What is DEMAND/SUPPLY volume?

[zdo 20]

Thanks for the reference.

 

Aren't divergences btwn price and the TickMoneyFlow (standalone ie not considering KGI at all) equivalent to Delta divergences?

[mister ed 10]

  zdo said:

Thanks for the reference.

 

Aren't divergences btwn price and the TickMoneyFlow (standalone ie not considering KGI at all) equivalent to Delta divergences?

 

Hi zdo - I dont use tradestation and am not up to speed with TickMoneyFlow, if you could describe what it is then I could compare it with Delta?

[zdo 20]

  mister ed said:

Hi zdo - I dont use tradestation and am not up to speed with TickMoneyFlow, if you could describe what it is then I could compare it with Delta?

 

MisterEd,

 

Here is the code I am using for TickMoneyFlow

{-------------------------John Hudson's TickMoneyFlow Indicator------------------------}
{This code tries to keep up with how much money is actually entering or 
leaaving an issue in order to measure the buying or selling pressure on prices. 
It uses the snapshot Bid and Ask(CurrentBid, CurrentAsk) fields 
provided by TS to gauge whether a trade was  initiated from the buy or 
the sell side. Although you can never be sure whether a trade hit the tape 
in proper sequence with the Bid/Ask data, in general trades initiated from 
the buy side will go off at the Ask and trades initiated from the sell side 
will go off  at the Bid. In the case of a trade going off either between 
the Bid and Ask or outside the Bid and Ask, this code attempts to assign 
the trade to the most likely side of the market based on whether the 
trade was above or below the trade before it or, if the trade before it 
was at the same price, it determines what the status of the market was 
of the most recent trade in the past that was different from the current
trade's price. This code will run on any time interval.....
from 1 tick bars to daily bars.            }

[LegacyColorValue = true]; 
Inputs: 
Length1(2),
Length2(89),
ShowLinReg(false)
;

Vars:	
IntrabarPersist TickFlag(0),
IntrabarPersist OldPrice(0),
IntrabarPersist TMF(0),
IntrabarPersist NewTickVol(0),
IntrabarPersist MyBarVolume(0)
;

if BarNumber >= 1 then begin
NewTickVol = Ticks - MyBarVolume;
MyBarVolume = MyBarVolume + NewTickVol;
if (C>=CurrentAsk) then begin              
 TMF=TMF + (C * NewTickVol);
 TickFlag = 1;
end;

if (C<=CurrentBid) then begin
 TMF=TMF - (C * NewTickVol);
 TickFlag = 2;
end;

if (C<CurrentAsk and C>CurrentBid) and C>OldPrice then 
 TMF=TMF + (C*NewTickVol);
if (C<CurrentAsk and C>CurrentBid) and C<OldPrice then 
 TMF=TMF - (C*NewTickVol);
if (C<CurrentAsk and C>CurrentBid) and C=OldPrice and TickFlag = 1 then   
 TMF=TMF + (C*NewTickVol);
if (C<CurrentAsk and C>CurrentBid) and C=OldPrice and TickFlag = 2 then 
 TMF=TMF - (C*NewTickVol);

OldPrice = C;

if BarStatus(1) = 2 then 
 MyBarVolume = 0;

end;

Plot1(TMF, "TMF");
Plot2(ama(Plot1, Length1), "");


if ShowLinReg then begin
Plot3(LinearRegValue(Plot1,Length1,0));
Plot4(LinearRegValue(Plot1,Length2,0));

end; //if ShowLinReg

 

The key logic is:

if (C<CurrentAsk and C>CurrentBid) and C>OldPrice then

TMF=TMF + (C*NewTickVol);

if (C<CurrentAsk and C>CurrentBid) and C<OldPrice then

TMF=TMF - (C*NewTickVol);

if (C<CurrentAsk and C>CurrentBid) and C=OldPrice and TickFlag = 1 then

TMF=TMF + (C*NewTickVol);

if (C<CurrentAsk and C>CurrentBid) and C=OldPrice and TickFlag = 2 then

TMF=TMF - (C*NewTickVol);

 

 

Screen shots are attached for some of today’s action in a 102 tick YM chart.

