Summarize Times and Sales

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SP
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Summarize Times and Sales

Postby SP » 08 Aug 2013

In contrast with the built in functionality "Aggregate Similar Ticks" this version also resets if we have the same price but the traded volume changes from traded at bid to traded at ask and vice versa.

Code: Select all

{Summarize Times and Sales based on the Breakdown by "Ask Traded vs Bid Traded" functionality. Version 1 by SP for Multicharts forum.

In contrast with the built in functionality "Aggregate Similar Ticks" this version also resets if we have the same price but the traded volume
changes from traded at bid to traded at ask and vice versa.

Chart Settings
- Open a Cumulative Delta Chart, Breakdown by "Ask Traded vs Bid Traded" , Break on Session unchecked, Build Volume On "Trade Volume, Data Range "1 Day Back"
- Recommended is to use a 1 min chart

Known bugs:
- As it uses the quote field last for the price data there is no 100 % accuracy
- Starts correct with the first price change
}
input:

Rows ( 30 ), // Number of rows displayed, max of 100
Auto.Decimals ( true ),
Dec.Places ( 2 ), // Decimalplaces for price data, only used if Auto.Decimals is set to false
Info ( "Set Time.Setting to 0 in fast markets "),
Time.Setting ( 1 ), // Setting=1 to drop hours, setting=2 to show full time, setting=0 no time
VisualSum ( true ), // Shows the summarized volume as histogram based on the multiplier
Multiplier ( 5 ), // Use higher settings for deeper markets like the ES, Bonds, FESX
Text.Size ( 8 ),
Text.Font ( "CONSOLAS" ),// Use monospaced (non-proportional) font like Consolas, Lucida Console, Courier
Seconds.Delay ( 2 ), // Calc the text position only every Seconds.Delay seconds
Ask.Color ( green ), // Color for trades at Ask
Bid.Color ( red ); // Color for trades at Bid

var:
MyDecimalPlaces ( 0 ),
ii ( 0 ),
Delay ( 0 ),
TextHighVal ( 0 ),
TextLowVal ( 0 ),
MyRows ( 0 ),
rowz ( rows+1),
MyPlottime ( 0 ),
time.string (" "),
Price.txt (" "),
//TypeOfTrade (" "),
intrabarpersist TypeOfTradeNum ( 0 ),
intrabarpersist prevTypeOfTradeNum ( 0 ),
intrabarpersist NumOfTrades ( 0 ),
intrabarpersist MyPrice ( 0 ),
intrabarpersist prevMyPrice ( 0 ),
intrabarpersist AClose ( 0 ),
intrabarpersist prevAClose ( 0 ),
intrabarpersist Trade.Size ( 0 ),
intrabarpersist CumTradeSize ( 0 ),
intrabarpersist BidAskColor ( 0 ),
intrabarpersist SalesSumStars ( "" );

array:
intrabarpersist ConsolVB.txt [101](0),
intrabarpersist ConsolVB.str [101](" --- "),
intrabarpersist ConsolVB.block [101](0),
intrabarpersist ConsolVB.col [101](getbackgroundcolor);

once
begin
MyRows = Maxlist (Rows, 100 );
for ii=0 to rows
begin
ConsolVB.txt[ii] = text_new_self_s(d,time_s,c,"text string");
text_setstyle ( ConsolVB.txt[ii],1,0);
text_setcolor ( ConsolVB.txt[ii],getbackgroundcolor);
text_setfontname ( ConsolVB.txt[ii],Text.Font);
end; //for ii=0 to rows

If Auto.Decimals = true then
MyDecimalPlaces = Log(PriceScale) / Log(10) else MyDecimalPlaces = Dec.Places;
end; //once begin

if LastBarOnChart_s and GetAppInfo(aiRealTimeCalc) = 1 then
begin
// calculate the text position once and then only every Seconds.Delay
Once
begin
Delay = ComputerDateTime+(Seconds.Delay*0.0000115740) ;
MyPlottime = intportion (MinutesToTime ((GetAppInfo (7))*60*24)*100);
TextHighVal = GetAppInfo( aiHighestDispValue );
TextLowVal = GetAppInfo( ailowestdispvalue );
text_setlocation_s (ConsolVB.txt[0],date,MyPlottime ,TextHighVal);
end; //Once


