Bid-Ask Tape Indicator

[Soultrader 12]

Here's an indicator I requested and was created by Insideday. Its a simple indicator that calculates the number of contracts at the Ask minus Bid off the tape. Basically, I'm interested in seeing if there are more lots at the ask vs the bid at key price levels such as pivots. Im also interested in seeing the difference during a tight range in anticipation of a breakout.

 

I personally plot this on a TICK chart and the indicator as a histogram. See attachment for screenshots.

 

Created by Insideday.

Please do not redistribute without the permission of Insideday.

BIDASKINDICATOR.ELD

[TinGull 10]

James, for what it's worth...look at my bars...looks very similar. Looks you hit a winner here That big divergence coming into VAH on the ER2...money in the BANK!

[Blu-Ray 10]

James

 

Thanks very much for this indicator, as you mention, I'm also really looking forward to see how it reacts on key pivot levels.

 

 

Cheers

 

Blu-Ray

[slableak 10]

When the bars start turning green for a long is that pretty much the entry signal? Or do you look at the red bars and see if they are getting smaller? Do you have any tick frames you like to use it on for the ER2?

thanks!

[darthtrader 10]

interesting, i missed this one.

Soultrader has that volume delta indicator you use replaced this in a way for you? One thing I notice with this vs volume delta is plotting the bars in the opposite direction looks easier to read. wouldn't that improve volume delta?

[Nick1984 10]

Isn't this just the same as the voloume delta indicator you use but just shown in a different way?

[dfarns 10]

Could someone post the text of this .eld so I can try to make it into an .ela.

 

Thanks, Dan

[Guest cooter]

Isn't this just the same as the voloume delta indicator you use but just shown in a different way?

 

Yeah, I think it is. If you really want to get the most out of this one (or the volume/tick delta), you might want to look at aggregate volume over x number of periods, such as 7 or 14 bars.

 

All I can say is that looking at 1 bar delta volume just does not compare to seeing the 7 or 14 bar delta volume. Try it and see.

[Tasuki 10]

When I plot this indicator on a 233 tick chart of the @NQ, all I get is a straight line (Tradestation version 8.2 build 3896). I tried changing the settings so the "for volume use:" said "tick count" and then I put it back to "trade vol" but in both cases I got the same straight line. Now, I'm trying this late at night on a Saturday, so maybe it only works with a live chart?

[walterw 10]

When I plot this indicator on a 233 tick chart of the @NQ, all I get is a straight line (Tradestation version 8.2 build 3896). I tried changing the settings so the "for volume use:" said "tick count" and then I put it back to "trade vol" but in both cases I got the same straight line. Now, I'm trying this late at night on a Saturday, so maybe it only works with a live chart?

 

 

Yeap.... he only works on live data..

 

try this one http://www.traderslaboratory.com/forums/f46/volume-delta-indicator-1153.html he works on historical data.... cheers Walter.

[Tasuki 10]

Thanks, Walter. Correct me (please) if I'm wrong, but the Volume Delta records actual trades, buys and sells, whereas the bid/ask tape indicator records bids and asks, namely people who SAY they're going to buy or sell, but they may or may not actually do so, if they pull their bids/offers before they're executed. Am I right about this?

[walterw 10]

Thanks, Walter. Correct me (please) if I'm wrong, but the Volume Delta records actual trades, buys and sells, whereas the bid/ask tape indicator records bids and asks, namely people who SAY they're going to buy or sell, but they may or may not actually do so, if they pull their bids/offers before they're executed. Am I right about this?

 

 

NO... in this case Delta analisis is about the volume of trades that where executed on wich side (executed trades)... all trades are market from one side limit the other... the market side is considered the compulsive side (leading side) so you are basicly tracking which side the most market orders are being done... gauging the probable market bias... alias Delta... hope helps, cheers Walter.

[DIAgeezer 10]

For what its worth...TradeTheMarkets have just announced that they will soon be selling a Delta Divergence indicator that has been developed by MarketDelta.com for TradeStation. They've not said how much they will be charging , but it'll probably be between $550-$750. Its looks very much like this indicator...however it paints a magenta or blue bar when there is a divergence between the price bar direction and the bid/ask volume.

