Volume Splitter

[pimind 10]

Here are some charts from today. macd4 vs. volsplit.

 

Has anyone tried to color or use line with to show intensity of the blocks being traded?

 

 

 

 

 

 

 

[RickAce 10]

Thank you flyingdutchmen...

 

When using a "GAP" chart this is how the indicator looks in the morning (chart started 2 minutes before opening bell):

 

[ATTACH]11858[/ATTACH]

 

As you can see the indicator does not start out at zero. It seems to always give some sort of previous volume.

 

Any other insights will be greatly appreciated.

 

Hello All,

 

I'm back for another request... would it be possible to add code to the volumesplitter that added a flat trendline on any specific bar (like a zero line).

 

Lets say after 5 minutes running from the open I would like to put a flat trendline at the O,H,L,and/or C on that bar.

 

Any help once again will be greatly appreciated.

[Crazynasdaq 10]

Hi guys, thanks for all and for this great stuff and great thread.

I only want to make a statement about VS_MACD 4 .

 

The formula is:

 

.....

.....

 

avg=(DeltaH+DeltaL+DeltaCu)/3;

 

value1=xaverage(MACD(avg,length1,length2),MACD_Length);

 

 

Plot1(value1,"MACD");

Plot2(0,"ref",Yellow);

 

 

Well, this is not the MACD of 2 different blocks average, the fast one and the slow one, but it's the Xaverage of the macd, so it's not correct because in this way you are watching the trigger of the macd and not the real macd.

As TS formula reports, the macd formula is:

 

.....

.....

var0 = MACD( Close, FastLength, SlowLength ) ;

var1 = XAverage( var0, MACDLength ) ;

var2 = var0 - var1 ;

 

Plot1( var0, "MACD" ) ;

Plot2( var1, "MACDAvg" ) ;

Plot3( var2, "MACDDiff" ) ;

Plot4( 0, "ZeroLine" ) ;

 

 

So when you define the "avg"

 

avg=(DeltaH+DeltaL+DeltaCu)/3;

 

You create a paremeter on which calculate the avereges, and the MACD of this parameter is:

 

value1=MACD(avg,length1,length2);

 

then the Trigger is:

 

value2=xaverage(MACD(avg,length1,length2),MACD_Length);

 

So what you are watching is not the MACD but its trigger in the VS_MACD4 version.

If You watch at the real macd maybe it fits better the EOTPro VOlume SPlitter

[Minetoo 10]

Is it possible Commitment of Traders (COT) data could play a role in the Volume Splitter indicator?

 

Attached are the TS COT indicators and here is the Quick Tip explanation

 

https://www.tradestation.com/support/webinars/quicktips.aspx

COTQuickTipMaterials.zip

[Minetoo 10]

Oops :doh: COT not real-time data. Please ignore above post since not germane to discussion.

[theman 10]

Does this VS indicator work with EOD? or does it have to be in realtime?

 

... for Ninja

 

Thanks

[cooper59 10]

Looks like the interest in the Volume Splitter is finally slowing down.

[Tasuki 10]

Looks like the interest in the Volume Splitter is finally slowing down.

 

I think we finally ran out of gas. I look at it from time to time, but it doesn't seem to work very reliably.

[RomanFx 10]

it doesn't seem to work very reliably.

 

Is this a problem specifically with the "volume splinter"?

 

Or, is this problem found in all of the Bid/Ask, Delta indicators?

 

does this makes all the indicators below unusable/unreliable?

 

 

 

1. Volume Delta created by Walterw

2. Volume Delta Oscillator created by Walterw

3. Up/Down Volume Indicator created by Blu-Ray

4. Market Delta Footprint created by Ant

5. Bid-Ask Tape Indicator created by Insideday

 

 

and the

BId-Ask Pressure Idicator

http://www.traderslaboratory.com/forums/f46/bid-ask-pressure-indicator-tradestation-807.html

 

 

 

Is this a problem specifically with the way the indicator is written? Problem with specific platform/ or Data feed?

 

Is the only way around this problem buying 3party software or getting MarketDelta charting platform?

 

R

:hmmmm:

[cunparis 10]

Oops :doh: COT not real-time data. Please ignore above post since not germane to discussion.

