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akifusenet

Market Statistics Indicator for MT4!

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Hello everybody again.

 

Sorry for posting my first indicator (MIDAS) to Technical Analysis section.Somehow I couldnt manage to open a new thread for that indicator in this section at that time. Now things look ok. Maybe it should be moved here also.

http://www.traderslaboratory.com/forums/f34/midas-indicator-mt4-6538.html

 

So this is my second indicator. And this indicator is created to be able to follow Jperl's Market Statistics thread on MT4.

 

As I already talked about in my MIDAS post these are my first indicators and I am just learning MQL. So feel free to send me comments, bugs,anything...

 

I might also post skewness indicator in a later post.

 

 

Thanks for trying..

 

Akif,

marketstatistics.gif.a67357a752440f9244c2b2d260b434dd.gif

Market_Statistics_v1.mq4Fetching info...

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Hello Everyone,

 

Hopefully I can inspire a MT programmer to develop a Market foot print Delta indicator with this Picture. This is the closest I can get to tape reading the Forex or any market.

 

I have been using NinjaTrader to build charts for the Forex. The chart I posted shows the GBP/USD for today around FOMC time. It is set at a 15 pip range. One of the basic thing I do using this type of chart is to draw trend lines through the POC (Point of Control) and if a POC crosses the trend line I look to enter the market against the trend works pretty good.

 

FYI the Point of Control is where most of the trades took place during the construction of the range bar and if you look at each bar you can see a blocked off or in bold section which is the point of control area.

The only way I got to make the market foot print indicator to work on the Forex was to change the setting to use uptick instead of bid and ask.

You can download NinjaTrader for free and make a Forex connection through Gain also you can use the market delta footprint for free for 30 days if you want to play around with it.

Another excellent way to measure gauge a trend or move is to use Delta percentage and if someone can develop a simple indicator to show the where most trades are taking place if on a up or down tick and plot it as a percentage it would be very helpful to read the market to see where the buyer or sellers are starting to put up a fight.

 

Thanks,

 

Robinhood69

5aa70f131f270_GBPUSD8_12_2009(15Range).thumb.jpg.7e6878076f9201f406e92d6cdd21a2df.jpg

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Trouble is Robin that nearly all the people that provide MT4 do so for spot forex. It is impossible to produce that sort of chart for spot as the required info is just not reported.

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On of the biggest handicaps of MT4 is it cant do range bars(or tick bars) like your Ninja chart. So it is really hard to get that same picture in MT4.(but i am quite new to that:))

 

But this one looks interesting. I will check on that.

 

Akif,

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Hello BlowFish,

 

Yeah that’s what a bummer about Forex is that it’s a spot market but I was able to tweak the Market footprint to show up tick and down tick transactions that seem to work well for the Forex. I like I said this is the closest I can get to reading tape. At the very least it can show you the battle price or POC at each candles being form where most of the transaction took place at which price level which I think is a great advantage to seeing price action in a different light and hopefully catch moves earlier and risk less by knowing which prices the buyer and sellers are actually fighting for.

 

FYI I also have the each block price to show it at 2 tick increments.

 

I don’t know if the picture I post can be seen because I tried and it does not pull it up on my side so I’ll post a link to my screencast picture.

 

2009-08-13_0915

 

Thanks,

 

Robinhood69

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Yeah that’s been the biggest problem with me transitioning to the Forex is trying to use minuet charts. I build a couple of Market Delta footprint charts using minuets charts to see how they look.

 

It looks pretty good on 5 minuet charts and above.

 

Here is a 5 min and 10 min chart of GBP/USD. It is a great way to see which price is the battle prices of each candle.

 

Let me know if you can see the pictures?

 

Thanks,

 

Robinhood69

5aa70f13b88d3_GBPUSD8_13_2009(5Min).thumb.jpg.f40bca7c24b175b60b072d55e5f84d87.jpg

5aa70f13c13a1_GBPUSD8_13_2009(10Min).thumb.jpg.5b56fa57ada695706131f85f4427b6d4.jpg

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Hello Blowfish,

 

I wish that’s why I’m trying to inspire some who like programming to make something similar to this for MT but NinjaTrader can be used free in demo mode to build these charts but the Market footprint a monthly subscription of $59 a month but the cool thing is you can use it for a 30 day trial run for free. Just get a demo account from Forex (Gain Capitol) or Ampforex which you can set up and set up a forex connection through Gain for Forex. That way you can play around with it for 30 days at least.