 

Cheers

alan

[zdo 20]

What is Delta Divergence? Thanks.

[marketguy 11]

It would be so fabulous if someone could add dots indicating divergence at new highs or lows. It is so easy to miss without them. The Market Delta version also allows an audible alarm to be set in addition to the dots.

 

Thanks

[mishnas 10]

I've been watching this indicator on a 5-min chart and it seems to work beautifully. What is the advantage of ploting it on a tick basis?

[sean 10]

Can any one help with Bid-Ask Tape Indicator?

 

Need help to plot different color for Divergence.

 

If bar price are green (up) and Bid-Ask Tape Indicator red(more down ticks ) plot different color (blue ) on Bid-Ask Tape Indicator

 

Or

 

If bar price are red (down) and Bid-Ask Tape Indicator green(more up ticks ) plot different color (blue) on Bid-Ask Tape Indicator

 

Thanks in advance

Sean

[zdo 20]

If bar price are green (up) and Bid-Ask Tape Indicator red(more down ticks ) plot different color (blue ) on Bid-Ask Tape Indicator

Or

 

If bar price are red (down) and Bid-Ask Tape Indicator green(more up ticks ) plot different color (blue) on Bid-Ask Tape Indicator

 

Sean,

 

Wasn't quite sure of your definition of up (or down) bar but here's a template. You can change the price logic to match candles or whatever you mean by green (and red).

 

Also, you might consider logic along the lines of

if green and (h[0] > h[1]) and (BAVolDiff[0] < (BAVolDiff[1] *x)) ?? etc

 

btw This verifies but has not been tested. Let me know if you have difficulties with it on Monday in real time.

 

inputs: 
UpColor(green), 
DownColor(red),
            DivColor(Blue)  // new code
;

variables: 

MyVol(0), 
Color(yellow), 
intrabarpersist MyCurrentBar(0), 
intrabarpersist VolumeAtBid(0), 
intrabarpersist VolumeAtAsk(0), 
intrabarpersist BAVolDiff(0), 
intrabarpersist VolTmp(0); 

if LastBarOnChart then begin 
  	MyVol = Iff(BarType < 2, Ticks, Volume); 
if CurrentBar > MyCurrentBar then begin 
	VolumeAtBid = 0; 
	VolumeAtAsk = 0; 
	BAVolDiff= 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	BAVolDiff= VolumeAtAsk-VolumeAtBid ; 
VolTmp = MyVol ; 
end ; 
if BAVolDiff<= 0 then 
color = DownColor 
else 
color = UpColor; 

//new code
if (c > c[0] and color = DownColor) or
  (c < c[0] and color = UpColor)	then 
color = DivColor;



plot1(BAVolDiff, "BAVolDiff", color); 
Plot2( 0, "ZeroLine" ) ;

 

 

hth

 

zdo

[sean 10]

I mean price up = green candle

[sean 10]

great Thanks

[sean 10]

This is not working real time

I am still getting (green or up candle) and red negative ticks (more down ticks)

 

I am trying to get different color when there is Divergence between price action and tick action

 

 

Thanks in advance

sean

[zdo 20]

This is not working real time

I am still getting (green or up candle) and red negative ticks (more down ticks)

 

I am trying to get different color when there is Divergence between price action and tick action

 

 

Thanks in advance

sean

 

Try this edit for starters

 

CHANGE:

 

if (c > c[0] and color = DownColor) or

(c < c[0] and color = UpColor) then

color = DivColor;

 

TO

 

if (c > c[1] and color = DownColor) or

(c < c[1] and color = UpColor) then

color = DivColor;

 

Let me know if 'it still don't work'

 

I resent you pointing out my mental deficiencies :doh:

[sean 10]

Thanks I will try it tomorrow

[james_gsx 16]

I just plugged it in using the changes zdo posted, works great so far! Thanks!

[marketguy 11]

Could you possibly make this into an ELD? I am having trouble getting it right. Thanks.

 

Bryan