TickMoneyFlow1.jpg shows the first hour and a half of trading. Notice at around 10:10 the directional and angular congruency with KlingerGoslin (oscillator) started to fall apart – rally was snuffed and TMF led way downward.

TickMoneyFlow2.jpg shows angular divergence at about 14:45 (see white up arrow). Again rally was short lived. Over at around 15:02 the KlingerGoslin ‘rallied’, but it was unconfirmed in magnitude by TickMoneyFlow and further sell off ensued.

TickMoneyFlow3.jpg shows strong buying on the KlingerGoslin from 15:16 through 15:20 presaging the late rally but the ‘aggressive’ action shown on TickMoneyFlow delayed it until ‘aggressives’ capitulated / reversed at around 16:42. At around 15:46, after KlingerGoslin had faltered, the ‘aggressives’ carried the rally into the close…

…maybe :\

 

As I compare the code for TickMoneyFlow with MarketDelta code (which, in TS, is in arrested development now because the Bid Ask data is random snapshots / is inaccurate (ie has a median inaccuracy of about 2.5% compared to T&S prints - but can err much higher)) I see immediately that TickMoneyFlow uses CurrentBid and CurrentAsk while MD uses InsideBid and InsideAsk and upTicks and downTicks

But my same original questions hold:

Is TickMoneyFlow a ‘squigly line’ representation of MarketDelta?

Or is it a different perspective on / dimension of 'volume'? and

How does TickMoneyFlow relate to the original question of this thread?

 

Many thanks.

[mister ed 10]

I don’t know if I am going to be of much help with the question. The TickMoneyFlow looks to be trying to achieve the same thing as Volume at Bid/Ask Delta, but like you say there are many compromises in TMF, with random snapshots and inaccuracy. It appears that in principle, though, it trying to do the same thing.

 

As for TMF being just a “squiggly line†representation of the delta – on the chart I have posted delta is represented as a histogram, if it was represented as a line instead it would be a “squiggly line†too. There are many ways of representing the delta on the chart: can use a moving average of it, can apply an indicator to it, can chart its momentum, can sum it, and so on; it can be represented in its various forms as a histogram or line.

 

The one thing I would say that sets using the volume delta (or the TMF) apart is that it is not a “squiggly line†in respect that it is not derived from the price data, it is not an “indicator†as such. It is distinct data from the price data – sure the two are related, but a squiggly line indicator, like say the MACD or the RSI is derived from price whereas the volume delta, I would argue is not derived from volume, but is volume. Like the standard volume histogram found at the bottom of most standard bar charts is not derived from volume, but is volume. Of course, if you apply say an RSI on the volume delta (which you could do) then that is an indicator. I hope I am not stepping into a semantic minefield here… In short, I would say, as you ask, it is “a different perspective on / dimension of 'volume’â€Â.

 

Hope that answers your questions zdo – and thanks for the charts and ideas.

[BlowFish 10]

Yup looks like a similar thing in a different can There are a couple of variations on this theme. There are a few different ways of plotting too.

 

I personally don't think it matters too much what flavour you use these are quite 'noisy' tools anyway (lets not even get started on smoothing!!). I use IB which aggregates ticks in fast markets anyway (so is inaccurate inherently). I think that maybe why my delta divergence research didn't come to much. As I say that didn't bother me as its not a direction I particularly want to go in just now.

 

I will carry on saving images of 1 tick charts as that is my particular interest. Trying to get a more visual overview (complete with history) of the tape. Trouble is I keep forgetting to save the images before shutting down!! As I have said (I think) this is to try to improve timing rather than for trade decisions.

 

Cheers.

 

EDIT PS the extra code looks like it is to deal with orders between the bid and ask but I only glanced at it rather than carefully examine the logic.

[Sparrow 10]

Hi all,

Hope this is not off topic.

I just came across today's post in Steenbarger's blog who I suppose a lot of people read.

He uses both up/down tick by looking at the NYSE TICK(although he misphrases it in my opinion) and bid/ask volume in market delta.

Here's the link.

 

Cheers

[Soultrader 12]

  Sparrow said:

Hi all,

Hope this is not off topic.

I just came across today's post in Steenbarger's blog who I suppose a lot of people read.

