"Market Delta" Footprint for TradeStation

[ant 10]

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.

MarketDelta.ELD

[jmi88 10]

I have prosuite2000i, and it dosent import eld files....is there anyway you can post the code so i can paste it into the EL editor? it would be greatly appreciated...

[ant 10]

I have prosuite2000i, and it dosent import eld files....is there anyway you can post the code so i can paste it into the EL editor? it would be greatly appreciated...

 

As far as I know, this indicator cannot be supported by TS2000i or any TradeStation version prior to 8.1 because of limitations related to making updates/calculations on every tick. Sorry.

[torero 10]

ant. Excellent work and contribution! I've been very interested in using this but didn't know TS had one until I found this forum. Thanks very much!

[Reaver 10]

Nice job, man!

[MarketMole 10]

I don't suppose it would be possible to paste the actual TS code into this thread?

 

Many thanks,

MarketMole

~bangeye~

[ant 10]

I don't suppose it would be possible to paste the actual TS code into this thread?

 

Many thanks,

MarketMole

~bangeye~

 

Here you go MarketMole...

 

inputs:

Threshold1( 150 ),

Threshold2( 300 ),

Threshold3( 600 ),

DisplayDelta( false ),

Type( 1 ), // 1 = Use Upticks/Downticks, 2 = Use Bid/Ask

BidAskArraySz( 1000 );

 

variables:

TickSize( MinMove / PriceScale ),

PriceAtIndex( Open ),

BaseIndex( BidAskArraySz/2 ),

Red1(RGB(255,185,185)),

Red2(RGB(255,128,128)),

Red3(RGB(255,0,0)),

Red4(RGB(128,0,0)),

Green1(RGB(210,255,210)),

Green2(RGB(125,255,125)),

Green3(RGB(0,255,0)),

Green4(RGB(0,128,0)),

i( 0 );

 

variables:

intrabarpersist Price( 0 ),

intrabarpersist MyVol( 0 ),

intrabarpersist VolTmp( 0 ),

intrabarpersist LastTick( 0 ),

intrabarpersist MyCurrentBar( 0 ),

intrabarpersist Index( 0 ),

intrabarpersist BidAskDelta( 0 ),

intrabarpersist xDelta( 0 ),

intrabarpersist TextString(""),

intrabarpersist MyUpTicks( 0 ),

intrabarpersist MyDownTicks( 0 );

 

Arrays:

intrabarpersist Bid[](0),

intrabarpersist Ask[](0);

 

Array_SetMaxIndex( Bid, BidAskArraySz );

Array_SetMaxIndex( Ask, BidAskArraySz );

 

if (Type = 1 or Type = 2) and LastBarOnChart and BarType < 2 then

begin

MyVol = Ticks;

PriceAtIndex = Open;

 

if CurrentBar > MyCurrentBar then

begin

VolTmp = 0;

MyCurrentBar = CurrentBar;

MyUpTicks = 0;

MyDownTicks = 0;

 

for i = 0 to BidAskArraySz - 1

begin

Bid = 0;

Ask = 0;

end;

end;

 

Index = BaseIndex + (Close - PriceAtIndex) / TickSize;

 

if InsideBid < InsideAsk then

begin

if Type = 1 then

begin

// Use Upticks/Downticks

if DownTicks <> MyDownTicks then

Bid[index] = Bid[index] + MyVol - VolTmp

else if UpTicks <> MyUpTicks then

Ask[index] = Ask[index] + MyVol - VolTmp

else

begin

if Close <= LastTick then

Bid[index] = Bid[index] + MyVol - VolTmp

else

Ask[index] = Ask[index] + MyVol - VolTmp;

end;

end

else

begin

// Use Bid/Ask

// Warning: TradeStation provides snapshot of bid/ask

if Close <= InsideBid then

Bid[index] = Bid[index] + MyVol - VolTmp

else if Close >= InsideAsk then

Ask[index] = Ask[index] + MyVol - VolTmp

else

begin

// Last tick was between bid/ask

if Close <= LastTick then

Bid[index] = Bid[index] + MyVol - VolTmp

else

Ask[index] = Ask[index] + MyVol - VolTmp;

end;

end;

end;

 

MyUpTicks = UpTicks;

MyDownTicks = DownTicks;

VolTmp = MyVol;

LastTick = Close;

 

xDelta = 0;

Price = Low;

 

while Price <= High

begin

Index = BaseIndex + (Price - PriceAtIndex) / TickSize;

TextString = NumToStr(Bid[index],0) + " x " + NumToStr(Ask[index],0);

Value99 = Text_New(Date, Time, 0, " ");

Text_SetString(Value99, TextString);

Text_SetLocation(Value99, Date, Time, Price);

