Volume Splitter

[BlowFish 10]

You guys have completely missed the chart which was posted on the first page that shows how to do what you want. TS's TradeVolume is useless.

 

Ticks, and or Upticks and DownTicks contain the volume of each transaction as described. If you want to do what EOTPRO is doing it is not difficult - but requires using a 1 tick chart and passing the values to your chart using a Global Variable.

 

I agree it is easy but you don't need a one tick chart, any time frame will do. You just compare the total volume 'now' with the total volume last tick. Just take any one of the numerous delta/buy sell pressure indicators and they do this. Dunno where all the confusion is coming from it just needs a single conditional to compare size before its accumulated. Don't have much time right now (seem mad busy for some reason) or I'd post it.

[flyingdutchmen 10]

You just compare the total volume 'now' with the total volume last tick.

 

that is correct the problem is within the comparing of those 2 value's

by using a statement like value1-value1[1] you will get nothing as there

are no historical value's saved in intrabarpersist variables but you will need

to use the intrabarpersist variables in order to recieve all value's within

each timeframe

 

the calculation sounds indeed easy but how to compare both values

im trying to figure out

[daedalus 10]

^^ Exactly what has been throwing me... I've never used the intrabarpersit functions and its been confusing me.

[bakrob99 11]

I agree it is easy but you don't need a one tick chart, any time frame will do. You just compare the total volume 'now' with the total volume last tick. Just take any one of the numerous delta/buy sell pressure indicators and they do this. Dunno where all the confusion is coming from it just needs a single conditional to compare size before its accumulated. Don't have much time right now (seem mad busy for some reason) or I'd post it.

 

You need a 1tick chart to build the volume for the current day, and to store values to use in backtesting and strategy development. The only way you can do it with a regular chart is real time, but with a 1 tick chart you can easily get 30 days of history.

[bakrob99 11]

^^ Exactly what has been throwing me... I've never used the intrabarpersit functions and its been confusing me.

 

 

Easylanguage resets the values of your variables intrabar on every tick to the value they were at the close. If you want to stop this reseting, (which you need to do if you are working intrabar) then just declare your variable with INTRABARPERSIST in front of it and its value will not be cleared/reset.

[Tams 20]

IntraBarPersist

 

Used in variable and array declaration statements, before a variable or array name,

to specify that the value of the variable or array elements are to be updated on every tick.

 

If IntraBarPersist is not specified, the value will be updated at the close of each bar.

 

Usage

 

Declaration: [intraBarPersist]Name(InitialValue1)

 

Examples

 

Declare Max as a numerical variable, updated on every tick, with the initial value of 100:

 

Variable:IntraBarPersist Max(100);

 

Declare Max_Price as a 24-element single-dimension numerical array,

updated on every tick, and with data elements' initial values of 0:

 

Array:IntraBarPersist Max_Price[23](0);

 

 

 

 

 

source: EasyLanguage Manual

[bakrob99 11]

IntraBarPersist

 

If IntraBarPersist is not specified, the value will be updated at the close of each bar.

 

 

This can be a little confusing because in Real Time Trading each tick is a bar to Easylanguage.

[zdo 20]

I agree it is easy but you don't need a one tick chart, any time frame will do. You just compare the total volume 'now' with the total volume last tick. Just take any one of the numerous delta/buy sell pressure indicators and they do this. Dunno where all the confusion is coming from it just needs a single conditional to compare size before its accumulated. Don't have much time right now (seem mad busy for some reason) or I'd post it.

 

Once again... :bang head:

 

inputs: 
    BlockSize( 5 ) ;	 

vars: 
    IntrabarPersist TSstore( 0 ) , 
    IntrabarPersist TradeSize( 0 ) , 
    IntrabarPersist TickHist( 0 ), 
    IntrabarPersist BStatus( 0 ) ; 

if BStatus = 2 then begin 
    TSstore = 0 ; 
    TickHist = 0 ; 

end; // f BStatus = 2

if BarStatus( 1 ) <> 2 then begin 
    TradeSize = Ticks - TickHist ; 
    TickHist = Ticks ; 
    if TradeSize >= BlockSize then 
 ...

end ; // if BarStatus( 1 ) <> 2

... 
...

