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.

[bomberone1]

Originally Posted by swisstrader »

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]

Originally Posted by bomberone1 »

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]

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]

Originally Posted by bomberone1 »

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]

Originally Posted by swisstrader »

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]

Originally Posted by bomberone1 »

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.

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Good luck, bomberone1!