Volume Splitter

[maxima 10]

what has changed? what do you think now? both are useless? spare me few tries and errors I'll buy you a beer

 

no I simply plotted CVD with B/A and U/D ticks for couple of weeks.. and I couldnt trade ticks.. just makes no sense..

 

I talked about Fulcrum CVD all the way.. I dont care about other "studies".

 

IMHO - All studies are crap if they can be found publicly :rofl:

[BlowFish 10]

 

no I simply plotted CVD with B/A and U/D ticks for couple of weeks.. and I couldnt trade ticks.

 

 

Your rigour impresses me.

 

Read some of the papers I mentioned, you know what? There are even better algorithms than plain old V@B/A out there. (as they are algorithms they will improve any approach that is based on algorithmically trying to determine trade direction......like CVD).

 

It's not about 'studies' per se it's about determining order flow (and hence inventory in Fulcrums case). I wonder what your motivation for posting are if you think all studies are crap? I guess you are saying CVD is worthless too (seeing as it can be found publicly)? If that is your sincere belief we'd all be better off not posting in case we destroy something valuable by making it public . I suspect really it is more about being provocative like your old mate UB.

[maxima 10]

contrary to UB I dont seek attention.

 

yes you r right what I believe is irrelevant here. can you edit my post and remover last sentense? i dont see button Edit for myself ..

 

P.S. tell me about other algorithms.. are they publicly accessible?

Edited April 9, 2010 by maxima

[maxima 10]

sooo. BlowFish.. when it comes to share knowledge you are nowhere to find...

 

what studies shows better direction of markets than bid/ask CVD?

 

cant hear ya!

 

oh.. I see you are here not to share trading knowledge but to simply keep conversations going.. like discussing things you have no idea about like digital signal processing, sampling, differential processes, .net garbage collector...

 

you are a naked king dear.. king of wikipedia and cheap web forums.

 

and yeah. until you answer my question about the studies I am not going to react on your messages. so spare yourself breath flaming here.

 

I dont care.

[BlowFish 10]

That's rich firstly I suggest reading this thread from the beginning there is a lot of information in it and information where you can find more. (plus some TS code that I shared if I remember correctly). If you are still stuck after reading it drop me a line. though you will probably need to retract your statement first.

 

Took a long weekend sorry that did not suit you schedule, I'll check it's OK next time....or I could just put you on ignore.....hmm let me think on that, had a very long lunch and wouldn't want to make any hasty decisions.

Edited April 11, 2010 by BlowFish

[maxima 10]

There are even better algorithms than plain old V@B/A out there. (as they are algorithms they will improve any approach that is based on algorithmically trying to determine trade direction......like CVD).

I cant retract anything. it seems it has a timeout for that. but frankly - I didnt touch your personality until you started to pick on me. i dont give a shit if you dont like me. if you cant keep yourself not personally involved this is not my problem.

 

on the topic:

I am asking only to name the things you noted in there. I'll find the information. Need the names of the algorithms.

[BlowFish 10]

I cant retract anything. it seems it has a timeout for that. but frankly - I didnt touch your personality until you started to pick on me. i dont give a shit if you dont like me. if you cant keep yourself not personally involved this is not my problem.

 

on the topic:

I am asking only to name the things you noted in there. I'll find the information. Need the names of the algorithms.

 

C'est la vie, I was just a bit gob smacked that you though my contribution to this thread (or was it the site in general?) was lacking. That was another reason why I suggested you re-read it. I should respectfully remind you that no one here owes you anything. I dunno maybe ET would be a better venue for your style of forum participation?

 

As I have said numerous times it all stems from Lee & Readys research 20 odd years ago. Start there and go where it will take you. There has been a fair amount done on the subject but it is easily digestible by someone with the desire to digest it. I am not going to chew swallow and digest it all for you. That seems like it would be academic as you seem have strong preconceptions already (which is your prerogative of course).

 

I am surprised you are that interested tbh having previously stated that you thought stuff that was in the public domain was worthless. Again I am left wondering about your motivation.

[maxima 10]

just to summarise (not to criticise):you reffered to Lee & Readys exclusivelly when you said - better algorithms to find market direction? thanks. I'll have a look....