BStatus = BarStatus( 1 ) ;

Edited May 6, 2009 by zdo
code insert not formatting correctly

[RobotMan 10]

Hi guys,

 

I am a regular poster over at the TSSupport (MultiCharts) Forum. I used TS3.5 and TS2Ki for many years and once I started using Multicharts, I dumped TS like a hot potato. Anyway, I get the "TL! Community Newsletter" every once in a while I have received a lot of value from this (Traders Laboratory) forum but never have really posted. I remember watching Soultraders' videos on tape reading and thought "I wonder if I could do that with an indicator?". I have always used "Cumulative = Cumulative + Upticks - DownTicks" as an indicator and still prefer it today over the intra-bar persist method. However, I received issue #4 and clicked on the "Volume splitter" out of curiosity, as I had just posted to a thread that the author of EOTPRO writes in TSSupport forum. I chuckled when I saw that some are struggling with "IntraBarPersist" so I thought I would post a code snippet that will help. All of the ancillary statistical analysis coding has been pared away and so you can just cut and paste this into an indicator in Multicharts and it should work. You might have to change "LastBarOnChart_s" in Tradestation as it might not recognize it.

 

//Bob Fulks 8/07, Bob Perry 09/07, 12/07, 05/09
Inputs:	MinLotSize(1), MaxLotSize(9999) ;

Var: intrabarpersist LTicks(0);
Var: intrabarpersist TSize(0);
Var: intrabarpersist UpSum(0);
Var: intrabarpersist DnSum(0);
Var: intrabarpersist CumSum(0);

if LastBarOnChart_s then begin
TSize = Ticks - LTicks;
If TSize >= MinLotSize and TSize <= MaxLotSize then Begin
	if Close = CurrentBid then DnSum = DnSum + TSize;
	if Close = CurrentAsk then UpSum = UpSum + TSize;
End;
LTicks = Ticks;

if BarStatus(1) = 2 then begin 
	CumSum = CumSum + UpSum - DnSum ;
	Plot1(CumSum, "CumSum");
	LTicks = 0;		
	UpSum = 0;
	DnSum = 0;
end;
End;

 

Now you will need to take this raw output and use it in some kind of oscillator, like MACD, CCI, TrueStrengthIndex, Ergodic, CMO or my preference: TRIX. Then you can begin to see how predictive or confirmative the method is.

 

Hope that helps,

Bob Perry

Edited May 6, 2009 by RobotMan

[zdo 20]

Thanks RobotMan.

Maybe if a few more peeps post some snippets it will start to sink in

 

re Bob Fulks. Haven't heard from him in years. Is he all MC now?

[Tams 20]

Hi guys,

I am a regular poster over at the TSSupport (MultiCharts) Forum.

 

 

Welcome Bob... hope you hang around often.

[phall 10]

hi

 

very cool idea of tracking the trade sizes

 

just ran through the TS forum and one of the engineers says that one can't access the time and sales data directly in Easy Language. (you have to watch it in the canned Time and Sales window). there is reference to getting the Bid/ask info in your code

 

there is voting however, please go on there and tell them WE WANT IT!!!!

 

Anyone know a way around this? any data feeds out there that provide real time trade data?

 

phall

[pimind 10]

Bob,

 

If you could be so kind and post the code of it used on the TRIX that you use, I'm sure we could learn and apply it to other oscillators.

 

Thanks

[RobotMan 10]

Gee Pimind, I don't normally give away stuff I've worked years to develop, but here goes. I hope you appreciate how much effort I put into this.

