Delta Buy/Sell Volume

[Fulcrum]

OK...the CD based Long trade worked out great and I am now flat. Final covers on the last 1/3'rd of the position at 1419.25 for +7.0 points.

[Fulcrum]

Just had a Long entry at 1413.00 off a pretty big CD divergence as price pulled down to 1412.00 . There was more "net" holders/buyers of Long positions at the 1412.00 pullback than the previous time price was in the area of 1412's...so I took a Long entry. Trade facilitation was slow at the time of entry, so I had my first profit target at +2.0 points and my last target at +4.0 points....my stop is at 1213.25 for the runners.

[Fulcrum]

Here is a better view of the 1412 area the first time and then later when I entered Long...you can clearly see the positive divergence in the CD as price retested the 1412.00 level.

Hope these examples help to display what I look for as entry locations (zones to buy or sell). Also, I just covered my last runners at 1416.00 for +3 points...that is plenty good enough for this trade.

[PrTester]

Here is a better view of the 1412 area the first time and then later when I entered Long...you can clearly see the positive divergence in the CD as price retested the 1412.00 level.

Hope these examples help to display what I look for as entry locations (zones to buy or sell). Also, I just covered my last runners at 1416.00 for +3 points...that is plenty good enough for this trade.

Thanks for sharing Fulcrum, very illustrative

[dkelly]

getting indicator into NinjaTrader 6.5

I'm new here. Could someone explain how to get this indicator into NT.

--Thanks

[grd974]

Hi Fulcrum,

Would you mind elaborating on the way you plot the orange line in the DeltaBuySellVolume of the CDTrade2.jpg attached file ?

I modified the BuySellVolume indicators delivered by KBJ (I wrote cumulative, SUM(x) and even a MACD of DeltaVolume) but I could not make up something in the line of what I saw on your chart.

[sbgtrading]

grd, I believe Fulcrum is using the indicator in Post# 25 to generate the orange line.

Hi Fulcrum,

Would you mind elaborating on the way you plot the orange line in the DeltaBuySellVolume of the CDTrade2.jpg attached file ?

I modified the BuySellVolume indicators delivered by KBJ (I wrote cumulative, SUM(x) and even a MACD of DeltaVolume) but I could not make up something in the line of what I saw on your chart.

[Jack Verhoeff]

can't get it to work

Hi, tried to load this indicator in beta 6.5 nut only get a 0 onthe indicator.
Can anyone help?

Thank Jack

[sbgtrading]

Hi Jack,

The bad news is this indicator, like all bid/ask volume indicators in NinjaTrader, requires live data to be gathered. It doesn't work with historical data. In other words, you must load this indicator early in the day, then as time (and trade activity) passes, the data will be gathered and the indicator output will be relevant.

Also, be aware, that any recalculation of indicators on that chart will ZERO-OUT any gathered data. There has been quite a bit of discussion on this forum concerning this and the use of globals to retain this type of data. Hopefully, that will get resolved. Until then, be aware of this limitation.

Ben

Hi, tried to load this indicator in beta 6.5 nut only get a 0 onthe indicator.
Can anyone help?

Thank Jack

[Fulcrum]

Hi Fulcrum,

Would you mind elaborating on the way you plot the orange line in the DeltaBuySellVolume of the CDTrade2.jpg attached file ?

I modified the BuySellVolume indicators delivered by KBJ (I wrote cumulative, SUM(x) and even a MACD of DeltaVolume) but I could not make up something in the line of what I saw on your chart.

The orange line is just the plot of the cumulative delta value bar by bar.....so you can watch for trends or divergences in the conviction of the buyers and sellers (those willing to enter the market with "market orders" on the bid or ask.

[Fulcrum]

I've modified the supplied BuySellVolume indicator to now show the delta (buy-sell) volume as a line plot.

Enjoy!
Ben

Is there any way to name this (intrabar) delta indicator as a separate file name from the last version which is the cumulative delta indicator...so a person can use both in separate panes?

[palinuro]

Fulcrum,
Open the file for editing, then right-click and select "Save As". The code is changed automatically.

Do you start collecting cumulative delta in premarket or only during RTH?

[Jack Verhoeff]

Thanks for the reactions!

[samiam30]

sbtrading:

Would it be possible to modify this indicator (cummulative delta version) so it would display the delta between the uptick and downtick volume.

Uptick/downtick volume:
When "Up Tick vs Down Tick Volume" is specified, each trade that occurs on or after an uptick is placed in the buy volume category, while any trade that occurs on or after a downtick is considered in the sell volume category.

[samiam30]

Thanks for coding this. Looking forward to comparing this with the cummulative bid/ask delta tomorrow.

Here is an interesting discusion about this topic:

http://www.traderslaboratory.com/forums/f34/what-is-demand-supply-volume-2994.html