Delta bars for volume delta (footprint) charts

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arnie
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Delta bars for volume delta (footprint) charts

Postby arnie » 02 Jun 2014

This study started on this thread:
viewtopic.php?f=1&t=46647

Due to the width of footprint bars, a standard candle width does not produce a good visual experience.

Here's a study that solve that issue.
Take notice that you need to add a second data series (Cumulative Delta) to achieve this.
You need also to set the open and close style as bar high and bar low respectively.
There's also a label showing the difference between the highest and lowest delta so we can keep track.

Image


Code: Select all

// 02-06-2014
// Delta Bars for Volume Delta charts
// Add Cumulative Delta bars as second data series, UNCHECK *BREAK ON SESSION* option
// Make the study based on the Cumulative Delta series

// http://www.multicharts.com/discussion/viewtopic.php?f=5&t=46652


Input:
   CandleUpColor            (rgb(32,43,57)),
   CandleDnColor            (rgb(70,34,22)),
   CandleWickColor         (rgb(30,30,30)),
   CandleBodyWidth         (80),
   CandleWickWidth         (5),
   ShowLabel            (true),
   LabelFont            ("consolas"),
   LabelColor            (rgb(40,40,40)),
   LabelSize            (8),
   ShiftLabel            (4);

variables:
   myhighdelta            (0),
   mylowdelta            (0),
   myclosedelta            (0),
   diff               (0),
   diffTXT            (-1);
   
once begin
   if ShowLabel = true then begin
      diffTXT = text_new_self_dt(datetime, myclosedelta, "");
         text_setfontname(diffTXT, LabelFont);
         text_setsize(diffTXT, LabelSize);
         text_setcolor(diffTXT, LabelColor);
         text_setstyle(diffTXT, 0, 1);
         text_lock(diffTXT, true);
   end;
end;

Plot99(0, "zero");

myclosedelta = close - close[1];   
myhighdelta = high - close[1];
mylowdelta = low -  close[1];

if myclosedelta > 0 then begin
   diff = myhighdelta - myclosedelta;
   text_setstring(diffTXT, spaces(ShiftLabel) + "___" + "-" + numtostr(diff, 0));
end
else begin
   diff = myclosedelta - mylowdelta;
   text_setstring(diffTXT, spaces(ShiftLabel) + "___" + "+" + numtostr(diff, 0));
end;

text_setlocation_dt(diffTXT, datetime, myclosedelta);
   
plot1(myhighdelta, "high", CandleWickColor);
plot2(mylowdelta, "low", CandleWickColor);
plot3(0, "open");
plot4(myclosedelta, "close");

if Close - Close[1] >= 0 then begin
   SetPlotColor(3, CandleUpColor);
   SetPlotColor(4,CandleUpColor);
end
else begin
   SetPlotColor(3, CandleDnColor);
   SetPlotColor(4,CandleDnColor);
end;

SetPlotWidth(1,CandleWickWidth);
SetPlotWidth(2,CandleWickWidth);
SetPlotWidth(3,CandleBodyWidth);
SetPlotWidth(4,CandleBodyWidth);
Attachments
delta_bars_for_footprint_charts.jpg
delta_bars_for_footprint_charts.jpg (204.88 KiB) Viewed 1877 times

BMS
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Re: Delta bars for volume delta (footprint) charts

Postby BMS » 16 Aug 2014

very nice arnie, tks
on the delta indicator would be interesting to have also:

DELTA CHANGE: the change in delta from the previous bar to the current bar.

DELTA UPTICK VS DOWNTICK: ok it is possible to have it if you open a CVD calculated on uptick and downtick, but if you want it together with a DELTA built on bid ask volume?

by the way would be interesting to have (don't know if there is already something done) a Footprint bar statistics like that on MD or SC.
regards
BMS

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swisstrader
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Re: Delta bars for volume delta (footprint) charts

Postby swisstrader » 02 Mar 2015

I found a solution with MC64 to save the trades hit at bid and hit at ask at every price for further indicator developments.
Data 1 = higher timeframe for analysis
Data 2 = 1-TICK chart
Data 3 = Cumulative Delta chart with 1-TICK resolution

-swisstrader
Attachments
swisstrader_08 Mar. 02, 2015.png
swisstrader_08 Mar. 02, 2015.png (208.32 KiB) Viewed 1357 times

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arnie
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Re: Delta bars for volume delta (footprint) charts

Postby arnie » 02 Mar 2015

swisstrader wrote:I found a solution with MC64 to save the trades hit at bid and hit at ask at every price for further indicator developments.
Data 1 = higher timeframe for analysis
Data 2 = 1-TICK chart
Data 3 = Cumulative Delta chart with 1-TICK resolution

-swisstrader


Are you plotting text?
If so, does MC becomes a bit unresponsive when you zoom or scroll the chart?

MC always become a bit unresponsive when using ABC's unstaked TPO study. All that text being plotted makes zooming and scrolling an adventure, specially if you load more then 5 days.

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swisstrader
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Re: Delta bars for volume delta (footprint) charts

Postby swisstrader » 02 Mar 2015

The text I only plot to check my saved data with MC internal Volume Delta footprint chart.
With um Delta in 1-TICK resolution I calculate back the trade hit at bid or at ask and save it based
on data 2 1-TICK price reference.
Attachments
swisstrader_09 Mar. 02, 2015.png
swisstrader_09 Mar. 02, 2015.png (97.62 KiB) Viewed 1334 times


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