 

First, you take the code I previously posted, then, take this code that I developed over years of intense study:

{*******************************************************************
Description	: This Function returns TRIX - Triple Exponential Average		
Provided By	: Omega Research, Inc. (c) Copyright 1999
********************************************************************}

Inputs : Price(NumericSeries),Length(NumericSimple);
Variables : TripleXAvg(0);

If Length <> 0 Then Begin
TripleXAvg = XAverage(XAverage(XAverage(Log(Price), Length) , Length) , Length);
Trix = (TripleXAvg - TripleXAvg[1]) * 10000;
End
Else
Trix = 0;

and use the output of the first as the input to the second.

 

Hope that helps.

[wlbw 10]

Bob,

Would you mind posting the combined code? I can't get it to run.

Much Thanks,

[pimind 10]

Thanks I really appreciate it and i'm sure other users do as well. I'm having a little trouble following you.

 

The second code you posted looks like a function. It looks very similar to the function that is already in tradestation. I guess the problem I'm having and I believe wlnw is having is incorporating the function into the first code you posted. Thanks again for your input.

Edited May 7, 2009 by pimind

[cooper59 10]

Robotman, ty for sharing something you have worked long and hard on. If you hang around here I think you will find what you give you get back in spades. This is by far the most professional and trader friendly forum you will find on the internet.

 

In regards to the volume splitter, I had seen the EOT site about 6 weeks ago and finally needed to see it live. They have a free trial and show all the indicators live. I have been trading a long time and this was one of the best indicators I have seen. I am a firm believer in reading price action and this thing is good. With time and sales being the closest thing to a real time indicator, this splitter runs a close second. They know people are trying to copy it and joke around that it will not be duplicated. This forum has some very sharp people in it, I will put my money on TL.

[BlowFish 10]

that is correct the problem is within the comparing of those 2 value's

by using a statement like value1-value1[1] you will get nothing as there

are no historical value's saved in intrabarpersist variables but you will need

to use the intrabarpersist variables in order to recieve all value's within

each timeframe

 

the calculation sounds indeed easy but how to compare both values

im trying to figure out

 

There is no way to do it on historical data. It has to run live or run live and save data into its own file/database. You could of course make an approximation based on assumptions, this can work well. Rather than repeat myself http://www.traderslaboratory.com/forums/56/volume-splitter-5824-3.html#post63931

 

btw dont use [1] use

 

if newvalue - oldvalue > block do something.

oldvalue = newvalue

[bakrob99 11]

There is no way to do it on historical data. It has to run live ...

 

 

Not true my friend. You can build anything you want with a 1 tick file.

[Guest Robert70]

Thanks I really appreciate it and i'm sure other users do as well. I'm having a little trouble following you.

 

The second code you posted looks like a function. It looks very similar to the function that is already in tradestation. I guess the problem I'm having and I believe wlnw is having is incorporating the function into the first code you posted. Thanks again for your input.

 

I did not test this but this should do it. Please correct me if I'm wrong.

 

//Bob Fulks 8/07, Bob Perry 09/07, 12/07, 05/09 

Inputs: MinLotSize(1), MaxLotSize(9999), TrixLen(9);
Var: TRIXValue(0);
Var: intrabarpersist LTicks(0); 
Var: intrabarpersist TSize(0); 
Var: intrabarpersist UpSum(0); 
Var: intrabarpersist DnSum(0); 
Var: intrabarpersist CumSum(0); 

if LastBarOnChart then begin TSize = Ticks - LTicks; 
If TSize >= MinLotSize and TSize <= MaxLotSize then Begin if Close = CurrentBid then DnSum = DnSum + TSize;
if Close = CurrentAsk then UpSum = UpSum + TSize; End; 

LTicks = Ticks; 
if BarStatus(1) = 2 then begin CumSum = CumSum + UpSum - DnSum ;

TRIXValue = TRIX( CumSum, TrixLen ) ;
Plot1(TRIXValue, "CumSum");
Plot2(0,"zeroline"); 

LTicks = 0; UpSum = 0; DnSum = 0; 
end;
End;

[Tams 20]

Not true my friend. You can build anything you want with a 1 tick file.

