Bid-Ask Pressure Indicator for Tradestation

[allforex1 10]

This indicator could be extended at all book?

 

the reason is that indicator with the extension of all book can very easily see the urgency that traders have to buy or sell: the indicator is moving upward if they are the dominant buyers who apply letters, and moves downward instead if the book is more 'aggressive Sellers.

Compared to the mere observation of the book, showing historical DB lets you make comparisons with previous periods, and pinpoint specific trends, compared with the movement of prices. In a normal market, the DB rather faithfully follows the trend of price: when the trend is upward, the indicator has a trend which often overlaps perfectly with price action, and vice versa when the trend is downward. A quick glance at DB replaces minutes and minutes to watch the evolution of the fixed book and accurately summarizes the "haste" of actors is difficult to see immediately whether, after a violent drop, the traders are covering shorts quickly (PB in steep rise ), Or whether, on top of a rally, quickly download books.

Without being able to indicate the trend, provides a number of very interesting ideas in the short term. Comparing the trend of PB with the trend of price, There are three major cases:

 

1. confirmation of the trend underway

2. divergence between price trends and developments in PBA

3. strong tendency within a trading range

 

Confirmation of the trend underway

 

When the PB follows the price (salt while the price rises and falls while the price drops), this means that the trend is real and there are no tricks. If I had then some doubt that a trend being hidden pitfalls of the confirmation of PB should calm the market is normal, the trend may continue.

PBA divergence between price and

 

However, there are cases in which the price rises making new highs while the DB instead of rise, fall and indicates a considerable divergence, making up less: These differences suggest that the second climb the traders have taken advantage of prices climb to apply the low bids and then quickly acquired the position previously! In a market drop, however, a new low with PBA uphill signal the existence of strong coating of bearish, with a likely rebound quickly.

Strong tendency of the PBA in a range

 

 

 

If in a trading range DB does not follow the movements of the trend zigzag up and down but on the contrary has a strong trend established (uphill or downhill), which has a precise meaning: in this range you are creating a strong imbalance: sellers (or buyers) is substantially in prevalence and this imbalance is like a spring ready to explode in one direction or another. We think a trading range: we do not have the perception of what forces are being built inside but if the PB no longer follows the price and take a directional decision, then sounds an alarm bell. It 's like a volcano that gives us no indication of the next eruption, but a series of earthquakes around us indicate that the short burst finimondo. Here's what does the PB: that soon this trading range will be broken and will follow a sharp acceleration in prices. It is not an unimportant information ..

 

 

what kind of other indicator could i add to it for a better analisys that i could find on this site?

 

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market profile

what is the better that i could find on this site?

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the charts sould be more right plotted by Constant volume bars for a better relation between price and volume?

 

Compared with tick-volume bars (or bars with the same number of trades), the CVB are much more precise because not all price providers transmit the same number of trades (several trades at the same price are compacted and sent as a single trade ). However, the volume gradually used to build the CVB, is a target and allows you to build the CVB in a way quite simple: lots traded each x (instead of every y minutes) is built a new bar. This correlation to the volume treated that time, more than a simple alternative methodology to create the bars, is a different philosophy to read the charts. Chaotic markets such as financial beds have been arranged in time series. However breaks ranges trigger the sudden volatility of prices and volumes that are not for nothing seized from a purely scanning time of occurrence: How to compare a bar in the first half hour of a given key, where the market is absolutely firm and not no exchanges, with the bar at 30 'next, where the market exchange huge volumes and prices spouting? because an indicator / oscillator must weigh in the same way the two bars, while extremely important at all? use time-bar includes a strong pollution data for this reason that equal weight is given to price actions totally different. Not being tied to variable time, the CVB filters periods with low volume, capacitors in a few bars, while giving much importance to the periods with high volume, paying them a high number of bars. Look for example is represented as a graph on dax 5 'and as the chart is displayed through a CVB having the same number of bars. I have been a day of BUND futures and DAX future with bars to five minutes (top chart) and with a CVB so constructed that has the same number of bar graph 5 minutes (see graph below). To facilitate the comparison you have highlighted the significant stages of trading with horizontal bars of the same color: there are now so visually differences in length. Known as the CVB are in significantly shortened, to be halved periods of range trading , while trends are highlighted with a number of bars much higher.

