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VolumeDelta

This indicator provides the analysis of tick volume deltas. It calculates tick volumes for buys and sells separately, and their delta on every bar, and displays volumes by price clusters (cells) within a specified bar (usually the latest one).

This is a limited substitution of market delta analysis based on real volumes, which are not available on Forex.

The indicator displays the following data in its sub-window:

  • light-blue histogram - buy (long) volumes;
  • orange histogram - sell (short) volumes;
  • light green histogram - delta between buys and sells;
  • green line - cumulative delta, EMA of delta; its values are multiplied by CumulativePeriod for scale adjustment - this makes it approximately the same size as the histograms;
  • blue and red arrows - mark those bars where volume direction contradicts price direction;
  • optionally - 2 moving averages (fast and slow) based on cumulative volumes.

Also, the indicator displays a table of split volumes for the current bar in the main window. The current bar is selected by means of yellow dotted vertical line (drag it to the required position). The table rows correspond to price clusters. The table contains the following columns:

  • price (a range of prices from specified value up to the next range);
  • sell volume;
  • delta of buy and sell volumes (positives are blue, negatives are red);
  • buy volume;
  • total volume (maximum values are highlighted in green).


Parameters

  • PointsPerCell - number of points forming a single price cluster; every cluster is shown as a row in a table with split volumes of current bar;
  • LastBars - number of bars for calculation; 0 means all bars;
  • CumulativePeriod - period for calculation of cumulative delta by EMA;
  • StickToBar0 - enable/disable special mode, when zero bar is always considered to be the current bar; if StickToBar0 is true, the dotted vertical line that marks the current bar is hidden, because automatic tracking of the 0 bar does not require the line;
  • Corner - corner to display the table; 1 - top right; 0 - top left; 2 - bottom left; 3 - bottom right;
  • CellWidth - width of the table cells;
  • CellHeight - height of the table cells;
  • ColorBG - table background color;
  • FontSize - table font size;
  • HideTable - if true, the table is not displayed;
  • HideMark - if true, the price label on the maximum volume level is not shown; when both HideTable and HideMark are true, the vertical line for selecting the analyzed bar is not shown as well;
  • HideBuySell - hide the columns for Buy and Sell volumes in the table and in the corresponding histograms;
  • ColorDefault, ColorPositive, ColorNegative, ColorMaximum - colors of the table cells;
  • ColorObjects - color of objects on the chart: the vertical line for selected bar and the price mark at maximal volumes;
  • MAFast, MASlow, MAMethod - parameters for moving averages; set the periods to 0 to hide them;
  • ShowAlerts - if true, alerts are enabled;
  • AlertsOnCompletedBar - if true, alerts are generated only on the newly completed bar, otherwise - dynamically (within the 0 bar); Specific types of alerts can be enabled by the corresponding options:
    • Bar Divergence - opposite sign of price and volume changes;
    • * Cumulative Divergence - divergence of the price line direction and cumulative volumes, calculated by linear regression channel of period 2*CumulativePeriod;
    • Fast and Slow MA Crossover - fast and slow moving average crossover;
    • Cumulative Zero Crossing - zero crossing by the cumulative volume line or fast MA, if it is enabled;

Supported timeframes: M5 and higher.

Xeniolla
23
2017.01.26 21:32 
 

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Version 1.7 - 2017.06.20
- Added two buffers for the fast and slow moving averages based on cumulative volumes.
- Added parameters MAFast (7 by default), MASlow (12 by default) and MAMethod ('simple' by default) for adjusting the periods and calculation algorithms of the moving averages. To hide the new moving average lines, set their periods to 0.
- Added alerts for several events. To enable the alerts, use the ShowAlerts parameter (false by default, disabled). Alerts can be generated dynamically (inside a bar) or only on complete bars. These two modes are toggled by the AlertsOnCompletedBar parameter.
- Specific types of alerts are enabled by the corresponding options (all disabled by default):
* Bar Divergence - opposite direction of the bar and volume change (in the previous versions and in this version of the indicator it is marked with red and blue arrows);
* Cumulative Divergence - divergence of the price graph direction and cumulative volumes, calculated by linear regression channel of period 2*CumulativePeriod;
* Fast and Slow MA Crossover - fast and slow moving average crossover;
* Cumulative Zero Crossing - zero crossing by the cumulative volume line or fast MA, if it is enabled;
Version 1.6 - 2016.04.21
- Added new option HideBuySell (false by default) to hide columns for Buy and Sell volumes in the table, as well as corresponding histograms.
- Improved columns alignment in tables when located in the left-side corners.
Version 1.5 - 2015.09.07
A new parameter is added for customization of the color of the vertical line and the price mark at maximal volumes. The graph is now automatically refreshes up to specified number of bars if previously missing M1 data is downloaded.
Version 1.4 - 2015.08.11
Added parameters to customize text colors in the table.
Version 1.3 - 2015.06.03
Minor bugs are fixed.
Version 1.2 - 2014.08.22
New parameters added:

- HideTable - if true, the table with splitted volumes is not shown; by default - false;
- HideMark - if true, the price mark on a level with volume maximum is not shown; by default - false;

When both HideTable and HideMark are true, the vertical line for selection of a bar under investigation is not shown as well. Also this line is now hidden if StickToBar0 is true, because automatic tracking of 0-th bar does not require the line.