He uses both up/down tick by looking at the NYSE TICK and bid/ask volume in market delta.

Here's the link.

 

Cheers

 

I dont quite follow what Brett was talking about the TICKS telling a different story on the rally based on the FED announcement. That was premarket action with no TICK data available.

 

Here is a pic of premarket yesterday right before the crazy rally. I am currently not trading due to compliance (until end of Dec) but am jotting trade notes until then.

 

 

When the markets did open up, price could not lift at all and TICKS were hinting weakness throughout the opening range.

 

 

Also, although I used to use the TICKS as a guide to determine potential trend days... I have found developing market profile to be of more use.

 

During the first 90minutes my intuition was telling me that a potential downtrend was in development. However, this was clearly against the premarket rally/strength and took courage for any trade placements.

 

 

Complete profile shows a normal variation day.

 

 

Key areas will be yesterdays value area.

[Sparrow 10]

  Quote

I dont quite follow what Brett was talking about the TICKS telling a different story on the rally based on the FED announcement. That was premarket action with no TICK data available.

 

Maybe he was refering to the cumulative tick, which would make sense because he says it was below the 20 day average. I'm only guessing, I haven't looked at the TICK in a long time and didn't watch the market either.

 

Edit: ok found it:

 

The 1 min ticks were below the average of all 1 min ticks over the last 20 days on the FED day. The FOMC announcement was at 2:15pm so enough time for some market action. But I'm just rambling here, I don't have the kind of market insight you have.

[mister ed 10]

Sparrow and James, thanks for those great posts – really excellent stuff.

 

Sparrow, I don’t think Dr. Brett was referring to the rate cut on Tuesday afternoon, but more to the announcements of co-ordinated actions of central banks to ease the credit crunch, an announcement which saw the US equity markets jump in pre-open on Wednesday morning (Dec 12) (ES Z7 from around 1491-ish to 1515-ish. I think his reference to the NYSE TICK readings were from when the market opened a half-hour later, as James points out the NYSE TICK is available during trading hours on the NYSE, not in pre-market.

 

Just out of interest sake I have included two charts, which show a 5000 Constant Volume candle, with the Bid/Ask volume in the middle pane, and the Bid/Ask volume based on the uptick/downtick interpretation. The first chart shows the pre-market, with the price impact of the announcement of co-ordinated central bank action. I have labelled "A" where the price bars attempt to fall in the face of buying pressure outweighing selling pressure. Point B is where selling pressure outweighs buying pressure, but the price still rises.

 

The second chart is the first hour after RTH open. I haven't labelled anything but hopefully the detail is good enough for you to have a look at it.

[darthtrader 10]

I've been trying the market delta demo out this week. Honestly, I don't see much use for any kind of historical bid/ask analysis after this. The moves are far too quick. It was interesting to see volume dry up and the bigger size come in at the bid when the top of this move this morning was rejected on YM. As far as the delta footprint chart though it seems to be nothing but noise. The bottom column delta is really cool though, i think thats alot more logical way to present the information than a histogram. I think it would be interesting to use a traditional chart instead of the footprint chart and just keep the bottom column and the far right bid/ask tape like breakdown. I don't know any software that can do this though?

[monad 10]

  darthtrader said:

I've been trying the market delta demo out this week. Honestly, I don't see much use for any kind of historical bid/ask analysis after this. The moves are far too quick. It was interesting to see volume dry up and the bigger size come in at the bid when the top of this move this morning was rejected on YM. As far as the delta footprint chart though it seems to be nothing but noise. The bottom column delta is really cool though, i think thats alot more logical way to present the information than a histogram. I think it would be interesting to use a traditional chart instead of the footprint chart and just keep the bottom column and the far right bid/ask tape like breakdown. I don't know any software that can do this though?

 

I was thinking of trying it out, but now I won't bother. Tasuki was on about up/down, bid/ask vol on the VSA thread and stated that it would explain VSA and enhance the trader's age but there has not been much follow up there in that regards.

[BlowFish 10]

  darthtrader said:

I think it would be interesting to use a traditional chart instead of the footprint chart and just keep the bottom column and the far right bid/ask tape like breakdown. I don't know any software that can do this though?

