Volume Breakdown Functionality (VB)  [SOLVED]

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msanchez
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Volume Breakdown Functionality (VB)

Postby msanchez » 28 Dec 2012

Now that you have CVD, what's the best way to create VB (Volume Breakdown) charts similar to MktDelta?

A VB Bar/Histogram is the total (# of Contracts closed on the Offer - total # of Contracts closed on the Bid) for any type of bar (candle, OHLC, Range, Renko, etc)

The most basic implementation is inserting the indicator as a Histogram on a sub-graph with Positive Delta shown in Green above the 0 line and Negative Delta shown in Red below the 0 line.

Also, there should be some sort of 4GL language symbol that could be used in trading formula script (ELA) that represents VB for a given bar.

If this doesn't exist, I would be willing to help fund its development.

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Re: Volume Breakdown Functionality (VB)

Postby arnie » 29 Dec 2012

Like this?

Image

This is already available.
On the cumulative delta settings go to Style and choose Histogram.
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Re: Volume Breakdown Functionality (VB)

Postby arnie » 29 Dec 2012

Or like this?

Image

This is called delta bars.
This is not availabe on MC.
You need to request this feature. Go here
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Re: Volume Breakdown Functionality (VB)

Postby msanchez » 29 Dec 2012

Arnie:

This last post looks like what I'm used to in MD -- thank you for your reply - Couple Questions:

1) Is that a Histogram a print of the Bid/Ask Delta of ONE BAR -- completely independent of CVD?
Or, was this Histogram created by performing some sort of (CVD[0] - CVD[1]) functionality?

2) If independent of CVD, I'm looking to have it programmed soon by an independent. What's the appropriate forum to make such a request in the ELA MC Coding community? I'm trying to convert to MChart 64 fairly soon vs. waiting a year or so for MC Versions to "catch up" to MD.

3) Would such fuctionality be an indicator in MC that could not only be added to a sub-graph, but also referenced in ELA code for conditional logic requirements? (real time tick sensative vs. waiting for the close of a bar).

Again, thank you for your reply.

Mark

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Re: Volume Breakdown Functionality (VB)

Postby arnie » 29 Dec 2012

Hey Mark,

You should read what is written below the chart.

That is not a MC chart.

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Re: Volume Breakdown Functionality (VB)

Postby msanchez » 29 Dec 2012

I understood that you had created "Delta Bars" in another platform. (perhaps MDelta)

However, I'm looking for a way to synthetically proxy the MD's VB indicator in MCharts.

Something like the following in MultiCharts:

VB[0] in Mkt Delta == (# of Closed Contracts on Offer[0] - # of Closed Contracts on Bid[0])

But, I don't know what the ELA variable names in MCharts are for # of Closed contracts on Offer[0] or Bid[0]. Nor do I know where to look for such variable names. Also, I'm not familiar with efficient ELA coding techniques, at all. I code in Korn Shell on UNIX platforms, but that's about the extent of my programming expertise.

Now, I realize that the exact equivalent of VB in MD doesn't exist in MCharts, but I'm soliciting for advice on how to "Proxy" this indicator in Mcharts. However, if you're telling me that there is no representation of (# of Closed Contracts on Offer[0] -- real time tick) in MultiCharts, then that's a more problematic issue and I may be "stuck" until the feature is added to MCharts.

Mark

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Re: Volume Breakdown Functionality (VB)

Postby arnie » 29 Dec 2012

At the moment it's not possible to code what you're requesting.

You can vote on this feature request

MD/IRT's Volume Breakdown (VB) indicator allows you to make 40 different calculations, many of which don't use any type of bid and ask volume on their calculations.
You should specify which calculations are you interested on so MC developers can see what they can do about it.

So you are interested in Delta Bars, what else?

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Re: Volume Breakdown Functionality (VB)

Postby SP » 29 Dec 2012

To get that VB per bar simple open a chart with chart type "Cumulative Delta", set Breakdown to
"Ask Traded vs. Bid Traded", set style to candlestick and important uncheck "Break on Session".

Then create an indicator as follows and set it to subchart 2.

Code: Select all

PlotPaintBar (High-c[1],Low-c[1],0,Close-c[1],"MD Per Bar" ,iff (Close-c[1]>=0,green,red),iff (Close-c[1]>=0,green,red),3 ) ;


Then you should get the same picture as in arnies post #3.