If (ComputerDateTime > Delay ) then
begin
Delay = ComputerDateTime+(Seconds.Delay*0.0000115740) ;
MyPlottime = intportion (MinutesToTime ((GetAppInfo (7))*60*24)*100);
TextHighVal = GetAppInfo( aiHighestDispValue );
TextLowVal = GetAppInfo( ailowestdispvalue );
text_setlocation_s (ConsolVB.txt[0],date,MyPlottime ,TextHighVal);
end; //If (GetAppInfo (18) = 1 and ComputerDateTime > Delay ) then

// Price string
MyPrice = Last;
AClose = Close;
// TradeSize
Trade.Size= absvalue (AClose - prevAClose );
if AClose >prevAClose then TypeOfTradeNum = 1 else TypeofTradeNum = -1;

If TypeOfTradeNum <>prevTypeOfTradeNum or MyPrice <>prevMyPrice then CumTradeSize = 0;
If TypeOfTradeNum <>prevTypeOfTradeNum or MyPrice <>prevMyPrice then NumOfTrades = 0;

CumTradeSize = CumTradeSize + Trade.Size;
NumOfTrades = NumOfTrades +1;

//set the colors based on at bid or at ask
if TypeOfTradeNum = 1 then BidAskColor=Ask.Color else BidAskColor=Bid.Color;

if CumTradeSize <= Multiplier then SalesSumStars = " *" else
if CumTradeSize > Multiplier and CumTradeSize <= 2*Multiplier then SalesSumStars = " **" else
if CumTradeSize > 2*Multiplier and CumTradeSize <= 4*Multiplier then SalesSumStars = " ***" else
if CumTradeSize > 4*Multiplier and CumTradeSize <= 6*Multiplier then SalesSumStars = " ****" else
if CumTradeSize > 6*Multiplier and CumTradeSize <= 10*Multiplier then SalesSumStars = " *****" else
if CumTradeSize > 10*Multiplier and CumTradeSize <= 20*Multiplier then SalesSumStars = " ******" else
SalesSumStars = "*******" ;


If (TypeOfTradeNum <>prevTypeOfTradeNum or MyPrice <>prevMyPrice ) then
begin

// update the rows and colors
for ii = MyRows downto 1
begin
ConsolVB.str[ii] = ConsolVB.str[ii-1];
ConsolVB.col[ii] = ConsolVB.col[ii-1];
ConsolVB.block[ii] = ConsolVB.block[ii-1];
end; //for ii = MyRows downto 1
end;
//price string

Price.txt = numtostr (Last,MyDecimalPlaces);

// fill the first array with the latest values
ConsolVB.str[0] = Price.txt + Spaces(3)+numtostr (CumTradeSize ,0)+Spaces(5 - StrLen(numtostr (CumTradeSize ,0)))
+" ("+numtostr(NumOfTrades,0)+") "+ Spaces(5 - StrLen(numtostr (NumOfTrades,0))) ;//+TypeofTrade;
ConsolVB.block[0] = Trade.Size;
ConsolVB.col[0] = BidAskColor;

if Time.Setting>0 then
begin

if Time.Setting>1 then
time.string = FormatTime ("HH:mm:ss",computerdatetime) else
time.string = FormatTime ("mm:ss",computerdatetime);

ConsolVB.str[0]= time.string +Spaces(2)+ ConsolVB.str[0] ;
end; //if Time.Setting>0 then
if VisualSum then ConsolVB.str[0]= SalesSumStars +Spaces(2)+ ConsolVB.str[0] ;

// set text strings, locations, color

for ii=1 to MyRows
begin
text_setsize (ConsolVB.txt[0], text.size);
text_setstring (ConsolVB.txt[ii], " "+ConsolVB.str[ii-1]+ " ") ;
text_setcolor (ConsolVB.txt[ii], ConsolVB.col[ii-1]);
Text_SetLocation_s (ConsolVB.txt[ii], d, MyPlottime, TextHighVal-((TextHighVal-TextLowVal)/rowz)*(ii+1));

end; //for ii=1 to MyRows

prevAClose = Aclose;
prevMyPrice = MyPrice ;
prevTypeOfTradeNum = TypeOfTradeNum ;
//end;

end; //LastBarOnChart_s


Last edited by SP on 08 Aug 2013, edited 1 time in total.

SP
Posts: 455
Joined: 06 Feb 2006
Has thanked: 36 times
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Re: Summarize Times and Sales

Postby SP » 08 Aug 2013

T+S Summarize
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