 

There seems to be useful and unique data there....I have tried to extract it and visualise it in a variety of ways. Still no real joy in wringing something out. I did try plotting the delta (difference between V@bid V@ask) as a OHLC bar underneath the price bars. I can't post an illustration as it only works real time...I'll try and post a chart tomorrow if I remember.

 

It is perhaps the 'cleanest' looking representation and if I was to trade divergences (which I don't particularly want to) it would be something to consider.

 

It is also possibly the best representation as a 'proxy' for order flow through the day.

[zdo 20]

A few days ago I asked the question “What is delta divergence?â€Â

It was a serious question.

To clarify –

Is it simply divergence in directions btwn price and delta (as when TickMoneyFlow is going down and price is going up)? OR

Is it ‘classic’ divergence (like higher price on this swing than last with a lower indicator high than last indicator swing high. etc) ? OR

Is it delta diverging from total volume in balance? OR

Something else? OR

Was it just a totally stoopid ‘them what just don’t get it’ question ?

That’s always a possibility with me … and btw

I don’t know where TL came up with an IQ of 59 for me.

This traders IQ is not 59

I taked this test and thay sed my IQ was 64 not 59

that is insulding and you put it up wer evrybodd can sea :\

 

Anyway bump to the question - What is delta divergence?

And thanks!

[darthtrader 10]

  BlowFish said:

It is perhaps the 'cleanest' looking representation and if I was to trade divergences (which I don't particularly want to) it would be something to consider.

 

It is also possibly the best representation as a 'proxy' for order flow through the day.

 

I totally agree with the order flow proxy. Your plot sounds pretty interesting. Did you try doing what market delta does with the column delta? All that seems to be is contracts at the ask - contracts at the bid and then just spits out the number. Can't get more simple than that. The interesting thing with that though is its more like tape reading then, probly something you just have to get the feel for in real time through experience.

 

monad, I don't want to knock MD too hard. The footprint chart might be usefull if you put time into seeing patterns, I don't know. Its certainly worth the download and the free 30 days.

 

On the other hand though I really have to question if what happend delta wise X amount of time ago really has any meaning to current price action. If that is the case then any form of charting delta is really a waste of time.

[mister ed 10]

I am looking forward to BF’s chart too – I know IRT can do something like this but I don’t want my posts to turn into ads!

 

DT, I trialled MD too, and I was really, really impressed with the footprint chart…but I couldn’t figure out how to put it to use. Like you say it is very fast, and very detailed, and I am sure it could be useful, but I couldn’t figure out what to do with it. I really wanted to use it, I still think it has great value, but …

 

The column totals are close to what I have settled on too, placed on your run-of-the-mill bar or candle charts – like I have said before the volume breakup can be presented many different ways and you can see how I am using it on the charts I have put up – buy volume and sell volume together rather than the difference. I wonder if the footprint might be more useful on individual stocks. I don’t have a real-time stock feed so I don’t know.

 

zdo, delta divergence is not a term I use, I think it refers to the situation where the price is moving in one direction while the “delta†(volume at bid minus volume at ask) moves in the opposite direction. While I don’t use the term I certainly look for this situation, I have pointed it out on the two most recent charts I have posted (above).

[wunderlich 10]

"..show a 5000 Constant Volume candle, with the Bid/Ask volume in the middle pane, and the Bid/Ask volume based on the uptick/downtick interpretation."

 

 

 

Mister Ed, your charts #34 are perfect!

 

One is clearly seeing when more “buyers” or “sellers” come in - it is showing low and high tide.

 

It would be very interesting to “see” with market profile eyes, at what levels buyers and at what levels sellers mostly came in.

 

So this could indicate their pain levels.

 

Perhaps you can plot your charts again with separated volume profiles (one for bid and one for ask volume), to see this?

[BlowFish 10]

  zdo said:

A few days ago I asked the question “What is delta divergence?â€Â

It was a serious question.

To clarify –

Is it simply divergence in directions btwn price and delta (as when TickMoneyFlow is going down and price is going up)? OR

Is it ‘classic’ divergence (like higher price on this swing than last with a lower indicator high than last indicator swing high. etc) ? OR

Is it delta diverging from total volume in balance? OR

Something else? OR

Was it just a totally stoopid ‘them what just don’t get it’ question ?

