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.

[zdo]

Here is a modification of Ant's MarketDelta 'footprint' code that implements a threshold free, dynamic coloring gradient for the balance at each price.
The coloring algorithm serves as a pretty good template for auto-coloring of other indicators, etc. See comments in code.

[BlowFish]

Nice to see someone doing maintenance and updates on Ants code. I have some footprint code that does auto shading but it seems to look 'kind of pale'. I'll give this a spin sometime

Thanks to both,

[MC]

Originally Posted by zdo »

Here is a modification of Ant's MarketDelta 'footprint' code that implements a threshold free, dynamic coloring gradient for the balance at each price.
The coloring algorithm serves as a pretty good template for auto-coloring of other indicators, etc. See comments in code.

Thanks for doing this, is there anything special I need to do on the chart?
I installed it but don't see anything on a 15 minute chart, is there something I'm messing up on?

Thanks
Mike

[Blu-Ray]

Originally Posted by mcichocki_ »

Thanks for doing this, is there anything special I need to do on the chart?
I installed it but don't see anything on a 15 minute chart, is there something I'm messing up on?

Thanks
Mike

I haven't tested it yet, but it should only work in real time. (No Historical data).

Cheers

Blu-Ray

[MC]

Originally Posted by Blu-Ray »

I haven't tested it yet, but it should only work in real time. (No Historical data).

Cheers

Blu-Ray

That's my issue im sure...thanks sir.

[zdo]

re Testing: Yes it is for real time only. I only looked at this on a YM 1 minute charts just before posting it to make sure it still works. Try a shorter time frame first then increase time frame to see if coloring technique is robust for your instrument… SwissTrader on TS offers a commercial ade version that will paint historical data.

re: “kind of pale� This code also seems to produce progressively paler paints as the day goes on. Would appreciate any ideas to stabilize it. Am liking these gradient functions for all kinds of fuzzy ‘logic’ more and more

hth

zdo

[MC]

Originally Posted by zdo »

re Testing: Yes it is for real time only. I only looked at this on a YM 1 minute charts just before posting it to make sure it still works. Try a shorter time frame first then increase time frame to see if coloring technique is robust for your instrument… SwissTrader on TS offers a commercial ade version that will paint historical data.

re: “kind of pale� This code also seems to produce progressively paler paints as the day goes on. Would appreciate any ideas to stabilize it. Am liking these gradient functions for all kinds of fuzzy ‘logic’ more and more

hth

zdo

I'll be running it tomorrow and let you know how I do.

Thanks for the work you put in.

[hogarstrasni]

Hallo

Graet job! Is there posibility to get MD on back feel intraday.I get 5 min delta on open chart.When I swich to 10min I have nothing till after wile starting to accumulate,Is there way to get MD to all time frame intraday