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You addressed your question to "Gary" but I assume you mean me since I posted that code.
The reserved word "Upticks" is defined as:
Returns the number of ticks on a bar whose value is higher
than the tick immediately preceding it. Returns the Up volume
of a bar when Trade Volume is used for the chart.
So "Upticks - DownTicks" would be:
Returns the sum of the number of contracts whose trade was
at a value higher than that of the tick immediately preceding
it, minus the number of contracts whose trade was at a value
lower than that of the tick immediately preceding it
My code determines the following:
This indicator calculates the sum of the number of
contracts traded at the ask price minus the number of
contracts traded at the bid price within each bar.
It also plots an exponential moving average of the
values. It only works on real-time data.
The two things are not the same. One compared the trade price with the previous trade and the other compares the trade price with the bid/ask price.
Bob Fulks
At 11:34 AM 9/25/2007, Bob Perry wrote:
>Hi Gary,
>Please excuse my ignorance, as I have not kept up on the current functions and commands in TS8. I have tried going to the TS forums and still don't understand - Could you explain the differences in the the way the code you posted works and say:
>
>(#1)
>Plot1(Upticks - DownTicks,"VolDiff");
>
>Plotted on an emini chart, building volume on trade volume (not ticks), and updating every tick? I plotted both of them on the same chart and they are both very different from each other.
>
>Also,
>I have always wanted to have an indicator show me visually what is going on in "time and sales" as it flows along almost too fast for me to see sometimes. So, I constructed another indicator I use alot and do a lot of statistical analysis on:
>
>(#2)
>CumVol = CumVol[1] + Upticks - DownTicks;
>
>Again, on volume, not ticks.
>
>Please, break it to me gently, am I not seeing the net actual contracts traded in #1, and not seeing the cumulative summation of actual contracts traded in #2 even though the indicators are built on volume and not ticks?
>
>I have replaced all my oscillators with a form of #2 and it seems to work quite well for scalping as opposed to watching T&S whiz by and trying to detirmine if there is more green than red.
>
>(I attached a .jpg, tho I don't know if it made it through.)
>
>Thanks,
>Bob Perry
>Los Altos, CA
>
>
>omega-digest-request@xxxxxxxxxx wrote:
>
>Date: Sun, 23 Sep 2007 09:53:40 -0400
>From: Bob Fulks <bobfulks@xxxxxxxxxx>
>To: "jbclem1" <jbclem1@xxxxxxxxxxx>
>CC: "Omega List" <omega-list@xxxxxxxxxx>
>Subject: Re: Daytrading volume indicator...need some help
>
>At 12:00 AM 9/23/2007, you wrote:
>
>>I'd appreciate some help, I think this would be a valuable indicator for stock or futures daytraders, showing what the large traders are doing.
>
>Here is something similar. It doesn't filter the trades by size but that should be easy to add.
>
>This only works on a live data feed since the stored data base does not include the required data. So it starts plotting values only after it sees new data coming in, not on all the past data on the chart.
>
>It works only on TS8.2 and later TS versions.
>
>Bob Fulks
>
>
>{***************************************************************************
>
>Description: This indicator calculates the sum of the number of
>contracts traded at the ask price minus the number of
>contracts traded at the bid price within each bar.
>It also plots an exponential moving average of the
>values. It only works on real-time data.
>
>Written by: Bob Fulks
>
>Date: 08/03/07
>
>***************************************************************************}
>
>Input: Length(20);
>
>Var: intrabarpersist LTicks(0);
>Var: intrabarpersist TSize(0);
>Var: intrabarpersist Sum(0);
>Var: intrabarpersist LSum(0);
>
>if LastBarOnChart then begin
>TSize = Ticks - LTicks; // find trade size
>if Close = CurrentBid then Sum = Sum - TSize;
>if Close = CurrentAsk then Sum = Sum + TSize;
>LTicks = Ticks; // save last value
>if BarStatus(1) = 2 then begin
>LSum = Sum; // on last tick of bar
>Sum = 0; // ... save value and reset
>end;
>Plot1(LSum, "Sum");
>Plot2(XAverage(LSum, Length), "Avg");
>if LSum > 0
>then SetPlotColor(1, DarkBlue)
>else SetPlotColor(1, DarkRed);
>end;
>
>
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