That’s always a possibility with me … and btw

I don’t know where TL came up with an IQ of 59 for me.

This traders IQ is not 59

I taked this test and thay sed my IQ was 64 not 59

that is insulding and you put it up wer evrybodd can sea :\

 

Anyway bump to the question - What is delta divergence?

And thanks!

 

Depends a bit on how you plot! The chart I am proposing you would see price making a higher high and the delta (cumulative for the day) make a lower high. Trouble with this method of displaying delta it sometimes goes completely in the oposite direction of price.

 

You could do worse than search over at ET for posts from a user called '5pillars' with 'delta' in the text. He has posted many examples of delta divergence followed by zero line cross. He resets the delta each bar though. (I think this may be what you are talking about its simply a graphical representation of the delta number at the bottom of each column).

 

Cheers

[BlowFish 10]

heres a chart for today delta in bottom window. Today was a grind down so not a great example.

[mister ed 10]

Thanks BF for the chart and also the reference to 5pillars on ET. I am with you on trading the divergences - not something I really want to do but the method used by 5Pillars seems to be a good one along those lines.

 

Wunderlich - I don't think it is possible to do a volume profile with only the bid or offer volume unfortunately.

[darthtrader 10]

Here is something interesting from marketdelta on YM this morning. I hadn't noticed that its also plotting delta by price along with the column delta which is a delta by period. In some sense, especially if your into MP, delta by price probly makes so much more sense than delta by period.

[mister ed 10]

  darthtrader said:

its also plotting delta by price along with the column delta which is a delta by period. In some sense, especially if your into MP, delta by price probly makes so much more sense than delta by period.

 

This is probably along the lines that wunderlich was looking for.

[wunderlich 10]

  mister ed said:

This is probably along the lines that wunderlich was looking for.

 

Yes, but in combination with Constant Volume Bars (CVB: cf "ProfLogic" at ET-Board).

 

With Constant Volume Bars (CVB) = you can clearly see the trend of the market.

 

With MarketDelta Pricelevel-Delta = you can clearly (?) see demand / supply.

 

 

Together plotted one could have maximum market generated information with minimum chart complexity.

[mister ed 10]

  wunderlich said:

Yes, but in combination with Constant Volume Bars ...

Together plotted one could have maximum market generated information with minimum chart complexity.

 

Wunderlich, what you want can be basically achieved with the MD program.

The columns you can see on DT's charts from the MD program can be set to a constant volume value, so you would not be looking at CV bars, but at CV columns on a footprint chart - the column is equivalent to a bar anyway, its just presented a little differently.

[BlowFish 10]

  wunderlich said:

Yes, but in combination with Constant Volume Bars (CVB: cf "ProfLogic" at ET-Board).

 

With Constant Volume Bars (CVB) = you can clearly see the trend of the market.

 

With MarketDelta Pricelevel-Delta = you can clearly (?) see demand / supply.

 

 

Together plotted one could have maximum market generated information with minimum chart complexity.

 

Not maximum as you essentially loose the time information. Horses for courses though. CVB's do make nice smooth charts thats for sure but the spikes and sideways formations you get on time charts tell a story (to me) that gets diluted/obscured on CVB's. Bills a smart guy, but somewhat over zealous in his promotion of CVB's (in my opinion).

[darthtrader 10]

  BlowFish said:

Not maximum as you essentially loose the time information.

 

Thats interesting, I would be interested in hearing how you view the time information as far as this stuff is concerned. I have really been wrestling with this lately as to the utility of time information, I'm just not convinced its really that usefull but might be missing something.

 

Here is a chart from this morning that I had been waiting to see from reading Dr Bretts market delta posts on his blog. The top chart is all trades, the bottom is filtered to only 10 lots +. Its pretty interesting in that the smaller traders drove price up but were basically just providing liquidity for the larger traders. If you were only watching the deltas of all trades it would just look like the ask was getting hit but the larger traders were hitting bids all the way up. After that chart the larger traders just kept hitting bids and drove price down. pretty interesting information.