Text_SetStyle(Value99, 1, 1);

 

BidAskDelta = Ask[index] - Bid[index];

if BidAskDelta > Threshold3 then

Text_SetColor(Value99, Green4)

else if BidAskDelta > Threshold2 then

Text_SetColor(Value99, Green3)

else if BidAskDelta > Threshold1 then

Text_SetColor(Value99, Green2)

else if BidAskDelta >= 0 then

Text_SetColor(Value99, Green1)

else if BidAskDelta < -Threshold3 then

Text_SetColor(Value99, Red4)

else if BidAskDelta < -Threshold2 then

Text_SetColor(Value99, Red3)

else if BidAskDelta < -Threshold1 then

Text_SetColor(Value99, Red2)

else

Text_SetColor(Value99, Red1);

 

xDelta = xDelta + BidAskDelta;

 

Price = Price + TickSize;

end;

 

if DisplayDelta = true then

begin

Value99 = Text_New(Date, Time, 0, " ");

Text_SetString(Value99, NumToStr(xDelta, 0 ));

Text_SetLocation(Value99, Date, Time, Low - TickSize);

Text_SetStyle(Value99, 1, 1);

 

if xDelta >= 0 then

Text_SetColor(Value99, Green)

else

Text_SetColor(Value99, Red);

end;

end;

[MarketMole 10]

ant,

 

Thank you - your gesture is most appreciated. I had to copy from the ViewSource of the browser to get the line brakes but that worked just fine.

 

Have a big day.

MM

[VSPEEDS 10]

Ant,

I just found this little gem. Great job! Thank you for your contribution.

kevin

[Bob00 10]

To me It doesn't get compiled when I do it it says:

 

 

compiled with error

this word has already been defined

errLine 23, errColumn 2, errLineEnd 23, errColumnEnd 2,

 

could you give me a help?

regards

BobOO

[anarcho 10]

Is there any way to convert this ELD into EFS to use in esignal?

[torero 10]

Double-check to see that this line is not written twice:

 

"errLine 23, errColumn 2, errLineEnd 23, errColumnEnd 2"

 

And the end of each line should have a semicolon ";".

[O66 10]

had the same error in compiling in MultiCharts, i replaced i to iz now its compiling fine:

 

 

 

inputs:

Threshold1( 150 ),

Threshold2( 300 ),

Threshold3( 600 ),

DisplayDelta( false ),

Type( 1 ), // 1 = Use Upticks/Downticks, 2 = Use Bid/Ask

BidAskArraySz( 1000 );

 

variables:

TickSize( MinMove / PriceScale ),

PriceAtIndex( Open ),

BaseIndex( BidAskArraySz/2 ),

Red1(RGB(255,185,185)),

Red2(RGB(255,128,128)),

Red3(RGB(255,0,0)),

Red4(RGB(128,0,0)),

Green1(RGB(210,255,210)),

Green2(RGB(125,255,125)),

Green3(RGB(0,255,0)),

Green4(RGB(0,128,0)),

iz( 0 );

 

variables:

intrabarpersist Price( 0 ),

intrabarpersist MyVol( 0 ),

intrabarpersist VolTmp( 0 ),

intrabarpersist LastTick( 0 ),

intrabarpersist MyCurrentBar( 0 ),

intrabarpersist Index( 0 ),

intrabarpersist BidAskDelta( 0 ),

intrabarpersist xDelta( 0 ),

intrabarpersist TextString(""),

intrabarpersist MyUpTicks( 0 ),

intrabarpersist MyDownTicks( 0 );

 

Arrays:

intrabarpersist Bid[](0),

intrabarpersist Ask[](0);

 

Array_SetMaxIndex( Bid, BidAskArraySz );

Array_SetMaxIndex( Ask, BidAskArraySz );

 

if (Type = 1 or Type = 2) and LastBarOnChart and BarType < 2 then

begin

MyVol = Ticks;

PriceAtIndex = Open;

 

if CurrentBar > MyCurrentBar then

begin

VolTmp = 0;

MyCurrentBar = CurrentBar;

MyUpTicks = 0;

MyDownTicks = 0;

 

for iz = 0 to BidAskArraySz - 1

begin

Bid[iz] = 0;

Ask[iz] = 0;

end;

end;

 

Index = BaseIndex + (Close - PriceAtIndex) / TickSize;

