, I didnt know that MC can import xml file

[BlowFish 10]

The problem is that my testing shows that TS & MC are not the best platforms for this type of work. In a nutshell the mechanisms they use to get bid and ask (insidebid,insideask) do not return the data synchronously. They return the current bid and ask not the value that occurred at the time of the tick that you are processing.

[lolu 10]

Is a "Market Delta" chart template available on this forum ? And how is such template imported to MC ?

 

Lolu

[bomberone1 10]

ARe there any upgrade?

[Tams 20]

ARe there any upgrade?

 

yes

 

contact swisstrader.

[swisstrader 10]

ARe there any upgrade?

 

Hi Bomber1,

here you can find the update:

 

1st Trading Tools

 

Enjoy!

 

-swisstrader

[bomberone1 10]

Hi swisstrader,

 

I see your indicator, but there is not the footprint like the code on this post.

 

Are there any difference with indicator of Home in real time value?

 

My best

[swisstrader 10]

Hi swisstrader,

 

I see your indicator, but there is not the footprint like the code on this post.

 

Are there any difference with indicator of Home in real time value?

 

My best

 

The indicators here posted is without database, means if you make a reset in your chart all data are deleted. My code is with saving of inside bid and inside ask values on your PC and recall them during a reset.

 

BidAskDelta

 

Best regards,

swisstrader

[insideday 10]

@swisstrader

 

On markets like the FDAX there are a lot of trades TS reports between insidebid and insideask. How does your code handle this? Do you look if the trade before was on bis/ask or do you ignore these?

[swisstrader 10]

@swisstrader

 

On markets like the FDAX there are a lot of trades TS reports between insidebid and insideask. How does your code handle this? Do you look if the trade before was on bis/ask or do you ignore these?

 

Here is my data base subroutine, I think, every trade is saved into the data base, also trades between the spread of inside bid and inside ask.

 

VolumeCache = MapNN.Get.dBase(Cache,1);
LastC_Cache = MapNN.Get.dBase(Cache,2);
Index = BaseIndex + (CloseOfData-OpenOfData)/TickSize;
if InsideBid < InsideAsk then begin
if CloseOfData <= InsideBid then begin
	CurrBidVol = MapNN.Get.dBase(BidVolume,Index) + TicksOfData - VolumeCache;
	N = MapNN.Put.dBase(BidVolume,Index,CurrBidVol);
end else
if CloseOfData >= InsideAsk then begin
	CurrAskVol = MapNN.Get.dBase(AskVolume,Index) + TicksOfData - VolumeCache;
	N = MapNN.Put.dBase(AskVolume,Index,CurrAskVol);
end else begin
	if CloseOfData <= LastC_Cache then begin
		CurrBidVol = MapNN.Get.dBase(BidVolume,Index) + TicksOfData - VolumeCache;
		N = MapNN.Put.dBase(BidVolume,Index,CurrBidVol);
	   end else begin
		CurrAskVol = MapNN.Get.dBase(AskVolume,Index) + TicksOfData - VolumeCache;
		N = MapNN.Put.dBase(AskVolume,Index,CurrAskVol);
	end;
end;
BidAskDelta = MapNN.Get.dBase(AskVolume,Index) - MapNN.Get.dBase(BidVolume,Index);
N = MapNN.Put.dBase(CacheABD,Index,BidAskDelta);
end;
VolumeCache = 0;
LastC_Cache = CloseOfData;

 

 

BTW; this code is from 2007, a little bit time ago

 

-swisstrader

[insideday 10]

Thanks for the clarification. With the equality sign at CloseOfData <= LastC_Cache we have a slight bias to the bid side.

Did you compared the results with the original Marketdelta program?

[swisstrader 10]

Thanks for the clarification. With the equality sign at CloseOfData <= LastC_Cache we have a slight bias to the bid side.

Did you compared the results with the original Marketdelta program?

 

You will never get the same results exclude you have for both platforms teh same data feed of SAME server of data feed. I went to MarketProfile nad VolumeProfilee to have footprints of market based on POC's and VirginPOC's. With Market Distribution I get always the sufficient exact result for s/r levels to trade them.

[bomberone1 10]

Here is my data base subroutine, I think, every trade is saved into the data base, also trades between the spread of inside bid and inside ask.

 

VolumeCache = MapNN.Get.dBase(Cache,1);
LastC_Cache = MapNN.Get.dBase(Cache,2);
Index = BaseIndex + (CloseOfData-OpenOfData)/TickSize;
if InsideBid < InsideAsk then begin
if CloseOfData <= InsideBid then begin
	CurrBidVol = MapNN.Get.dBase(BidVolume,Index) + TicksOfData - VolumeCache;
	N = MapNN.Put.dBase(BidVolume,Index,CurrBidVol);
end else
if CloseOfData >= InsideAsk then begin
	CurrAskVol = MapNN.Get.dBase(AskVolume,Index) + TicksOfData - VolumeCache;
	N = MapNN.Put.dBase(AskVolume,Index,CurrAskVol);
end else begin
	if CloseOfData <= LastC_Cache then begin
		CurrBidVol = MapNN.Get.dBase(BidVolume,Index) + TicksOfData - VolumeCache;
		N = MapNN.Put.dBase(BidVolume,Index,CurrBidVol);
	   end else begin
		CurrAskVol = MapNN.Get.dBase(AskVolume,Index) + TicksOfData - VolumeCache;
		N = MapNN.Put.dBase(AskVolume,Index,CurrAskVol);
	end;
end;
BidAskDelta = MapNN.Get.dBase(AskVolume,Index) - MapNN.Get.dBase(BidVolume,Index);
N = MapNN.Put.dBase(CacheABD,Index,BidAskDelta);
end;
VolumeCache = 0;
LastC_Cache = CloseOfData;

 

-swisstrader

 

Thats it's great solution. If I use iqfeed and I open the cart at 10.00, iqfeed do tick sync backfilling, does iqfeed close eventually the gap of your database?

 

COuld we do somethin using quotemanager database without built a own database solution?

[swisstrader 10]

Thats it's great solution. If I use iqfeed and I open the cart at 10.00, iqfeed do tick sync backfilling, does iqfeed close eventually the gap of your database?

 

COuld we do somethin using quotemanager database without built a own database solution?

 

As far I know the QM saves the really traded volume but not on what side of orderbook the size was traded. My code saves it in teh database.

[bomberone1 10]

OK I just want to know if i lost connection your indicator package fills the gaps?

ALso what kind of database do you use: mysql, sql express...etc?

[swisstrader 10]

OK I just want to know if i lost connection your indicator package fills the gaps?

ALso what kind of database do you use: mysql, sql express...etc?

 

1. Lost connection = no data = nothing to save in the dBase

 

2. ELCollections data base as txt files

[bomberone1 10]

1. Lost connection = no data = nothing to save in the dBase

 

Using the backfilling of iqfeed or of the feed tradestation why you can not fill the gap?

Is it possible make that when in txt file there is a hole el get data from database?

[swisstrader 10]

Using the backfilling of iqfeed or of the feed tradestation why you can not fill the gap?

Is it possible make that when in txt file there is a hole el get data from database?

 

The effort to code this in relation to the effect (how often occurs a disconnection to the data provider) stands in no rattio. Buy it, code it for yourself or let it be.

BTW, IMHO the Market Profile ® and Volume Profiles give your good enough signals to trade successfully instead of the footprints made by Market Delta.

 

1st Trading Tools

 

Just special autumn offer for bundle instead of regular 249 €. Look here:

http://www.1st-tradingtools.com/marketprofile/offer/

 

Good luck, bomberone1!

Edited October 8, 2011 by swisstrader