 

Thanks for posting the COT indicators, even if it's not possible for the volume splitter. I didn't know that this was available for tradestation. I'm curious how the indicators get the data? Is it from tradestation? I've been downloading it myself and putting it into a lookup function. A bit cumbersome and not very fast when doing calculations.

[cunparis 10]

I think we finally ran out of gas. I look at it from time to time, but it doesn't seem to work very reliably.

 

I used my own attempt at this for a while but in the end I couldn't find an edge. Sometimes the 1 lot traders would actually go short right at the top and the large traders would follow. Other times the small traders would be on the wrong side. My final conclusion was that just cause someone is trading size doesn't mean they're on the same side of the market as me. For example, I'm long on a trade that should last 10 minutes and some guy decides to dump his 1000 contracts right now. That doesn't mean he thinks the market is going down in the next 10 minutes.

 

Overall I just couldn't find an edge with it. And the fact that it doesn't work historically was a pain. I find analyzing all the volume gives the true picture. It evens out all the 1 lot votes and 1000 lot votes and gives me the total vote. Naturally the larger traders get a bigger say due to their size so in the end I think it works out like it should.

 

I could be wrong about all that and if so i'm definitely interested in learning more about the volume splitter.

[zdo 20]

Tasuki,

 

re

I think we finally ran out of gas. I look at it from time to time, but it doesn't seem to work very reliably.

I haven't even loaded it so I can't speak in particulars about this indicator, but with my own "tick money flow" work the 'when' is much more important than the 'how' to use them and I suspect that is the case with the permutations of the volume splitter...

 

cunparis,

re

...that it doesn't work historically was a pain

Has no one built an ADE/ELC version?

[BlowFish 10]

Is this a problem specifically with the "volume splinter"?

 

Or, is this problem found in all of the Bid/Ask, Delta indicators?

 

does this makes all the indicators below unusable/unreliable?

 

 

 

 

 

and the

BId-Ask Pressure Idicator

http://www.traderslaboratory.com/forums/f46/bid-ask-pressure-indicator-tradestation-807.html

 

 

 

Is this a problem specifically with the way the indicator is written? Problem with specific platform/ or Data feed?

 

Is the only way around this problem buying 3party software or getting MarketDelta charting platform?

 

R

:hmmmm:

 

It is a problem with the platform (well with how bestbid and bestask are implemented at lest) and so with all those studies. I think there may be a solution to it by using 3 data streams into the chart (one for last and one each for bid and ask). Haven't really been motivated to try as this is one of the things that ninja seems simply to do better.

[meyer99 10]

Can someone point me to the NT vol splitter indicator?

[dandxg 10]

It is a problem with the platform (well with how bestbid and bestask are implemented at lest) and so with all those studies. I think there may be a solution to it by using 3 data streams into the chart (one for last and one each for bid and ask). Haven't really been motivated to try as this is one of the things that ninja seems simply to do better.

 

BF,

 

Do you think the above is the cause of the issue. A friend of mine was in their room and EOT's Glen said there was inconsistency in indicators between platform because some use filtered vs unfiltered data.

[dandxg 10]

Can someone point me to the NT vol splitter indicator?

 

You have to lease it from EOT. You should just check out the free trial they really are a great group, and no I am no affiliate.

[AgeKay 10]

It is a problem with the platform (well with how bestbid and bestask are implemented at lest) and so with all those studies. I think there may be a solution to it by using 3 data streams into the chart (one for last and one each for bid and ask). Haven't really been motivated to try as this is one of the things that ninja seems simply to do better.

 

X_Trader's API offers unfiltered time & sales that contain a field that tells you whether it traded at the bid or ask in just one stream so there is no need to check the inside market and therefore there is no synchronization issue. It's probably the best feed/API for these kind of indicators.

[dandxg 10]

X_Trader's API offers unfiltered time & sales that contain a field that tells you whether it traded at the bid or ask in just one stream so there is no need to check the inside market and therefore there is no synchronization issue. It's probably the best feed/API for these kind of indicators.

 

AK,

 

Does the above apply to all TT feeds? For example with X Trader or NT with TT feed? Or are you referring to the TT fix apdapter? Your feedback appreciated.