 

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Is there a acceleration of volumes? This indicator is like a speedometer: indicates how many volumes were traded in a limited period of time. Just watch to see that the market is exchanging low volumes, or suddenly is reawakening and new, intense negotiations are taking place. To sound an alert threshold of significant acceleration immediately arouses the attention of traders.

 

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Istogrami Price Volume

The control area (PoC) and the reaction

 

The volume histograms show the volume is treated at every price level. At the beginning of the session bag, this chart always begins with a series of volumes with prices more or less similar, then gradually the market began to station more frequently at certain prices, and then the line volume increases at these prices.

This line of books tends to become a landmark within a few tens of minutes. The online price with the highest volume is called Control Point (Point of Control, PoC, terminology borrowed from the Market Profile) and represents a fundamental level: the PoC shows, so very simple, intuitive and absolutely incontrovertible, the level that the market considers "fair" to work: the level of balance.

This point is so important paradoxically remains hidden in ordinary bar chart: in a bar chart is rather difficult, if not a very observant eye, find this level, while still very clearly visible maximum and minimum.

L 'IPV (price volume histogram) is an indicator, because immediately indicate what price level is likely to mute the market trend. Looking at a IPV, you notice immediately the level of PoC and there are also areas with very few volumes. Even these areas, these zones Minimum Volume (ZMV) are very important and learn to exploit them later.

The price PoC acts as a magnet: it is the central range of range trading, prices feel its pull and gravitate around. The ZMV instead represent areas where the market has not stopped but was quickly propelled to new levels are quite clearly on the bar charts because they are the maximum and minimum, touched a few times.

Putting together the analysis on prices and sull'IPV you can give a double reading of the market situation: a dynamic reading of prices and volumes on another static. The reading dynamic pricing can be interpreted with TdLine, the static volumes through the IPV: knowing how many volumes were treated to what the price is hard to understand if dealt with both (the stops) or if handled niente (zones initiating trading)

Structure of the Bar graphs

 

The IPV normally tends to assume a bell, this means that the market has been distributed around an area of high volume in a symmetrical manner: the market is clearly in a trading range.

If the IPV has a point of maximum volume that stands out in particular in relation to others, it means that the price has dealt with for a long time in a very narrow range, and thus the strength of that level becomes remarkable.

If the PoC is not well defined, and the zone of maximum volume presents a beveled pattern, then we must consider a whole as significant but obviously with an attractive lower power compared to the previous case.

During a day you can define different areas of high volume. For example, after the formation of a PoC, the traders, for a story or simply for operational flows, consider that that price is no longer a fair level: in this case, prices quickly away from the previous PoC and seek a new level balance.

When prices start to move away from previous PoC, begins a phase where the volumes are distributed so that every price has a similar volume and low means the market is looking for a new price level "correct" around which to begin gravitate. Once this equilibrium price has been found, the market begins to swing upward and downward, and establishes a new distribution of prices that has within it the PoC (often at the center, but sometimes the greatest coincidence or Minimal range).

The IPV also indicates the points as they start the new trend: these are the areas where there are few volumes (ZMV): these points in the range gives way to sudden acceleration: the areas of minimum volume represent the start and the end of a distribution of volume.

Form of the distribution of volume: a bell or a right triangle

 

In a normal distribution of volumes, the profile that is created is a kind of bell. In these cases there was no known specific, except to identify the central point that can return very useful in cases of rupture and subsequent pullback.

There are some times when you create a distribution to right triangle, that figure or a mirror with the highest volumes moved at the top of the range. In these cases, the types of trading are changing radically.

 

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Value area: how to calculate, that has value

 

The value area is the area where around PoC which are concentrated 70% of volumes traded. Harvesting a trade volume so significant, it becomes a very important reference.

The value area of a day is a very important to identify the trend that the market will have on the following day in the opening function and development of the first hour of trading.

 

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this is what isti...... traders have on their charts....

[allforex1 10]

i see that many people use ts and other mc, why don't we post the code for both platform each times?

 

why don't move the put the last version of the code at the beginning of the thread?

 

i see that the guys of this thread are doing a great job.

 

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

 

the indicator of these 2 threat could be joint and be a very good tecnique to make money...

[dnof 10]

Has anyone translated this to Ninjatrader?

[BlowFish 10]

Has anyone translated this to Ninjatrader?

 

Yes. There is one (called buy sell pressure) that comes with NT. There are also a goo half a dozen versions that people have made display modifications. Just look in there download indicators forum.

