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Time And Sales Delta

The indicator displays the delta and the cumulative delta based on the "Time and Sales" trade list data.

Using the rectangle, user can select an arbitrary area on the chart to view the ratio of the volumes of deals of buyers and sellers within this area.

Input variables:

  • Ticks - size of history.
  • Mode - indicator modes:
    • Deals - volumes of buy and sell deals.
    • Delta - difference between the volumes of buy and sell deals.
    • CumulativeDelta - cumulative difference between the volumes of buy and sell deals.
  • ViewPoint - view point:
    • Limit - in terms of limit orders.
    • Market - in terms of market orders.
  • Calculation - calculation mode:
    • Events - in units of deals events (in ticks).
    • Contracts - in units of volumes of deals (in contracts).
  • CumulativeStartTime - starting date/time for cumulative delta.
  • CumulativePeriod - period for cumulative display of Mode list modes.
  • ExceedanceContracts - from the list of deals will be taken deals with the volume not lower than the specified value.
  • RecalculationTiming - recalculation frequency, set in seconds.
  • RectangleColor - rectangle color forced.
  • RectangleFontColor - font color forced.
  • RectanglePositiveColor - rectangle color and font color for positive delta.
  • RectangleNegativeColor - rectangle color and font color for negative delta.
  • RectangleNeutralColor - rectangle color and font color for neutral delta.
  • RectanglePrefix - when you create the rectangle you must replace the word "Rectangle" with this prefix in its name.
  • RectangleAutoPrice - automatic positioning of the rectangle at the top and bottom price.
  • RectangleFontSize - font size.

Indicator features:

The indicator works only on those trading symbols for which the list of deals "Time and Sales" is broadcast.

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Version 1.3 2019.02.10
Added a painting of the indicator histogram for candles whose direction is opposite to their delta.
Version 1.2 2019.02.03
The recalculation timing can be set by the user arbitrarily in seconds using the input variable RecalculationTiming.