I think I should not be posting up links but just Google financial algorithms NinjaTrader and you can find it. Very easy to install and NT is very user friendly.

 

If you decide to use it and have problems setting the settings let me know and I’ll show you what settings I used.

Thanks,

 

Robinhood69

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Yes I'm Pretty sure that's the way it is set up they get permission from Market Delta.

 

Yeah I like it a lot but I have just been simming it right now but I can see a lot of potential uses for it.

Especially looks good on point and figures or reversal charts by reading on an up bar when the sellers are starting to come in and vice versa.

Thanks,

 

Robinhood69

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Hi Robin,

 

it might be a little bit off topic here, but I would like to ask you about your value chart.

Is it just a standard one with setting 5 (like mine?) ?

 

My POC/PVP looks different to yours, and makes no sense to me, so its not on my chart.

My chart shows a 14 range on FOMC with two ADXVMA's and a 10 linear regression system on it.

 

attachment.php?attachmentid=12902&stc=1&d=1250206133

 

 

Regards,

 

Hal

6B-14r-FOMC.thumb.png.6131cc274104df7f0576f9f499d90ab4.png

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As I like JPerl's approach too, here is a second picture, FWIW:

 

attachment.php?attachmentid=12906&stc=1&d=1250207340

 

The POC/PVP is very different to yours and the simple concept that JPerl

uses. This leads me to another question:

Do you have the code for your POC/PVP calculation available?

 

Your system looks fine to me too.

 

Regards,

 

Hal

6B-14r-FOMC-II.thumb.png.122a947daf5db4eaf2fd208b7dfc3613.png

Edited by HAL9000
;-) As always.

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Hello Hal9000,

 

I don't think you are much off topic because Market Delta is very similar to Value charts in that Market delta shows value also, like where the buyer and sellers are willing to do there transactions which equals value for any instrument

 

I have my value chart set at 15, I feel it gives it more room to over valued or under valued since I'm trying to find the bigger moves but my other charts I do use the 5 setting to hop on a trend I really like to use the 5 setting value indicator to hop on the direction of a trend when prices retrace. Value charts work well for that.

 

Thanks,

 

Robinhood69

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The trouble with PVP is unless you assign every single tick to the apropriate price you will get discrepancies due to averaging the volume across a range of prices (a bar). Could that be the problem?

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Hello Hal9000,

 

Plus what I think is also happening is that you are displaying more bars compared to my charts thats why it looks differnt. if I display more bars and set the range to yours it should look the same.

 

Thanks,

 

Robinhood69

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Hello Blowfish,

 

I use one of the Calculated Value areas that I downloaded on the indicator section in NinjaTrader. I believe there is 2 or 3 of them located there. There is another web site called trading studies dot com that has a bunch of free cool indicators you can download for free. Like Renko bars which are pretty cool to filter out noise and give you the core trend.

 

It is the indicator that will say dValueArea on your indicator list and that’s the one that plots the histogram. There are others that don’t plot the histogram and just plot the value area but dValueArea one does.

 

Let me know if you need it and I’ll e-mail it to you.

 

Thanks,

 

Robinhood69

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Hello Blowfish,

I learned about Value areas from Larry Levin on how and why floor traders use these areas where 70% of all the volume was traded during a certain period of time is where value areas are calculated. I also found a PDF from Market Delta show some brief history and how to trade these value areas.

 

Hope that helps.

 

If you want the PDF let me know I have it in my other computer.

 

Thanks,

 

Robinhood69

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  akifusenet said:
Which software is this (using Java?)

 

Akif

 

Hello Akif,

 

this Java application is my own implementation, based on some open sources.

 

It wasn't intended as charting application, but now I use it to create my pictures.

 

 

Regarding my PVP implementation, maybe its best to forget about it,

maybe I made an error, but anyway what it should show is the PVP based on the 3rd central moment, and well, my intention wasn't to add confusion.

 

Regards,

 

Hal

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  RobinHood69 said:
Hello Blowfish,

I learned about Value areas from Larry Levin on how and why floor traders use these areas where 70% of all the volume was traded during a certain period of time is where value areas are calculated. I also found a PDF from Market Delta show some brief history and how to trade these value areas.

 

Hope that helps.

 

If you want the PDF let me know I have it in my other computer.

 

Thanks,

 

Robinhood69

 

I made the mistake of buying his course. Certainly not one of my best purchases <blush>. I have a large trading library though.

 

I was wondering what the actual indicator is that plots the value histogram, probably didn't express myself that well.

Edited by BlowFish

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