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VolumeDeltaM1 MT5

This indicator provides tick volume delta analysis on M1 timeframe. It monitors up and down ticks and sums them up as separate volumes for buys and sells, as well as their delta volumes, and volume clusters on price scale within a specified number of bars. This indicator is similar to VolumeDeltaMT5, which uses almost the same algorithms but does not process ticks and therefore cannot work on M1. This is the reason for VolumeDeltaM1 to exist. On the other hand, VolumeDeltaMT5 can show its signals on the history because it reads M1 volumes for calculations on higher timeframes, while VolumeDeltaM1 collects "tick" statistics on M1 online and can show signals only on those periods when the indicator was online and saved live data into special files (one file per day).

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, that may be considered as a short-term signal for the next bar.

Also, the indicator displays a table of splitted volumes for the last CumulativePeriod bars in the main window. 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 (cells with values near the maximum one are highlighted in green).

Parameters

  • FileNamePrefix - file name prefix with ticks statistics; file name has the following structure: VDM1[T|P]-Prefix-Symbol-YYYYMMDD.csv; default - none, empty prefix; T or P denotes Mode used (see below);
  • Mode - ticks or pips; in ticks mode, only the number of price changes is used; in pips mode, the size of every price change in pips is taken into account; default - ticks;
  • TesterReadOnlineData - default - false - means that the indicator works in tester as online; if set to true,  the indicator reads data from existing csv files, which should be copied into tester/files folder fromMQL4/Files folder; this mode allows you to view real stats in the tester; NB: 0-th bar is always calculated on generated ticks, but once it moves to the 1 st position, its data is loaded from the file;
  • PointsPerCell - number of points forming a single price cluster; every cluster is shown as a row in a table with splitted volumes (this is a kind of "Time and Sales" tape); default value - 5;
  • CumulativePeriod - number of latest bars for calculation of cumulative delta by EMA and for volume clusters calculations; default - 7;
  • ShowTable - show/hide the table with volume clusters; default - false;
  • ShowMark - show/hide price marks for clusters with maximal total volume (green) and maximal delta (yellow); default - false;
  • ShowAskBidInTable - highlight the table rows that correspond to current Ask and Bid prices; default - false;
  • Corner - corner of the main window, where to display the table; default value - upper right corner;
  • CellWidth - width of the table cells; default - 40;
  • CellHeight - height of the table cells; default - 15;
  • ColorBG - table background; default - black;
  • FontSize - font size in the table; default - 8.

Supported timeframes: M1.

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版本 1.3 - 2016.12.27
Added operation mode based on the real volumes (real_volumes) for the 'Mode' parameter;
Fixed the error with incorrect display of the Ask and Bid prices in the table.