Market_Delta For ThinkOrSwim

S

serendipity2020

Member
This script is used to identify market cumulative delta primarily on futures market on 3 or 5 min chart but works on all intra-day charts as well.

When you identify that the deltas are not decreasing rapidly, when price is going down rapidly, you can assume that its bullish setup as the volume is not going down with that speed and vice-versa.

The author states:
Market Delta is suitable for daytrading on intraday timeframes, is a volume based indicator which allows to see the UP VOLUME vs the DOWN VOLUME, the DELTA (difference) and the CUMULATIVE DELTA (cumulative sum of difference) between them
This indicator is based on contracts volume (data avaiable), not in ask/bid volume (data not avaiable)
ttQN3D8.png


Hello @samer800
Can you convert https://www.tradingview.com/script/NH4wEdWp-Market-Delta-Makit0/ to ToS?
Appreciate your help and thanks in advance!
 
Last edited by a moderator:

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serendipity2020 said:
Hello @samer800
Can you convert https://www.tradingview.com/script/NH4wEdWp-Market-Delta-Makit0/ to ToS?

This script is used to identify market cumulative delta primarily on futures market on 3 or 5 min chart but works on all intra-day charts as well.

When you identify that the deltas are not decreasing rapidly, when price is going down rapidly, you can assume that its bullish setup as the volume is not going down with that speed and vice-versa.

Appreciate your help and thanks in advance!
Click to expand...
find below.

CSS: 
#// This source code is subject to the terms of the Mozilla Public License 2.0 a
#// © makit0
#// MARKET DELTA INDICATOR v0.5 beta
#study("Market_Delta_v0.5Beta",shorttitle='MD')
# converted by Sam4Cok@Samer800    - 01/2024
declare lower;

input mode = {"Volume", "Delta", "Cumulative Delta", default "Candles"};#  #'Mode'
input showZeroLine = no;#(false,'Show Zero line')

#// show/hide variables for the different modes
def na = Double.NaN;
def last = IsNaN(close);
def showVol = mode == mode."Volume";
def showDelta = mode == mode."Delta";
def showCumDelta = mode == mode."Cumulative Delta";
def showCandles = mode == mode."Candles";
def mintick = TickSize();
DefineGlobalColor("up",  CreateColor(76,175,80));
DefineGlobalColor("dn",  CreateColor(255,82,82));
#// volume & delta calculus
def up = open > close;
def candleRange = (high - low) / mintick;
def candleTopWick = if up then ((high - open) / mintick) else ((high - close) / mintick);
def candleBottomWick = if up then (close - low) / mintick else (open - low) / mintick;
def ticksUp = if up  then candleTopWick + candleBottomWick else candleRange;
def ticksDown = if up then candleRange else candleTopWick + candleBottomWick;
def totalTicks = ticksUp + ticksDown;
def volByTick = if totalTicks == 0 then 0 else volume / totalTicks;
def volUp = ticksUp * volByTick;
def volDown = ticksDown * volByTick;
def delta = volUp - volDown;

#// cumulative delta reset at globex and rth openings
def time = GetTime();
def rthOpen =  (time-1) == RegularTradingStart(GetYYYYMMDD());
def cumDelta = if rthOpen then delta else cumDelta[1] + delta;

#// getting ohlc values to plot the cumulative delta candles.
def o1 = if rthOpen then 0 else cumDelta[1];
def h1 = if delta >= 0 then cumDelta else
        if rthOpen then 0 else cumDelta[1];
def l1 = if delta <= 0 then cumDelta else
        if rthOpen then 0 else cumDelta[1];
def c1 = cumDelta;
#// fixing scale autoresize in volume and delta modes
def o;
def h;
def l;
def c;
if !showCandles {
    o = na;
    h = na;
    l = na;
    c = na;
} else {
    o = o1;
    h = h1;
    l = l1;
    c = c1;
}
AddChart(open = if o<=c then c else na, high = h , low = l ,   close = o,
         type = ChartType.CANDLE, growcolor =  GlobalColor("up"));

AddChart(open = if o>=c then o else na, high = h , low = l ,   close = c,
         type = ChartType.CANDLE, growcolor =  GlobalColor("dn"));

#// plotting volume, delta and cumulative delta. I wanted to define the style as histogram but due a bug at auto resizing the scale for the candle mode, I coded the style as areabr and circles, but the style to use here is histogram.
plot upVol = if showVol then volUp else na; # 'Up volume'
plot dnVol = if showVol then -volDown else na; # 'Down volume'
plot deltaL = if showDelta then delta else  na; # 'Delta'
plot cum = if showCumDelta then cumDelta else na; # 'Cumulative Delta'
plot zero = if showZeroLine and !last then 0 else na;# 'Zero line'
zero.SetDefaultColor(Color.GRAY);
zero.SetStyle(Curve.SHORT_DASH);
upVol.SetDefaultColor(Color.GREEN);
dnVol.SetDefaultColor(Color.RED);
deltaL.SetPaintingStrategy(PaintingStrategy.POINTS);
deltaL.AssignValueColor(if delta > 0 then Color.GREEN else Color.RED);
deltaL.SetLineWeight(3);
cum.AssignValueColor(if cumDelta > 0 then Color.GREEN else Color.RED);

AddCloud(cum, 0, GlobalColor("up"), GlobalColor("dn"));
AddCloud(upVol, 0, GlobalColor("up"));
AddCloud(0, dnVol, GlobalColor("dn"));


#-- End of Code
 
samer800 said:
find below.

