Time and Sales Balance Counter

Custom Indicators
1

Is there currently any way to access the Time and Sales data from within a custom indicator script?

I am interested in building a simple counter that dynamically sums up all of the sales that print to the Tick Stream—where every green print would add to the running total and every red print subtracts from the running total.

During fast market activity, it is hard to get a sense of whether buyers/sellers are in control from the frantic flurry of prints that populate the Tick Stream.

For example, it is impossible from a quick glance at the info below to get a sense for whether price has been trending up or down—this is the case even when sale info is colored green/red, as in the Tick Stream (for the purposes of this example I have used negative number wherever Tradovate would have colored the line in red).

However, a simple counter (as shown at the bottom), would allow one to get an instant idea as to the momentum/direction of the current price.

Any thoughts on how to implement this?

timestamp price size
11:46:46 $1,263 5
11:46:45 $1,261 3
11:46:44 $1,260 -1
11:46:43 $1,262 1
11:46:42 $1,259 2
11:46:41 $1,258 -5
11:46:40 $1,259 2
11:46:39 $1,256 -4
11:46:38 $1,258 -1
11:46:37 $1,260 -3
11:46:36 $1,263 -4
11:46:35 $1,266 -5
11:46:34 $1,267 5
11:46:33 $1,265 1
11:46:32 $1,263 2
11:46:31 $1,260 -4
11:46:30 $1,261 4
11:46:29 $1,257 -5
11:46:28 $1,258 2
11:46:27 $1,257 -1
11:46:26 $1,260 3
11:46:25 $1,256 5
11:46:24 $1,254 3
11:46:23 $1,254 1
11:46:22 $1,251 4
11:46:21 $1,248 -3
11:46:20 $1,249 3
11:46:19 $1,248 -4

Tick Counter:
Green Sales: 46
Red Sales: -40
Tape Balance 6

2

I’m also interested in build my own Time and Sales due the limitation of configuration of the actual one.

3

Here’s how you can created a pretty simple alternate time and sales stream using just 1 indicator:

  • Install the “Delta Candle” indicator.
  • Open a chart using a 1 Tick time frame.
  • Insert Delta Candle indicator.

How it works:

Every positive or negative delta on the Delta Candle indicator corresponds to whether contracts were aggressively bought or sold. The height of the candle indicates the volume (on the Y-axis) that was bought or sold per tick. The candle stick chart will be a bunch of neutral candles that will keep a historical visual record of the price per tick.

So you end up with an horizontal tick stream that clearly defines volume of bought and sold contracts per tick while also keeping a historical visual record of the price action.

One draw back is that the 1 Tick chart can slow down the platform a bit so the smoothness of the platform will depend on your pc or how much is already going on.

Happy trading!

4

Creative, Thanks,

Fyi, you could obviously filter it for other ticks… say 100… more robust.

Remembering the fundamental definition of Tick. A tick chart draws a new bar after a set number of trades… For example

On a very active Futures like NQ 500 ticks would be a good start… since for example 500,000 contracts traded today on NQ

That means you would look at the vast number of trades. So cutting it to 10 shows 5000 posted time and sales steams on the histogram…When you see that 390 minutes total trade minutes per day (6:30 to 4pm) exist you then

Have the following 13 transactional Time&Sales Indicators for per one minute or … a little transaction indicator approx 4.6. rounded up to

5 Time and Sales indicators every minute. That would be sufficient for my eyes and brain to process. The filtering makes me feel more comfortable and less reactive.

Best to U.

5

I think I understand what you’re saying and I agree, grouping the ticks in chunks is definitely the way to go, less noise for sure. Another drawback with this alternate time and sales is that you can’t really filter out by volume so a good way around that would be to just draw a horizontal line at the desire volume cut off and only pay attention to what delta breaks the threshold.

Now that I think of it though, to answers OP’s need, wouldn’t just a cumulative delta (I like the Tiki one) be what he’s looking for? Bid volume data against Ask volume data over time. Maybe also have one daily chart off to the side with the “Volume Delta Grid” indicator to have an inside look at the session delta info (i.e bid volume/ask volume, etc).

6

On Point, as a matter of Fact I do use the Tiki Cum Delta Indicator…
It is pretty good. The Volume Grid also.
I find tht the Volume Grid is almost useless in a fast market unless you have a very fast hand to eye recognition and are able to actually make decisions based on the matrix, while the Cum Delta is graphical user friendly and accomplishes much the same with less details.
Always the decision lies with the individual. Signal to Noise, also keeping in mind that the Chart is only a Map for the actual thing in itself, the market in real time! Best to all :slight_smile: Fred 7-25=23 " Keep on Keeping on" my fellow Tradovates’