[cingross 10]

Dr. Ho..

I am also interested in this indicator the way you use it/

Have you enough experience with this now to be able to comment on how it is working

as a leading indicator for you? Would appreciate any feedback.

Thanks

[Tams 20]

I have added up/down color scheme based on previous bar.

 

The histogram will be green if the height is higher than previous bar,

and red if it is lower.

 

PZT_BA_PRESSURE_Indicator_(V20a).txt

[CazMoney 10]

Blue Ray,

 

Have you managed to code this with an input to select minimum trade size yet.

 

Much Thanks,

 

Caz

[salsaman 10]

Ha Caz..

 

I came looking for this exact kind of indicator, with size filters. Funny you found this thread or I never would have found it. Hoping there's an answer.

[Tams 20]

EasyLanguage does not support time and sales.

[swansjr 10]

EasyLanguage does not support time and sales.

 

Any idea how EOT Pro does it with their Volume Splitter?[ame=http://www.youtube.com/watch?v=OIGlWKUd7TA]Volume Splitter[/ame] If I remember, it's written in EasyLanguage and they filter trades based on size.

 

Anyone?

 

The only EL command that seems come to come close and might be useful is TradeVolume.

[BlowFish 10]

MyVol - VolTmp gives the volume of the last transaction just put a test for whether that is larger that the block size you desire before accumulating at the line

 

if InsideBid < InsideAsk then begin

[swansjr 10]

MyVol - VolTmp gives the volume of the last transaction just put a test for whether that is larger that the block size you desire before accumulating at the line

 

if InsideBid < InsideAsk then begin

 

That's just about what I did. However, I used the quote field TradeVolume instead of volume. TradeVolume provides the size of the last order. I let it run overnight on the ES market - not the best time to test but I wanted to get and idea if I'm on the right track. I'll post some images later this morning on the Volume Splitter thread.

 

You can find the Volume Splitter thread over here.

[sunilrohira 10]

I have been very impressed with all of your work on this indicator and how great it is in trading futures. However, I trade the forex mostly and wondered if there is a way to get the buy sell pressure on Forex. I do remember seeing an indicator on another forum called the Waddah Attar explosion. I can provide the code for the MT4 version.

 

Q1> Can the Buy Pressure indicator be adapted to Forex?

 

Q2. Can the Waddah Attar Explosion be coded for Tradestation for the same purpose?

 

Thanks in advance.

Waddah_Attar_Explosion.mq4

[BlowFish 10]

The answer to 1) is no. In spot FX the volume information is not reported. In fact bid ask changes are what is reported as a proxy for volume. So if bid decreases by 100,000 it is assumed by currency data providers that 100,000 units of currency have been bought at the bid price.

[Tams 20]

I have been very impressed with all of your work on this indicator and how great it is in trading futures. However, I trade the forex mostly and wondered if there is a way to get the buy sell pressure on Forex. I do remember seeing an indicator on another forum called the Waddah Attar explosion. I can provide the code for the MT4 version.

 

Q1> Can the Buy Pressure indicator be adapted to Forex?

 

Q2. Can the Waddah Attar Explosion be coded for Tradestation for the same purpose?

 

Thanks in advance.

 

 

 

 

if you start a new thread for Q2, you might get better response.

 

 

p.s. you can also post the mt4 code under a new Trading Indicators thread.

Edited June 17, 2009 by Tams

[trade-samarai 10]

Like any indicator, it doesn't always work. Here it shows positive Bid Pressure yet obvious falling prices. This is the original indicator taken from the TS forum.

[sunilrohira 10]

Actually it worked quite well. The green bars are decreasing. In the modified version of this, above, the decreasing bars would show up as red.

 

Acknowledgement to Blu Ray:

 

inputs:

Period(20),

UpColor(green),

DownColor(red);

 

variables:

MyVol(0),

Color(yellow),

SmoothedBA(0),

Length(squareroot(Period) ),

intrabarpersist MyCurrentBar(0),

intrabarpersist VolumeAtBid(0),

intrabarpersist VolumeAtAsk(0),

intrabarpersist BAVolRatio(0),

intrabarpersist VolTmp(0);

 

if LastBarOnChart and BarStatus(1) <> 2 then begin

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

if CurrentBar > MyCurrentBar then begin

VolumeAtBid = 0;

VolumeAtAsk = 0;

BAVolRatio = 0;

VolTmp = 0;