[AgeKay 10]

AK,

 

Does the above apply to all TT feeds? For example with X Trader or NT with TT feed? Or are you referring to the TT fix apdapter? Your feedback appreciated.

 

It depends which API the application uses and how it implements the API. I have no experience with X_Trader's FIX adapter, but their XTAPI certainly supports it, you just have to use the right event handler and set one property. X_Trader shows all unfiltered trades in its time & sales. All I know about Ninja Trader is that they use the FIX adapter and not the XTAPI.

But I don't see how that would make any difference since NinjaTrader only exposes their own interface where you have that synchronization problem and the trades do not contain the information whether it was traded on the bid or ask. You would have to implement X_Trader's API directly in your own application to take advantage of that.

[FulcrumTrader 10]

AK,

 

Does the above apply to all TT feeds? For example with X Trader or NT with TT feed? Or are you referring to the TT fix apdapter? Your feedback appreciated.

 

I would not yet use TT Fix Adapter feed for any bid/ask work at this time (like Cumulative Delta computations, etc). Remember this is the feed they let their competition use....LOL! I have seen some recent runs of a days data with Zenfire, DTN.IQ, TT Premium Feed, TT Regular Unleaded Feed, and Transact Feed (into Sierra Charts) with some odd results for the TT Regular Unleaded Feed (....TT Fix Adapter Feed that is....).

 

If you are going to run a feed to Ninjatrader charts using the "Gomi" Cumulative Delta study from their support forums or if you are going to run a feed to your own application I would stick with Zenfire or TT Premium feeds for now......hope this helps!

[BlowFish 10]

X_Trader's API offers unfiltered time & sales that contain a field that tells you whether it traded at the bid or ask in just one stream so there is no need to check the inside market and therefore there is no synchronization issue. It's probably the best feed/API for these kind of indicators.

 

I think ZenFire does this though am not completely sure.

[AgeKay 10]

I think ZenFire does this though am not completely sure.

 

While all market data from Zen-Fire is unfiltered, they do not have a 'trade' data type that includes a field that says whether it traded on the bid or ask.

[cunparis 10]

While all market data from Zen-Fire is unfiltered, they do not have a 'trade' data type that includes a field that says whether it traded on the bid or ask.

 

I've played with writing a volume splitter for both NT and tradestation. I found the same problem as you for NT, you don't have bid/ask information. You can write code to do this yourself in real time by comparing the close price (update on close = false so you get each tick) to the previous close price and you know if it was an uptick or downtick.

 

For tradestation it has upticks and downticks so you just have to look at the volume and put it in the appropriate bin. It doesn't work historically either since you have to process each tick.

[BlowFish 10]

Upticks Downticks are a 'proxy' for volume@bid and volume@ask. Deciding uptick or downtick is trivial in either TS or N. The problem is determining V@B and C@A without flagging or without a synchronous data feed for bid ask and last. I would have another read through the thread.

 

Incidentally you can do it accurately in NT (though I have not seen any code that does) it is impossible in Trade station. Hint: look at OnMarketDepth and e.MarketDataType.

Edited August 17, 2009 by BlowFish

[taotree 10]

Incidentally you can do it accurately in NT (though I have not seen any code that does) it is impossible in Trade station. Hint: look at OnMarketDepth and e.MarketDataType.

 

This is what I typically use in NT.

// In vars section:
double lastAsk;
double lastBid;

// Methods
protected override void OnMarketData(MarketDataEventArgs e) 
{ 
 trackBidAsk(e);
 if (e.MarketDataType == MarketDataType.Last)
 {
   double mp = (lastBid + lastAsk) / 2;
   if (e.Price > mp)
   {
     // Transaction was at Ask, do whatever here.
   }
   else if (e.Price < mp)
   {
     // Transaction was at Bid, do whatever here.
   }
 }
}

 private void trackBidAsk(MarketDataEventArgs e)
 {
       if (e.MarketDataType == MarketDataType.Bid)
       {
	lastBid = e.Price;
}
       else if (e.MarketDataType == MarketDataType.Ask)
       {
	lastAsk = e.Price;
}
  }