Imbalance Delta

From MultiCharts
Jump to: navigation, search

Imbalance Delta is a special style for bar representation based on the correlation of Ask/Bid volume. It requires volume data and is currently available only for Volume Delta charts.

Understanding Imbalance Delta Style

Each bar is divided into several levels. Each level has two values: Bid volume (to the left) and Ask volume (to the right). Let’s say, the upper level Bid and Ask are Bid (i) and Ask (i). Then the Bid and Ask that are one level lower are Bid (i+1) and Ask (i+1), the Bid and Ask that are two levels lower are Bid (i+2) and Ask (i+2) and so on. The comparison goes between the values placed diagonally to each other, i.e. Bid (i+1) is compared to Ask (i), Bid (i+2) — to Ask (i+1) and vice versa.

Imbalance takes values in the range of 100–10000%. The coefficient of imbalance, N, is calculated according to the following formula: N = Imbalance * 0.01.

If the imbalance is 140%, the coefficient will be N = 140 * 0.01 = 1.4

If Bid (i+1)/Ask (i) > N, then Bid (i+1) is colored red as Imbalance Sell, and Ask (i) is colored grey by Default.

If Ask (i)/Bid (i+1) > N, then Ask (i) is colored blue as Imbalance Buy, and Bid (i+1) is colored grey by Default.

If a dependency is lower than N or the compared Ask and Bid are equal, then they both are colored grey by Default.

All of the price levels are colored according to this scheme. If the imbalance = 100%, then all of the values are colored even if there’s a slight imbalance. If the imbalance = 200%, then for coloring to be done the Ask/Bid or Bid/Ask coefficient should be at least 2.

Minimal Difference between the compared Ask and Bid values is calculated before the calculation for bar coloring can begin. If the Minimal Difference condition is not met, the coloring won’t be done. For example:

Bid (i + 1) = 15, Ask (i) = 32, Imbalance % = 100%, Min Diff = 17. Ask (i) - Bid (i + 1) = 32 -15 = 17. Ask (i) will be colored blue as Imbalance Buy, because N = 1. If Minimal Difference in this example is equal to 18, then the Ask/Bid difference (17) < Minimal Difference so the coloring won’t take place, as the condition is not met.

Any difference that is less than Minimal Difference will not initiate the calculation for bar coloring.

Selecting Imbalance Delta Chart Style

Imbalance Delta chart style is available only for charts where Volume Delta is enabled.

To select the Imbalance Delta style from the Format Instrument menu:

  1. Open the Format Instrument window by one of the following methods:
    • Click the Format Instrument icon on the Chart Analysis toolbar; if the Format Objects window appears, select the symbol and click the Format button; or:
    • Position the mouse pointer over the symbol's data series; double-click once the Pointer Pointer.png changes into a Hand Hand.png; or:
    • Position the mouse pointer over the symbol's data series; once the Pointer Pointer.png changes into a Hand Hand.png, right-click and then click Format 'Symbol Name'; or:
    • Right-click on an empty area of the chart and then click Format Instrument; if the Format Objects window appears, select the symbol and click the Format button; or:
    • Select Format in the main menu and click Instrument; if the Format Objects window appears, select the symbol and click the Format button.
  2. On the Settings tab check Show Delta and select Volume Delta from the Delta Type drop-down menu.
  3. On the Style tab select Imbalance Delta from one of the 3 available chart types.

Setting Style Parameters

On the Style tab of the Format Instrument window the following style parameters can be set:

  1. Last Price Marker — enables a special label displayed on the price scale that indicates the latest price value of the data series.
  2. POC (Point of Control) — shows the price level with largest amount of traded volume.
  3. Show Imbalance Arrow — displays the arrows that show the direction in which imbalance values are being compared.
  4. Use Static Font Size — sets a fixed font size for values.
  5. Show Prices as Open to Close boxes — highlights the prices within the Open/Close interval of the bar.
  6. Show Prices as Candlestick — paints the whole body of the bar.
  7. Bar Color Based on Imbalance — bar colors based on their whole imbalance. If the sum of the colored Asks is bigger than the sum of the colored Bids, the whole bar is colored as Imbalance Buy. If the sum of colored Bids is bigger than the sum of the colored Asks, the whole bar is colored as Imbalance Sell. If the sum of colored Asks = the sum of colored Bids, the bar is colored by Default. If this option is not enabled, then the bars are colored according to the price movement: up or down.
  8. Show Invisible Price Levels — displays the price levels that were outside of the Open/Close interval.
Options 5 and 6 are mutually exclusive: it is impossible to have both of them displayed at a time. But they can be both disabled simultaneously.

Other Settings

Imbalance — allows setting the imbalance. The value can be between 100% and 10000%. It can be specified manually or selected from the drop-down list. The default value is 200%.

Minimal Difference — allows setting the Minimal Difference. The value can be between 0 and 100M. It can be specified manually or selected from the drop-down list. The value is set to 0 by default.

Bar components' settings section allows to set colors of the bar components.

NOTE: In case the chart scale is so small that the text is barely visible, the bars are displayed as Regular and are colored according to the Bar Color Based on Imbalance option.