You could use this calculation in every other indicator.
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Re: Volume Breakdown Functionality (VB)

Postby arnie » 29 Dec 2012

SP wrote:To get that VB per bar simple open a chart with chart type "Cumulative Delta", set Breakdown to
"Ask Traded vs. Bid Traded", set style to candlestick and important uncheck "Break on Session".

Then create an indicator as follows and set it to subchart 2.

Code: Select all

PlotPaintBar (High-c[1],Low-c[1],0,Close-c[1],"MD Per Bar" ,iff (Close-c[1]>=0,green,red),iff (Close-c[1]>=0,green,red),3 ) ;


Then you should get the same picture as in arnies post #3.

You could use this calculation in every other indicator.



I continue to forget that cumulative delta is a complete data series with OHLC.
We can make all sort of calculations with it.

Many thanks SP.

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Re: Volume Breakdown Functionality (VB)

Postby msanchez » 29 Dec 2012

SP

ok, not being an ELA coder, I think I see what you're doing here.

1. You're leveraging that CVD bars as a running total of # of closed contracts on the offer - # of closed contracts on the bid and the math of a DELTA between the current and previous CVD bar is ---- roughly equivalent --- to the math of interrogating the real time Traded Bid/Ask Delta of a current bar, independent of history. Is that correct? (Sort of a CVD[0] - CVD[1] approach?)


2. The Histogram chart that Arnie created in post #3 is a visual representation, but I'm trying to learn how to create a VB variable in ELA code such that I can compare the real time VB[0] of the current bar to the VB[-1], VB[-2] ... VB[-n] bars in the past. I would assume that VB[0] is a REAL TIME changing value as orders close on the BID and OFFER while still building the bar; however; VB[-1] is a static value of the TOTAL Bid/Ask differential of the previously formed bar.

Now, based upon your code, an experienced ELA programmer might be able to morph your code and create such a VB variable, but I'm a bit challenged on this front and more than willing to discuss engaging assistance, on a fee based basis, to help create this solution.

Arnie is correct, Volume Breakdown in IRT and MktDelta has MANY offshoots, but I only use the most basic implementation in my RTL Token coding in MktDelta --- just VB comparisons to previous bars complemented with Higer High and Lower Low comparisons. I'm not a user of the extended VB features in Mkt Delta.

Example: I like to find range bars that have had 3 higher highs in a row and have column delta divergence on the last of the three bars, then, dynamically paint a marker above the bar in real time. (HI >HI.1 and HI > HI.2 and VB < -2 and CL < OP) So, I have three Higher Highs in a row and the most current bar in the sequence is closing lower than it's open AND .... it has negative real time VB.

In the parlance of the MD lexicon, Column Delta Divergence means that a bar makes a Higher High than the previous bar, but closes lower than the open .... AND ... has a negative VB value. (and, visa versa).

Do I have a shot here in MultCharts to do this sort of thing?

Mark

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Re: Volume Breakdown Functionality (VB)  [SOLVED]

Postby SP » 30 Dec 2012

You need a normal range chart as data 1 and insert a second Cumulative Delta chart as data 2 with the same resolution as data 1 and then create an indicator with:

Code: Select all

Inputs: TriggerValue (-2);

Vars: VB ( 0 );

//Return the Realtime VB
//For back reference use VB [1], VB [2] ...

VB = Close data (2) - c data (2) [1];

if H > H [1] and H > H [2] and Close < Open and VB< TriggerValue then
   plot1 ( H, " Delta Divergence ", red );
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Re: Volume Breakdown Functionality (VB)

Postby arjfca » 22 Jan 2013

You need a normal range chart as data 1 and insert a second Cumulative Delta chart as data 2 with the same resolution as data 1 and then create an indicator with:


SP,

Excuse my ignorance, but what is a cumulative delta chart? Is it available for Forex
Any info appreciated.

Martin

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Re: Volume Breakdown Functionality (VB)

Postby SP » 22 Jan 2013

Martin,

go to Format Instrument -> Settings -> Chart Type. It is the last option at the scroll down list.

I dont think that it is useful for forex. It is only meaningful for futures and stocks as you need the real traded volume at the bid and the ask, not the quotes of your broker.
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