 

and yeah - save your time trying to analyse me. spend it on trading better. I didnt touch you, you dont touch me. is that simple... as you rightly mentioned - you dont owe me, but dont forget I dont owe you ... I dont like you either but I was trying hard to keep silence.

 

and stop this wording games BS - when did I ask to chew for me? I said give me the name I'll do the rest.... just stop it OK?

 

keep it in professional way.

[BlowFish 10]

deleted in the interest of thread integrity.

Edited April 12, 2010 by BlowFish

[marketstudent 10]

Woops way to completely balls up :crap: I only changed a couple of lines and managed to get an additional end statement and undefined variable (block) as you guys pointed out. It's got to the stage where it needs a tidy up (as well as comments) but this should at least run

 

inputs: 
UpColor(darkgreen), 
DownColor(red), 
DeltaBar(1), 
MaxBlock(9999),
MinBlock(0),
ResetDeltaEachBar(0); 

variables: 
MyVol(0), 
Block(0),
color(yellow), 
intrabarpersist MyCurrentBar(0), 
intrabarpersist VolumeAtBid(0), 
intrabarpersist VolumeAtAsk(0), 
intrabarpersist BAVolRatio(0), 
intrabarpersist VolTmp(0), 
intrabarpersist Delta (0), 
intrabarpersist DeltaH (0), 
intrabarpersist DeltaL (0), 
intrabarpersist DeltaO (0); 

if LastBarOnChart then begin 
  	MyVol = Iff(BarType < 2, Ticks, Volume); 
if CurrentBar > MyCurrentBar then begin 
	VolumeAtBid = 0; 
	VolumeAtAsk = 0; 
	BAVolRatio = 0; 
	VolTmp = 0; 
	MyCurrentBar = CurrentBar; 
	if ResetDeltaEachbar = 1 then Delta =0;
	DeltaO = Delta; 
	DeltaH = Delta; 
	DeltaL = Delta; 
end; 
Block = Myvol - VolTmp;
if (Block >= MinBlock) and (Block <= MaxBlock) then
	if Close <= InsideBid then
		Delta  = Delta - MyVol + VolTmp
	else if Close >= InsideAsk then 
		Delta = Delta + MyVol - VolTmp ;  
	VolTmp = MyVol ;
end; 


DeltaH = maxlist(DeltaH, Delta); 
DeltaL = minlist(DeltaL, Delta); 


if Delta <= 0 then color = DownColor else color = UpColor; 

plot1(DeltaO, "DO"); 
Plot2(DeltaH, "DH"); 
Plot3(DeltaL, "DL"); 
plot4(Delta, "DC");	 

 

I am new to easylanguage, please help my questions and comments below -

 

Questions -

1. What's the purpose of the (if LastBarOnChart) block, is it to make sure that this indicator only works on real-time data?

 

2. If this indicator is inserted into a 100-tick chart, how often(frequency) tradestation charting engine invokes this logic? every 1 tick?

 

3. Is it possible to replace MyVol = Iff(BarType < 2, Ticks, Volume);

with MyVol = Volume for 100-tick chart.

 

Comments:

1. BARatio, VolumeAtAsk, VolumeAtBid are not used in the code, they could be removed;

2. cumulative volume(delta) calculation should also consider the relationship of the current bar close price with previous bar close price;

 

Thanks!!!

[BlowFish 10]

I am new to easylanguage, please help my questions and comments below -

 

Questions -

1. What's the purpose of the (if LastBarOnChart) block, is it to make sure that this indicator only works on real-time data?

 

2. If this indicator is inserted into a 100-tick chart, how often(frequency) tradestation charting engine invokes this logic? every 1 tick?

 

3. Is it possible to replace MyVol = Iff(BarType < 2, Ticks, Volume);

with MyVol = Volume for 100-tick chart.

 

Comments:

1. BARatio, VolumeAtAsk, VolumeAtBid are not used in the code, they could be removed;

2. cumulative volume(delta) calculation should also consider the relationship of the current bar close price with previous bar close price;

 

Thanks!!!

 

In short 1) Yes

2)Yes, you must set indicator to update every tick

3) Yup that line should limit the indicator to intraday charts. Not really necessary I guess.