 

if InsideBid < InsideAsk then

begin

if Type = 1 then

begin

// Use Upticks/Downticks

if DownTicks <> MyDownTicks then

Bid[index] = Bid[index] + MyVol - VolTmp

else if UpTicks <> MyUpTicks then

Ask[index] = Ask[index] + MyVol - VolTmp

else

begin

if Close <= LastTick then

Bid[index] = Bid[index] + MyVol - VolTmp

else

Ask[index] = Ask[index] + MyVol - VolTmp;

end;

end

else

begin

// Use Bid/Ask

// Warning: TradeStation provides snapshot of bid/ask

if Close <= InsideBid then

Bid[index] = Bid[index] + MyVol - VolTmp

else if Close >= InsideAsk then

Ask[index] = Ask[index] + MyVol - VolTmp

else

begin

// Last tick was between bid/ask

if Close <= LastTick then

Bid[index] = Bid[index] + MyVol - VolTmp

else

Ask[index] = Ask[index] + MyVol - VolTmp;

end;

end;

end;

 

MyUpTicks = UpTicks;

MyDownTicks = DownTicks;

VolTmp = MyVol;

LastTick = Close;

 

xDelta = 0;

Price = Low;

 

while Price <= High

begin

Index = BaseIndex + (Price - PriceAtIndex) / TickSize;

TextString = NumToStr(Bid[index],0) + " x " + NumToStr(Ask[index],0);

Value99 = Text_New(Date, Time, 0, " ");

Text_SetString(Value99, TextString);

Text_SetLocation(Value99, Date, Time, Price);

Text_SetStyle(Value99, 1, 1);

 

BidAskDelta = Ask[index] - Bid[index];

if BidAskDelta > Threshold3 then

Text_SetColor(Value99, Green4)

else if BidAskDelta > Threshold2 then

Text_SetColor(Value99, Green3)

else if BidAskDelta > Threshold1 then

Text_SetColor(Value99, Green2)

else if BidAskDelta >= 0 then

Text_SetColor(Value99, Green1)

else if BidAskDelta < -Threshold3 then

Text_SetColor(Value99, Red4)

else if BidAskDelta < -Threshold2 then

Text_SetColor(Value99, Red3)

else if BidAskDelta < -Threshold1 then

Text_SetColor(Value99, Red2)

else

Text_SetColor(Value99, Red1);

 

xDelta = xDelta + BidAskDelta;

 

Price = Price + TickSize;

end;

 

if DisplayDelta = true then

begin

Value99 = Text_New(Date, Time, 0, " ");

Text_SetString(Value99, NumToStr(xDelta, 0 ));

Text_SetLocation(Value99, Date, Time, Low - TickSize);

Text_SetStyle(Value99, 1, 1);

 

if xDelta >= 0 then

Text_SetColor(Value99, Green)

else

Text_SetColor(Value99, Red);

end;

end;

[david_sa 10]

Hi, ant:

very much interested in your code. I used to be a programmer and dba on unix platform for a few years and is trading full time now. I want to code some programs, such as the one you posted. How do I get started? any book you recommend for me to read? I have not coded anything web-based.

 

thanks

[ant 10]

Hi, ant:

very much interested in your code. I used to be a programmer and dba on unix platform for a few years and is trading full time now. I want to code some programs, such as the one you posted. How do I get started? any book you recommend for me to read? I have not coded anything web-based.

 

thanks

 

Hi David,

 

I'm assuming you are refering to developing TradeStation indicators... As a programmer, I think you'll be able to pick up EasyLanguage fairly easily so I would suggest taking TradeStation indicators that already exist and review how they are written. Learn how to use arrays, draw trendlines, print text, create functions, read and write to a file, how to process data on every tick, etc. Take a look at the online TradeStation User Guide. There are a lot of TS indicators around so just take one that you think would add value to your trading and modify it for the learning experience. I would also learn about the TradeStation API (EasyLanguage Extension Software Development Kit - a reference guide) so that you can write DLLs for TS. It's pretty straightforward I think. Other stuff you can learn are how to use global variables and the ADE. Global Variables allow you to pass data between windows in TS. Do a search at the TS Forum for more information. This is how I started out with EasyLanguage. Hope this helps.

[MarketMole 10]

If you're going full algo trading however, that is, not wanting to sit in front of a rack of monitors all day long, then TS may not be your best bet. Or if you want to trade the futures TS is limiting. There are systems out there which will allow you to code up strats that will do pairs and composites trading, venue blending trading, etc. But if you're just looking to trade using your brain as a probability engine then TS or eSignal work well enough.

[zdo 20]

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.

PBZMARKETDELTAAUTOCOLOR.ELD

[BlowFish 10]

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 10]

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 10]

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 10]

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 20]

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 10]

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 10]

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

[Blu-Ray 10]

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

 

The code will only work on real time data ( No historical data will show ).

 

So at the start of the day you could load up a 10 min chart and then just leave it. It will show the data as time progress's, but as soon as you switch that chart to another timeframe, all data will be lost.

 

Hope this helps

 

Blu-Ray