Volume Delta Indicator

[Soultrader 12]

This is an interesting indicator created by Walterw. The Volume Delta plots the number up volume (green) and number of down volume (red) with the larger of the two always on top. This is a very useful visual tool to judge buyers vs sellers per bar.

 

All credits go out to Walterw for the TICK Delta. Also check out the oscillator version of this indicator.

 

Screenshots are attached.

VOLUME DELTA.ELD

[ItalianSharp 10]

Is there an eSignal version of this useful volume indicator? It's very visual and gives you an immediate snapshot of supply/demand at key S/R points.

 

Props to the creator.

[notouch 10]

Yes there is check out the esignal central website. It's called BidAskVolume.efs or something. Produced by a member of the eSignal development team.

[ItalianSharp 10]

Yes there is check out the esignal central website. It's called BidAskVolume.efs or something. Produced by a member of the eSignal development team.

 

Thanks!

 

I just found it...it only works with live data yet it's an excellent indicator...

[jpan12 10]

Hi Guys,

 

Is this indicator available for MT4? if so where can I download it from?

 

Cheers

 

J = )

[torero 10]

MT4 is mostly for forex. Might want to check with Forex Forum, Forex Calendar, Forex News @ Forex Factory

[ItalianSharp 10]

I believe this is one of the most powerful indicators you can use as a trader.

 

I've always been interested in volume and tried to figure out an efficient way to use it but to no avail. Volume by itself only tells me how many participants and how much action there is at any given point.

 

With volume delta you can literally see who's winning the battle in the trenches at key pivot points. I think it's a great tool for timing entries and exits and it helps enormously to manage the trade properly.

 

Now I finally know what to make out of volume. )

 

Since I am an eSignal user, this indicator is only available for live data. This totally sucks because if you switch timeframe in your charts, the volume delta must be re-plotted from scratch.

 

Is any other eSignal user aware of this problem and is there a solution to this?

 

Are you TS users allowed to reload your charts and still see the volume delta bars from the beginning of the trading sessions or even previous days?

 

IS

[nickm001 10]

in TS if you were to use Up/DN Volume... it would be only RT.... What Delta Indicator is doing is using UpTIcks/DownTicks instead to approximate volume. This change also allows historical back testing.. (data is always available, not only in RT)

[Guest cooter]

What Delta Indicator is doing is using UpTIcks/DownTicks instead to approximate volume.

 

It is NOT approximating volume - it IS volume.

 

UpTicks + DownTicks = Ticks, which on a intraday, minute or tick chart in TS is the Total Volume per bar.

[nickm001 10]

not really... Tick = trade and each trade can be 1 or many contracts... Real volume would be measured in contracts, not the number of trades.

[walterw 10]

not really... Tick = trade and each trade can be 1 or many contracts... Real volume would be measured in contracts, not the number of trades.

 

Hi nickm : we found out that the histogram of this indicator is exactly the same to volume... you can make a comparisson adding the volume indicator...

 

So we came to the conclussion that this was not a Tick Delta but a Volume Delta... cheers Walter.

[Guest cooter]

not really... Tick = trade and each trade can be 1 or many contracts... Real volume would be measured in contracts, not the number of trades.

 

Walter is correct. You might also want to check your TS help guide - there is a section which explicitly defines and explains the relationship between Ticks, UpTicks, DownTicks and Volume (plus Open Interest) as it is used on the TS platform.

[nickm001 10]

we are both correct (imagine that! )... pending on how the chart is setup...

""""""""""""""""""""""""""""""""""""

The keyword "Ticks" with "Trade Vol" selected shows the number of contracts traded over all transactions during the bar.

The keyword "Ticks" with "Tick Count" selected shows the number of transactions occurring during the bar and ignores the number of contracts traded.

 

"""""""""""""""""""""""""""""""""""""""

and for detailed explanation see the following link

 

https://www.tradestation.com/wiki/display/EasyLanguage/Understanding%20Volume#UnderstandingVolume-bookmarka

[Guest cooter]

 

https://www.tradestation.com/wiki/display/EasyLanguage/Understanding%20Volume#UnderstandingVolume-bookmarka

 

Perfect! That's exactly what I was referring to as well. Thanks for posting the link.

[epiktetos 10]

More thoughts on the Ticks Issue and an improvement suggested by a TS user

 

TS uses the following rules when assigning a tick to the reserved word UpTicks:An uptick is a tick whose price is higher than that of the previous tick of a different price. Thus, if tick 1 occurs at a given price, tick 2 occurs at a higher price, and tick 3 occurs at the same price as tick 2, both tick 2 and tick 3 are counted as upticks.

 

Here is an improvement that will only count an up tick if the tick > last tick and a down tick if a tick < last tick. If you find that the TS definitions for the reserved words Up/DownTicks is not to your liking you may want to try these functions in place of the reserved words.