 

Yes it was code I hacked together as I said up top. It needs a good tidy up comments etc.

 

Cumulative delta has nothing to do with bar closes it is simply compares volume transacted@bid with that transacted@ask print by print.

[tucciotrader 10]

do you think this indicatory would be better applied to 1tick chart o 1contract chart?? this is what I have run across:

 

Infact if You use 1 contract chart and the market trades 1000 lots @ the ASK side which is Upper then the previous close, MC register this trade as an Uptick and You can plot a 1000 lots trade @ the ASK side as an UpTick. So based on this example, if you create a cumulative sequence of trades based on volume, you can have a Cumulative Delta Volume. Be careful because with 1 contract chart, it's a good stuff only reffered to a brief time lap (about 30minute to 1 Hour MAX).

[laski 10]

Woops way to completely balls up :crap: I only changed a couple of lines and managed to get an additional end statement and undefined variable (block) as you guys pointed out. It's got to the stage where it needs a tidy up (as well as comments) but this should at least run

 

inputs: 
UpColor(darkgreen), 
DownColor(red), 
DeltaBar(1), 
MaxBlock(9999),
MinBlock(0),
ResetDeltaEachBar(0); 

variables: 
MyVol(0), 
Block(0),
color(yellow), 
intrabarpersist MyCurrentBar(0), 
intrabarpersist VolumeAtBid(0), 
intrabarpersist VolumeAtAsk(0), 
intrabarpersist BAVolRatio(0), 
intrabarpersist VolTmp(0), 
intrabarpersist Delta (0), 
intrabarpersist DeltaH (0), 
intrabarpersist DeltaL (0), 
intrabarpersist DeltaO (0); 

if LastBarOnChart then begin 
  	MyVol = Iff(BarType < 2, Ticks, Volume); 
if CurrentBar > MyCurrentBar then begin 
	VolumeAtBid = 0; 
	VolumeAtAsk = 0; 
	BAVolRatio = 0; 
	VolTmp = 0; 
	MyCurrentBar = CurrentBar; 
	if ResetDeltaEachbar = 1 then Delta =0;
	DeltaO = Delta; 
	DeltaH = Delta; 
	DeltaL = Delta; 
end; 
Block = Myvol - VolTmp;
if (Block >= MinBlock) and (Block <= MaxBlock) then
	if Close <= InsideBid then
		Delta  = Delta - MyVol + VolTmp
	else if Close >= InsideAsk then 
		Delta = Delta + MyVol - VolTmp ;  
	VolTmp = MyVol ;
end; 


DeltaH = maxlist(DeltaH, Delta); 
DeltaL = minlist(DeltaL, Delta); 


if Delta <= 0 then color = DownColor else color = UpColor; 

plot1(DeltaO, "DO"); 
Plot2(DeltaH, "DH"); 
Plot3(DeltaL, "DL"); 
plot4(Delta, "DC");	 

 

Hello, I'm new to this forum.

I see this code and I think that it is better to change this line:

 

if Close <= InsideBid then
		Delta  = Delta - MyVol + VolTmp
	else if Close >= InsideAsk then 
		Delta = Delta + MyVol - VolTmp ;  
	VolTmp = MyVol ;
end; 

 

with this one:

 

if ticks>=filtro then begin
	if Close>= insideask then Delta=Delta+Ticks;
	if Close<= insidebid then Delta=Delta-Ticks;
end;

 

in this way I'have the real sum of volume exchanged in bidside less the volume exchanged in askside.

Is it correct?

