Hi all. I was hoping if anyone here could help me make an edit to the Volume Delta Grid to include a line that calculates the Delta to Volume Ratio (in percentage) per Bar if possible. For instance, if the net Delta for a 5 minute bar is 5000 and the volume is 50000 the output would read (10%). If its a negative Delta then the absolute value would be used to calculate the ratio instead. Thank you all for your time and guidance.
Hi DeltaNerd. On the data box you can see the Delta and total volume for each Bar, plus or minus. It works if you just quickly calculate the ratio in your head: I use the following mind meme:
is it percentage wise plus or minus and is is 10% of volume , 20% of volume or greater. It keeps my neurons firing instead of getting plegmatic. But all suggestions aside I would love to hack it. Suggest you contact Tradovate support and ask them to work on it! I just do not have the time/resources to do a major hack. The logical place to add it is on the DataBox! in my humble opinion. Anyone else work on this and has the time/resources, let me know. Best to all
did anyone resolve this? still thik it is a great idea to have the Net Delta Change percentage of volume added to the Databox for each time or sequence selected.
Hi DeltaNerd: a response and a request for assistance, see below
- What time parsing do you have as a setting: 1 min? 3 min, 5min?
Yes , I can see Exactly what rows are you calculating to derive the Delta Volume as a percentage of total Bar Volume
Ex. 333/5365 in last column =.0625 rounded off to .061% vs pervious column 6389/56146=.113798 rounded off to 11.38%.
To the discerning trader this alerts to a significant shift in auction behavior by a factor of exactly 1.865 ( .1138/.061= 1.85)
Which is reflected in the Bulls/Bears volume indicator on the top of the Grid.
Looks good, can you advise how I can download this latest modification for use at Tradovate? I would like to use it.
Further Discussion if interested
On a more theoretical basis Work = Force x distance; which if we recall Newton’s second law tells us that Force net = mass x acceleration. Remembering that Kinetic Energy depends on the velocity of the object squared. So this means that when the velocity of the object doubles, it’s kinetic energy quadruples. For instance “a ball”traveling at 60 mph has 4 times the kinetic energy of an “identical ball” traveling at 30 mph, hence 4 times the potential. Substituting Delta for relative measure of speed as an approximation of either accelerating or deaccelerating the auction process (lifting or lowering the closing price across any set period of time) will give us some indication of momentum that is more accurate than can be derived from previous grids. We must be cautious as we need to remember that Kinetic energy is not a Vector!- indicating direction in and off itself. A delta of +11% of total volume in one particular segment of time is also not necessarily equivalent to 11%of Minus Delta of total Volume at another time. Since we do not now what the Potential or implied energy is relative to the Auction itself.
We might want to attempt to infer this with a stochastic scaler process, which we do have available… I suggest that in addition to the Bulls Bears a further indicator utilizing a stochastic would be appropriate. If the trader has a time horizon of reasonably short duration then the stochastic would have more utility in rendering a multi-time frame measure of velocity of delta being applied to the current auction process, if you ‘get my drift’… appreciate your help, energy and welcome any and all comments.
I welcome your comments and assistance.
7/9/2023 11:27 AM
Hi Delta Nerd:
If you want to, you can go to community indicators (where the “3 heads are” and look at the Files: setting and click one the name of the Volume Grid version you had originally installed;
If you want to I will work with you on it: it should be doable if we then compare the Code Files with each other. I would then try to send you my result based on what yours shows.
Good exercise in autodidactic learning code, which is how I have done it, in isolation.
Seems like you have a good head on your shoulders and are motivated.
It will show you (in detail in the lines what you changed to add the Delta % Bars on the indicator you are presently using for the Volume Delta Grid)
If you are able, I would appreciate your sharing the lines you changed to insert the % Volume Delta Ratio. You would have to copy it
Out as the Tradovate platform does not allow copy and paste of code directly.
Your alteration of the original code in my opinion is creative, imaginative and useful.
*If you are able let me suggest ,it also would be good to have rather the %Volume Delta Ratio calculated for the Cumulative Delta Volume vs the Ratio for the day instead of the total Bar Volume for the day.
That way you are able to mathematically have verification of the more exact time period in which a major shift in large buying/selling orders are lifting or lowering the price.
7/9/2023 7:23 PM
To Delta Nerd:
Number 2 reply: For your Eyes only. Earlier this evening while I was looking at your first reply, I want to share with you about
the utility I find in the Stochastic. On a 3 minute chart you can verify the following.
FROM TIME 17:33 CLOSE OF 15149 TO 18:09 Close of 15169 was a lift of 20 pts in 20 mnutes
On the NQ that is $20 per minute on one /NQ contract. Great work. Look at what the Stochastic shows. For one contract that is $400.00 profit. Night Trade is done!
I placed the chart below it for you personally . Note the 2 Yellow lines I drew showing you the reference pts I am addressing: then carefully examine the stochastic
Finally go to the link here if you want to learn more about the Stochastic indicator: https://www.fidelity.com/learning-center/trading-investing/technical-analysis/technical-indicator-guide/slow-stochastic
Stochastic (base on range of 100 as a scaler indicator moved from oversold under 10 to overbought over 90 and then dropped below the 90… The Green dotted line is the Fast and the Red is the Slow stochastic.
Hi @DeltaNerd, would it be possible for you to post the lines of code you added to display the % on the table? Thank you
to Khaled and Delta Nerd:
Apparently Delta Nerd since Delta nerd has not responded to our mutual inquiry regards how he hacked the Volume Grid in order to calculate the very desireable percentage that Net Delta/Volume Bar as of yet, we are left to our own devices. I would appreciate anyone to join in this Tread to help us make the Volume Grid even more useful!. Anyone that can cooperate and help tweek the code and show it online here would be useful… May you be well and profitable… Best Fred July 25, 2023