 

Up_Ticks Function

// Up_Ticks Function

vars:
       IntraBarPersist Last_Tick        ( 0 ) ,
       IntraBarPersist MyCurrentBar    ( 0 ) ,
       IntraBarPersist Count                ( 0 ) ;


if GetAppInfo( aiRealTimeCalc ) = 1 then { real-time tick - not on bar in history }
begin
       if CurrentBar > MyCurrentBar then
               begin
                       Up_Ticks = 0 ;
                       Count = 0 ;
               end ;

       if Close > Last_Tick then
               Count = Count + UpTicks ;

Last_Tick = Close ;
MyCurrentBar = CurrentBar ;

end ;

Up_Ticks = Count ;




// Dn_Ticks Function

vars:
       IntraBarPersist Last_Tick        ( 0 ) ,
       IntraBarPersist MyCurrentBar    ( 0 ) ,
       IntraBarPersist Count                ( 0 ) ;


if GetAppInfo( aiRealTimeCalc ) = 1 then { real-time tick - not on bar in history }
begin
       if CurrentBar > MyCurrentBar then
               begin
                       Dn_Ticks = 0 ;
                       Count = 0 ;
               end ;

       if Close < Last_Tick then
               Count = Count + DownTicks ;

Last_Tick = Close ;
MyCurrentBar = CurrentBar ;

end ;

Dn_Ticks = Count ;

[Guest cooter]

More thoughts on the Ticks Issue and an improvement suggested by a TS user

 

TS uses the following rules when assigning a tick to the reserved word UpTicks:An uptick is a tick whose price is higher than that of the previous tick of a different price. Thus, if tick 1 occurs at a given price, tick 2 occurs at a higher price, and tick 3 occurs at the same price as tick 2, both tick 2 and tick 3 are counted as upticks.

 

Here is an improvement that will only count an up tick if the tick > last tick and a down tick if a tick < last tick. If you find that the TS definitions for the reserved words Up/DownTicks is not to your liking you may want to try these functions in place of the reserved words.

 

Up_Ticks Function

// Up_Ticks Function

vars:
       IntraBarPersist Last_Tick        ( 0 ) ,
       IntraBarPersist MyCurrentBar    ( 0 ) ,
       IntraBarPersist Count                ( 0 ) ;


if GetAppInfo( aiRealTimeCalc ) = 1 then { real-time tick - not on bar in history }
begin
       if CurrentBar > MyCurrentBar then
               begin
                       Up_Ticks = 0 ;
                       Count = 0 ;
               end ;

       if Close > Last_Tick then
               Count = Count + UpTicks ;

Last_Tick = Close ;
MyCurrentBar = CurrentBar ;

end ;

Up_Ticks = Count ;




// Dn_Ticks Function

vars:
       IntraBarPersist Last_Tick        ( 0 ) ,
       IntraBarPersist MyCurrentBar    ( 0 ) ,
       IntraBarPersist Count                ( 0 ) ;


if GetAppInfo( aiRealTimeCalc ) = 1 then { real-time tick - not on bar in history }
begin
       if CurrentBar > MyCurrentBar then
               begin
                       Dn_Ticks = 0 ;
                       Count = 0 ;
               end ;

       if Close < Last_Tick then
               Count = Count + DownTicks ;

Last_Tick = Close ;
MyCurrentBar = CurrentBar ;

end ;

Dn_Ticks = Count ;

 

This is interesting. Could you illustrate the difference visually on a chart for us to see?

 

With this function it seems you'll then have the issue of so-called "Un_Changed Ticks", since your Up_Ticks + Dn_Ticks will not equal the Total Ticks, right?

 

So you'd probably want a function to count these "Un_Changed Ticks" as well, just for the sake of completeness.

[jojojo 10]

For all who are interested here's a link which leads quite a bid further :

 

https://www.tradestation.com/Discussions/Topic.aspx?Topic_ID=51615

 

very interesting stuff

 

Regs Jojo

 

sorry the real stuff is here :

 

https://www.tradestation.com/discussions/Topic.aspx?Topic_ID=41825

[dfarns 10]

I may be the only person here using TS2000i, but it would sure be nice to see an indicator like Volume Delta in it's text form so I could write it into an .ela .

 

Dan

[Crazynasdaq 10]

Here I try to convert the indicator from TS8 to TS2000i.....I try, but I don't know if it works because I don't use it since time.

 

{ WAV_Vol_3 Indicator WAV 8/20/05

 

intended for intra-day sessions only

 

plots histogram showing both upTicks and DownTicks for a bar in

real time - the larger of the 2 is always shown on top

 

plots volume average

 

plots mid-point of total average as a dot

 

}

inputs:

 

UpColor(green),

DnColor(red);

 

vars:

VolAvg(0), {//plotted vol avg}

Vol(0); {//intra-bar volume (ticks)}

 

{//only for intra-day}

if Datacompression < 2 then

begin

Vol = ticks; {//sum of upticks and downticks}

 

 

 

 

{//do not change order of following

//be sure both plot3 and plo4 are same width}

if UpTicks < DownTicks then

begin

plot3(UpTicks,"UpDn",UpColor);

plot4(vol,"Total",DnColor);

end else

begin

plot3(DownTicks,"UpDn",DnColor);

plot4(vol,"Total",UpColor);

end;

 

{//plot mid point of total ticks with a dot

//dot should fit within histogram}

 

 

end;{//if BarType}

[jilln 10]

When I install this, the bar height is always the same as the tick count for the chart, e.g. 144, 233. What am I doing wrong?

[Guest forsearch]

When I install this, the bar height is always the same as the tick count for the chart, e.g. 144, 233. What am I doing wrong?

 

Please post a pic of what you are seeing, and let us know which app you are trying to run this on.

[daedalus 10]

you need to adjust your tick chart to calculate trades using trade volume, not tick count.

 

Format Symbol > Settings Tab > For Volume, use: Trade Vol. (Dropdown).

 

Save settings and the chart should change.

 

Cheers!

[jilln 10]

Thank you. That fixed it.

[metalhead 10]

Hi, I just found this thread. I'm not sure I understand how this indicator is supposed to be used. I understand how the data is derived, but how does on use it? Thanks.

[allforex1 10]

great indicator,

 

please develope your idea woth this 2 thread:

 

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

 

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

 

 

please code it also for mc.

 

thanks