 

MARCO

[laski 10]

Woops way to completely balls up :crap: I only changed a couple of lines and managed to get an additional end statement and undefined variable (block) as you guys pointed out. It's got to the stage where it needs a tidy up (as well as comments) but this should at least run

 

inputs: 
UpColor(darkgreen), 
DownColor(red), 
DeltaBar(1), 
MaxBlock(9999),
MinBlock(0),
ResetDeltaEachBar(0); 

variables: 
MyVol(0), 
Block(0),
color(yellow), 
intrabarpersist MyCurrentBar(0), 
intrabarpersist VolumeAtBid(0), 
intrabarpersist VolumeAtAsk(0), 
intrabarpersist BAVolRatio(0), 
intrabarpersist VolTmp(0), 
intrabarpersist Delta (0), 
intrabarpersist DeltaH (0), 
intrabarpersist DeltaL (0), 
intrabarpersist DeltaO (0); 

if LastBarOnChart then begin 
  	MyVol = Iff(BarType < 2, Ticks, Volume); 
if CurrentBar > MyCurrentBar then begin 
	VolumeAtBid = 0; 
	VolumeAtAsk = 0; 
	BAVolRatio = 0; 
	VolTmp = 0; 
	MyCurrentBar = CurrentBar; 
	if ResetDeltaEachbar = 1 then Delta =0;
	DeltaO = Delta; 
	DeltaH = Delta; 
	DeltaL = Delta; 
end; 
Block = Myvol - VolTmp;
if (Block >= MinBlock) and (Block <= MaxBlock) then
	if Close <= InsideBid then
		Delta  = Delta - MyVol + VolTmp
	else if Close >= InsideAsk then 
		Delta = Delta + MyVol - VolTmp ;  
	VolTmp = MyVol ;
end; 


DeltaH = maxlist(DeltaH, Delta); 
DeltaL = minlist(DeltaL, Delta); 


if Delta <= 0 then color = DownColor else color = UpColor; 

plot1(DeltaO, "DO"); 
Plot2(DeltaH, "DH"); 
Plot3(DeltaL, "DL"); 
plot4(Delta, "DC");	 

 

Hello, I'm new to this forum.

I see this code and I think that it is better to change this line:

 

if Close <= InsideBid then
		Delta  = Delta - MyVol + VolTmp
	else if Close >= InsideAsk then 
		Delta = Delta + MyVol - VolTmp ;  
	VolTmp = MyVol ;
end; 

 

with this one:

 

if ticks>=filtro then begin
	if Close>= insideask then Delta=Delta+Ticks;
	if Close<= insidebid then Delta=Delta-Ticks;
end;

 

in this way I'have the real sum of volume exchanged in bidside less the volume exchanged in askside.

Is it correct?

 

MARCO

[BlowFish 10]

Dunno what filtro is? By the way the indicator works on volume traded not ticks.

 

Feel free to change it to suit your needs but I think it is correct (with the caveats earlier in the thread) as it is. Of course I have been known to be wrong

[laski 10]

Hello BlowFish and thank for your answer.

Filtro can be used if you want to see only traded volume greater than a preset value, but is not so important.

Furthermore in multicharts if the "Build Volume On" of the instrument is set to "trade Volume" and not to "Tick count" the instruction

MyVolume=Ticks

give you the volume traded for every tick.

In your code there is this line

MyVol = Iff(BarType < 2, Ticks, Volume); 

 

that is the same thing of

MyVol=Ticks 

for intraday and tick by tick charts

 

My dude is for this line

 

if Close <= InsideBid then
		Delta  = Delta - MyVol + VolTmp

 

and this one

 

else if Close >= InsideAsk then 
		Delta = Delta + MyVol - VolTmp ;  

 

where VolTmp is previous volume traded.

 

In "Close<=InsideBid" case, volume is traded in Bidside so it is correct to subctrat MyVol from Delta, but I can't understand why you add the previous volume (VolTmp) regardless of it was traded in bidside or in askside (because the line:"Close <= InsideBid" is only referred to the last volume exchanged that is MyVol).

The same thing happen for the line "Close >= InsideAsk

Can you explain that?

 

I hope you understand me, my english is not so good!:crap:

Thanks,

byebye

MARCO

[bomberone1 10]

I don't undestand why tha marco modification are not good..it is better works on ticks..

