"Market Delta" Footprint for TradeStation

[email 10]

Hi Guys,

I have tired like heck to make it work in Multicharts but with my limited knowledge of code It will not work. If someone has the indicator that works on MC can they please help me out, would be very grateful.

Many Regards

[Tams 20]

Hi Guys,

I have tired like heck to make it work in Multicharts but with my limited knowledge of code It will not work. If someone has the indicator that works on MC can they please help me out, would be very grateful.

Many Regards

 

 

I doubt anybody can help you if you don't help yourself.

 

What do you mean by doesn't work?

 

-- can't compile? what's the error message?

-- jibblish chart? do you have a screen shot?

-- which code are you using? (there are many versions floating around)

do you have a reference link?

 

:-(

[email 10]

I doubt anybody can help you if you don't help yourself.

 

What do you mean by doesn't work?

 

-- can't compile? what's the error message?

-- jibblish chart? do you have a screen shot?

-- which code are you using? (there are many versions floating around)

do you have a reference link?

 

:-(

 

Hi Tams,

 

Very Kind of you to a answer back, this is the message I am gettingis:

 

 

01.05.09 17:58:01

------ Build started: ------

Study: "MarketDelta" (Indicator)

Please wait ....

------ Compiled with error(s): ------

this word has already been defined

errLine 23, errColumn 1, errLineEnd 23, errColumnEnd 2

 

Many Thanks,

email

[Tams 20]

Hi Tams,

 

Very Kind of you to a answer back, this is the message I am gettingis:

 

 

01.05.09 17:58:01

------ Build started: ------

Study: "MarketDelta" (Indicator)

Please wait ....

------ Compiled with error(s): ------

this word has already been defined

errLine 23, errColumn 1, errLineEnd 23, errColumnEnd 2

 

Many Thanks,

email

 

 

the error is in Line 23.

look for the highlighted word in your PowerEditor.

Edited May 1, 2009 by Tams

[ant 10]

Hi Email,

 

What's on line 23? Is it the line with the "TickSize" variable? If so, maybe Multicharts already defines "TickSize" so that variable definition is not required. If I'm referencing the correct line, try deleting it and compile it again. If that's not the right line, then post the 23rd line of the indicator and I'll do my best to help.

 

Regards,

Antonio

[Tams 20]

Hi Email,

What's on line 23? Is it the line with the "TickSize" variable? If so, maybe Multicharts already defines "TickSize" so that variable definition is not required. If I'm referencing the correct line, try deleting it and compile it again. If that's not the right line, then post the 23rd line of the indicator and I'll do my best to help.

Regards,

Antonio

 

 

 

probably he has previously downloaded an indicator with a function called "Ticksize".

(he can confirm this by checking the functions list in his PowerEditor).

 

 

if that's the case, he can do one of the following:

1. use wiggly brackets {} to enclose that line.

 

or,

 

2. highlight that word and press ctrl-H

replace that word with ticksize1 throughout the code.

 

good luck.

 

 

 

[voice edited]

Edited May 2, 2009 by Tams

[ant 10]

Good suggestions Tams!

[email 10]

Hi Ant/ Tams,

 

I tried to place the brackets at line 23 but then the problem shifts to line 25.

 

this is line 22 to line 26 : 22) Green4(RGB(0,128,0)),

23) i( 0 );

24) nothing on this line

variables: (25

26) intrabarpersist Price( 0 ),

 

 

Thanks Again,

email

[ant 10]

Email,

 

Line 23 is not what I thought it was. One problem that others have had is that when the variable "i" is used as a subscript in the arrays used by the code, it is not surrounded by square brackets. Go through the code and make sure the arrays use square brackets. For example, you should have Bid and Ask, and not Bid<i> or something else. Hope this helps.

[email 10]

Hi, I Hope I`m not being a pain in the back, he is the code if you can notice anything.

 

 

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;

[ant 10]

Assuming that the code is being copied into Multicharts exactly as you displayed it, then everything looks fine to me. It's hard to debug this without Multicharts. The only other thing I would suggest is that if it's complaining that variable "i" has already been defined, then rename it to something else. For example, change "i" to "x" throughout the code. Tams, already suggested renaming the variable at line 23. Did you try it?

