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.

[Tams]

Originally Posted by mbarton »

I get nothing when I import this to tradestation. I copied the code into a new E.L. document and saved it. I then inserted it into a chart and all i got was an subgraph at the bottom of my screen that is blank. On some of the other indicators I have tried to use, I keep getting an error saying Cannot find GlobalVariable.dll. Can anyone help me with this? Thanks, M.B.

try this:
Global Variable V2.2
http://www.traderslaboratory.com/for...-2-a-6023.html

[Helix]

I am looking for MarketDelta volume footprint for tradestation. Anyone know where could I get it?

Thanks!

[swisstrader]

Originally Posted by Helix »

I am looking for MarketDelta volume footprint for tradestation. Anyone know where could I get it?

Thanks!

Helix,
here you can get it:
MD with realtime data base version to have collected history and the possibility for a change of inputs without deleting the data of current session.

BidAskDelta

-swisstrader

[Helix]

Hi Swisstrader,

I am looking for indicator which have the function as MARKETDELTA :: Volume Footprint

Thanks!

[swisstrader]

Originally Posted by Helix »

Hi Swisstrader,

I am looking for indicator which have the function as MARKETDELTA :: Volume Footprint

Thanks!

On Code for Traders (CodeForTraders) you can have it. All implemented.

swisstrader

[ETFTrader]

Is there any TL traders who have a cumulative delta volume candlestick indicator for tradestation? I did find the indicator for ninjatrader recently from the ninjatrader forums but I would like to do backtesting work with tradestation.

[bathrobe]

Originally Posted by ETFTrader »

Is there any TL traders who have a cumulative delta volume candlestick indicator for tradestation? I did find the indicator for ninjatrader recently from the ninjatrader forums but I would like to do backtesting work with tradestation.

I have scoured the NT forums for this and only come across a individual coder who does not want to share the Ninja Trader "Market Delta Footprint", could you provide a link please?

Thanks,

Chris

[salsaman]

Originally Posted by swisstrader »

On Code for Traders (CodeForTraders) you can have it. All implemented.

swisstrader

This market profile is based on bid/ask from quotes, not actual sales in tradestation. Is that correct, since I thought actual sales info was not obtainable from tradestation?