[bomberone1 10]

THere other implementation

MultiCharts: Trading Software for Automated Trading and Backtesting • View topic - MarketDelta for MC with History (Database)

http://www.traderslaboratory.com/forums/coding-forum/5824-volume-splitter-5.html#post66247

 

http://www.traderslaboratory.com/forums/coding-forum/5824-volume-splitter.html

 

http://www.multicharts.com/discussion/viewtopic.php?t=2484

 

http://www.traderslaboratory.com/for...html#post66247

 

https://www.tradestation.com/Discussions/Topic.aspx?Topic_ID=55757&PAGE=4򌅸

 

http://www.traderslaboratory.com/forums/f6/trading-market-statistics-ii-volume-weighted-1990.html

 

http://www.multicharts.com/discussion/viewtopic.php?f=5&t=6640&hilit=delta

 

http://tickdataprocessing.blogspot.com/

Edited July 5, 2011 by bomberone1

[drota 10]

Hello !

I have been trying to download Volume Splitter Indicator for Ninjatrader 7 but it doesn't work.

Please, could you upload it again please?

I spent days but nothing.

 

And, anybody know an alternative indicator (for Ninjatrader 7) that Show the "Short" and "Long" positions? I'm not talking about ask and bid side... I would like to know the shorts and the longs of a frame of time.

 

Thanks a lot!

 

D

[bomberone1 10]

Folks I read all threat.

Could someone get in a post the last version of the indicators please?

[BlowFish 10]

Here you go...be aware of the issues with insidebid insideask (they are discussed earlier in the thread

 

 
inputs: 
UpColor(darkgreen), 
DownColor(red), 
DeltaBar(1), 
MaxBlock(9999),
MinBlock(0),
ResetDeltaEachBar(0); 

variables: 
MyVol(0), 
Block(0),
color(yellow), 
intrabarpersist MyCurrentBar(0), 
intrabarpersist VolumeAtBid(0), 
intrabarpersist VolumeAtAsk(0), 
intrabarpersist BAVolRatio(0), 
intrabarpersist VolTmp(0), 
intrabarpersist Delta (0), 
intrabarpersist DeltaH (0), 
intrabarpersist DeltaL (0), 
intrabarpersist DeltaO (0); 

if LastBarOnChart then begin 
  	MyVol = Iff(BarType < 2, Ticks, Volume); 
if CurrentBar > MyCurrentBar then begin 
	VolumeAtBid = 0; 
	VolumeAtAsk = 0; 
	BAVolRatio = 0; 
	VolTmp = 0; 
	MyCurrentBar = CurrentBar; 
	if ResetDeltaEachbar = 1 then Delta =0;
	DeltaO = Delta; 
	DeltaH = Delta; 
	DeltaL = Delta; 
end; 
Block = Myvol - VolTmp;
if (Block >= MinBlock) and (Block <= MaxBlock) then
	if Close <= InsideBid then
		Delta  = Delta - MyVol + VolTmp
	else if Close >= InsideAsk then 
		Delta = Delta + MyVol - VolTmp ;  
	VolTmp = MyVol ;
end; 


DeltaH = maxlist(DeltaH, Delta); 
DeltaL = minlist(DeltaL, Delta); 


if Delta <= 0 then color = DownColor else color = UpColor; 

plot1(DeltaO, "DO"); 
Plot2(DeltaH, "DH"); 
Plot3(DeltaL, "DL"); 
plot4(Delta, "DC");

[bomberone1 10]

Here you go...be aware of the issues with insidebid insideask (they are discussed earlier in the thread

 

Thanks BlowFIsh. I think that when there are nre improvmente or find a solution the new cersion will be posted.

 

What are in tour opinion other indicators to help analisys by volume?

[johnnydaymon 11]

Blowfish, the VOL_Splitt_OHLC_C & VOL_Splitt_OHLC are nice. What would the setting be for each in forex and then equities.A ball park figure would be nice.Anybody else here in the forums input would be welcome too.The default is 1,9999

[johnnydaymon 11]

OHLC C seems to work the best. Insert indicator twice and set each to their proper settings. Wait till they split together then make your move. A bing and a bang and a boom! Notice the last picture when the big boys go against the little boys. This indicator can help you stay out of bad moves.

Edited February 12, 2013 by johnnydaymon

[jojojo 10]

Hello

I'm here a little late - but I have some suggestion:

Just an idea......

I thought it could be very usefull to be able to reset this indi

- at certain times

- at Pivotpoints

- all n minutes

or similar.....

so for my suggestions it could be much more helpfull then.

Any ideas how to do this ?

 

regs

Jojo