[email 10]

Hi ant,

 

Yes I did what Tams said, and what happens when I compile it is that the error shifts to line 25. By the way, when I first imported the inid and then compiled it and then shows me the error the "i" is highlighted in blue. The I (i) must be the problem.

 

Thanks

[email 10]

OK, OK got it I think, it just said complete. I`m too tirred to open the chart but it seems to be ok now.

 

I did what you said and that was to change the "i" to an x but I missed one at first, I re did it and now seems to have compiled.

 

Thank you Sir,

Emil;e

[Tams 20]

Hi, I Hope I`m not being a pain in the back, he is the code if you can notice anything...

 

if you had read further down the thread, you would have came across this post:

http://www.traderslaboratory.com/forums/f46/market-delta-footprint-for-tradestation-516.html#post14170

 

someone had already fixed the problem almost 2 years ago:

 

in MultiCharts, the letter " i " is a reserved word.

(used as a substitute for OpenInt)

thus the TradeStation codes with the variable "i" would not work in MultiCharts.

[email 10]

Hi Tams,

 

Yes, I read that post but it flew over my head, I did not get it. I am starting to understand it a bit know. Please keep in mind that I do not know a thing about code.

 

Ok, just noticed while trying to apply the indicator to the chart that I get a red box at the bottom of the chart and it says; "Message: Error in study "Market Delta": Array bounds. Wrong index value : 20500.

 

What does that mean.

 

Thanks again

[Tams 20]

I suspect you have one or more of the variable not fixed.

 

If you have not done so, you should go copy the MultiCharts code from the link I posted above.

At least I know someone has compiled that code with no problem.

[email 10]

Tams,

 

The compile was successfull, thats what it said. Even when i open the study list is show as compiled, before it did not.

 

Could it be that I need to change the actual setting/inputs when the indi window pops up.

 

cheers

[Tams 20]

what instrument are you applying this to?

what is the resolution?

how much data do you have?

[email 10]

5 Min. YMM9 It says: Threshold1 Value 150

Thresold2 Value 300

Thresold3 value 600

Displaydelta false

Type 1

Bid Ask Array Sz 1000

[Tams 20]

That's the same values I have.

 

The market is closed right now, this indicator need live feed to work.

Well, at least you have it compiled; you can test it out on Monday.

[email 10]

Yes tams, good point about the markets being closed and no feed. Many thanks to you and ant. Have a great weekend.

[nickm001 10]

I hope you guys know that BIDxASK you get with this indicator are INCORRECT due to the tradestation data feed limitation. There is a thread on TS forums that explains this issue.

[email 10]

Hi Nick,

 

 

Could you please elaborate a bit on this because i`m sure allot of others here do not have access to the TS forums. Does that also apply to Multicharts. I am assuming no because the feed comes from various sources.

Thanks

[nickm001 10]

Here is the answer I posted on TS forum.... the comments are refering to TS datafeed and it may be different for your datafeed...

 

For the benefit of the community I am posting the answer from data integrity:

 

..I have checked with our Product management department in regards to your Data feed accuracy for Inside Bid and Inside Ask.

 

I believe that the inaccuracy is most likely due to the fact that not every bid and ask is sent -- i.e. the "quote field update frequency" limitation. I had checked to see if there was a design flaw. The response I was given is No, it’s not a design flaw.

 

It's because it's a quote request. In a quote request, a snapshot of the market is taken 3-5 times a second. This is as opposed to a tick request, which will update trade ticks (but not bid and ask ticks) in such a way that every individual tick is always sent. I hope this has addressed your concerns.

 

On which I asked again:

Thank you for a quick explanation, but i still can't understand how the "missed" ticks due to update end up on the wrong side.... Basically, if TS supposedly missed the updates, then I should end up with less trades reported... but that is not the case. All trades are reported, but they are in the wrong column ( switched side from bid to ask and vica versa). PLEASE look at the provided pics posted in the forums.

 

... and the final answer was:

I have forwarded your response to our Product Management team and

their response to your question was they'll be mis-categorized if the

bid/ask has moved but not been updated in the current bid and current

ask fields.

[BlowFish 10]

Gotta smile it might not be a design flaw but its surely a design limitation