MyCurrentBar = CurrentBar;

end;

if InsideBid < InsideAsk then begin

if Close <= InsideBid then

VolumeAtBid = VolumeAtBid + MyVol - VolTmp

else if Close >= InsideAsk then

VolumeAtAsk = VolumeAtAsk + MyVol - VolTmp ;

end;

if VolumeAtBid > 0 and VolumeAtAsk > 0 then BAVolRatio = Log( VolumeAtAsk / VolumeAtBid );

VolTmp = MyVol ;

end ;

SmoothedBA = xaverage(xaverage(BAvolra tio, Length), Length);

if SmoothedBA <= SmoothedBA[1] then color = DownColor else color = UpColor;

 

plot1(SmoothedBA, "Pressure", color);

Plot2( 0, "ZeroLine" ) ;

[sunilrohira 10]

Soultrader, Are the colored horizontal lines in the picture, Support/Resistance or Floor Trader Pivots? Nice chart and indicator!

[sunilrohira 10]

I did post a new thread for Waddah Attar, on your recommendation. Thanks.

 

http://www.traderslaboratory.com/forums/f46/waddah-attar-explosion-6168.html

[trade-samarai 10]

Hi sunilrohira:

 

Forgive me for being a poor communicator. By "doesn't always work" what I meant was, though it often does, it doesn't always reflect the price movement. There are divergences.

 

It's interesting how different people see different things on a chart. Here's what I see.

 

- There are only 4 bid-ask bars pictured.

 

- All the bars are green and above the zero-line indicating positive bid-to-ask ratio. (I realize that you posted a slightly different version of this indicator.)

 

"The green bars are decreasing."

 

- If the all the green bars were decreasing, the 1st bar would be the highest. After all, the 1st bar is the reference point in this example. The 1st bar is the 2nd lowest bid-ask pressure, yet the price is the highest. The 2nd and 3rd bars indicate higher bid pressure than the 1st, yet the prices are obviously lower. If sellers are bailing out, they may just hit the bid, rather than negotiating for their limit ask. Meanwhile, the bid may be dropping.

 

That said, I have been using this indicator since before I found it here in this forum, for very short-term trading. It is helpful to me sometimes, but not in every case. The smoothing depletes some of the accuracy. And much of the volume may be between the bid and ask.

 

Actually, the Lee Leibfarth indicator, PZT BA PRESSURE, is a smoothed version of the TS indicator “Bid & Ask Vol Ratio.” So you might wish to check out the standard TS version as well.

 

Attached picture:

1) The bid-ask pressure is increasing but the the price is dropping (divergence).

 

also includes:

a) PZT Bid-Ask Pressure

b) Bid-Ask TL version

c) standard TS Bid-Ask Vol Ratio

 

I expect that there are more experienced traders than I that can shed some light on this subject.

(Sorry, I didn't need to upload the second pic. Too late now.)

Edited June 18, 2009 by trade-samarai
mistake

[sunilrohira 10]

I hope this indicator can be modified for Forex on Tradestation. Also please refer to the Waddah Attar indicator I posted for MT4 from another forum, which does similar things as this but works for forex on MT4. Any ideas from the expert programmers on this forum (Blu Ray, SoulTrader, Walter, Tams, Trade Samarai and many more) would be greatly appreciated. Many thanks in advance.

 

http://www.traderslaboratory.com/forums/f46/waddah-attar-explosion-6168.html

[BlowFish 10]

It can not. Volume is not reported on spot FX it iss actually bid ask changes. This indicator needs bid price ask price last price and last volume data, it is integral to how it works. You could use FX futures data or use 'upticks/downticks' as a proxy, I think it the latter would likely be pretty unsatisfactory.

[sunilrohira 10]

Blowfish, thanks for your post. How do you suggest using futures data as a proxy in the best manner, since you do not advise using upticks/downticks?

[BlowFish 10]

Simply load up the front month futures contract for the spot currency you are trading. Use the pressure indicator on that but trade the spot.

 

You might want to try upticks vs downticks as opposed to volume@bid vs colume@ask itn may suit your needs (put another way don't just go on what is a hunch on my part )

[ajax358 10]

Great indicator...thanks!! Usinf it for 2 days now, on botttom of my 116tk trading chart for NQ & ES.....it rocks!! Have it set to '13' as is faster in the turns & use it for a verifier for my MACD/Stoch system. Great job!!