 

 

if you take a screen shot of your live 1-tick chart,

then close down the charting software, reboot the computer.

When you re-start your computer and call up the same 1-tick chart again,

the chart might look different than the screen shot you have taken earlier.

 

:-(

[BlowFish 10]

Not true my friend. You can build anything you want with a 1 tick file.

 

No you can not. You also need all the bid and ask changes as tick streams too. I do routinely build stuff from 1 tick files but you need to make assumptions about the order book and inside bid and ask unless you have recorded the order book (previously in real time) yourself. Neoticker is the only package I am aware of that does this (and that needs a kludge). Apparently ninja version 7 will have this feature too.

 

The problem is not the trades (the tick stream) it's the order book changes. How do you know a tick is at the bid or the ask? You can not know though you can guess if its an uptick its at ask and a downtick is at bid. Best bid and best ask areavailable real time but not historically and there is the problem.

[phall 10]

 

Below is the code put together. note that the triple average is not a straight TRIX because you can't take the log of a neg number in TS. you'll need to play with the averaging length to get what you need.

 

I just wanted to note that this code counts the trade volume between ticks; this is not the same as true time and sales data because you can get many small trades before you move the tick value. It's probably a decent approximation if using large enough lot size minimum as the big bids will move the tick value pretty consistently. (you can see this in the Time and Sales window)

 

if you are a user of TS, please go on the easylanguage forum and VOTE for providing the real T&S data. if we can get them to move this up their development priority list, then we can really do this with the right data.

 

If the EOT guys have access to the real time trade data by trade (not ticks), theirs will be much more accurate. if anyone knows how they get this (dll or whatever) please post

 

Thank you to all who put up code and provided comments

 

 

{TS Code}

 

Inputs: MinLotSize(1), MaxLotSize(9999),Length(20) ;

Var: intrabarpersist LTicks(0);

Var: intrabarpersist TSize(0);

Var: intrabarpersist UpSum(0);

Var: intrabarpersist DnSum(0);

Var: intrabarpersist CumSum(0);

 

if LastBarOnChart then

Begin

TSize = Ticks - LTicks;

LTicks = Ticks;

If TSize >= MinLotSize and TSize <= MaxLotSize then

Begin

if Close = CurrentBid then DnSum = DnSum + TSize;

if Close = CurrentAsk then UpSum = UpSum + TSize;

End;

 

if BarStatus(1) = 2 then

begin

CumSum = CumSum[1] + UpSum - DnSum ;

LTicks = 0; UpSum = 0; DnSum = 0;

end;

End;

 

if length <>0 and cumsum <>0 then

Begin

value1=Xaverage(Xaverage(Xaverage(cumsum,length),length),length);

{"log(cumsum) "replaced with "cumsum"}

Value2=(value1-value1[1])*10000;

end

else value2=0;

Plot1(value2, "CumSum");

[bakrob99 11]

The problem is not the trades (the tick stream) it's the order book changes. How do you know a tick is at the bid or the ask? You can not know though you can guess if its an uptick its at ask and a downtick is at bid. Best bid and best ask areavailable real time but not historically and there is the problem.

 

Upticks and DownTicks do fine for what I want them for.

[BlowFish 10]

Not true my friend. You can build anything you want with a 1 tick file.

 

Upticks and DownTicks do fine for what I want them for.

 

not having a go at you but those two statements are not synonymous . If you are happy to use uptick/downtick as an aproximation that is great. Having run lots of these types of studies alongside each other I am inclined to agree with you:thumbs up:. However there is a difference between uptick/downtick and volume @ bid and ask they do produce similar but different studies. Actually watching the differences is interesting in its own right. I hope you'll forgive me being pedantic but there is a lot of needless in this thread despite the task actually being pretty straightforward. For that reason it is important to be clear and accurate (which is why I posted the correction.....not to :boxing:)