CSS: 
#// This source code is subject to the terms of the Mozilla Public License 2.0 a
#// © makit0
#// MARKET DELTA INDICATOR v0.5 beta
#study("Market_Delta_v0.5Beta",shorttitle='MD')
# converted by Sam4Cok@Samer800    - 01/2024
declare lower;

input mode = {"Volume", "Delta", "Cumulative Delta", default "Candles"};#  #'Mode'
input showZeroLine = no;#(false,'Show Zero line')

#// show/hide variables for the different modes
def na = Double.NaN;
def last = IsNaN(close);
def showVol = mode == mode."Volume";
def showDelta = mode == mode."Delta";
def showCumDelta = mode == mode."Cumulative Delta";
def showCandles = mode == mode."Candles";
def mintick = TickSize();
DefineGlobalColor("up",  CreateColor(76,175,80));
DefineGlobalColor("dn",  CreateColor(255,82,82));
#// volume & delta calculus
def up = open > close;
def candleRange = (high - low) / mintick;
def candleTopWick = if up then ((high - open) / mintick) else ((high - close) / mintick);
def candleBottomWick = if up then (close - low) / mintick else (open - low) / mintick;
def ticksUp = if up  then candleTopWick + candleBottomWick else candleRange;
def ticksDown = if up then candleRange else candleTopWick + candleBottomWick;
def totalTicks = ticksUp + ticksDown;
def volByTick = if totalTicks == 0 then 0 else volume / totalTicks;
def volUp = ticksUp * volByTick;
def volDown = ticksDown * volByTick;
def delta = volUp - volDown;

#// cumulative delta reset at globex and rth openings
def time = GetTime();
def rthOpen =  (time-1) == RegularTradingStart(GetYYYYMMDD());
def cumDelta = if rthOpen then delta else cumDelta[1] + delta;

#// getting ohlc values to plot the cumulative delta candles.
def o1 = if rthOpen then 0 else cumDelta[1];
def h1 = if delta >= 0 then cumDelta else
        if rthOpen then 0 else cumDelta[1];
def l1 = if delta <= 0 then cumDelta else
        if rthOpen then 0 else cumDelta[1];
def c1 = cumDelta;
#// fixing scale autoresize in volume and delta modes
def o;
def h;
def l;
def c;
if !showCandles {
    o = na;
    h = na;
    l = na;
    c = na;
} else {
    o = o1;
    h = h1;
    l = l1;
    c = c1;
}
AddChart(open = if o<=c then c else na, high = h , low = l ,   close = o,
         type = ChartType.CANDLE, growcolor =  GlobalColor("up"));

AddChart(open = if o>=c then o else na, high = h , low = l ,   close = c,
         type = ChartType.CANDLE, growcolor =  GlobalColor("dn"));

#// plotting volume, delta and cumulative delta. I wanted to define the style as histogram but due a bug at auto resizing the scale for the candle mode, I coded the style as areabr and circles, but the style to use here is histogram.
plot upVol = if showVol then volUp else na; # 'Up volume'
plot dnVol = if showVol then -volDown else na; # 'Down volume'
plot deltaL = if showDelta then delta else  na; # 'Delta'
plot cum = if showCumDelta then cumDelta else na; # 'Cumulative Delta'
plot zero = if showZeroLine and !last then 0 else na;# 'Zero line'
zero.SetDefaultColor(Color.GRAY);
zero.SetStyle(Curve.SHORT_DASH);
upVol.SetDefaultColor(Color.GREEN);
dnVol.SetDefaultColor(Color.RED);
deltaL.SetPaintingStrategy(PaintingStrategy.POINTS);
deltaL.AssignValueColor(if delta > 0 then Color.GREEN else Color.RED);
deltaL.SetLineWeight(3);
cum.AssignValueColor(if cumDelta > 0 then Color.GREEN else Color.RED);

AddCloud(cum, 0, GlobalColor("up"), GlobalColor("dn"));
AddCloud(upVol, 0, GlobalColor("up"));
AddCloud(0, dnVol, GlobalColor("dn"));


#-- End of Code
Click to expand...
Awesome. Thanks!
 
@samer800, @useThinkScript,

Based on: https://usethinkscript.com/threads/market_delta-for-thinkorswim.17728/
Is it possible to include a 9 EMA in candle mode?
Meaning this input setting:
input mode = {"Volume", "Delta", "Cumulative Delta", default "Candles"};# #'Mode'

It would be even better if we could add support/resistance lines as well. For example, in an uptrend, whenever the price dips and then rises again, we draw a support line, and in a downtrend, we do the opposite. If this could be done automatically (drawing the line just for today), that would be fantastic. I attempted to modify the script, but the line didn't plot when I switched to candle mode.

1739860615014.png
 
Last edited by a moderator:
AlwaysLearning said:
@samer800, @useThinkScript,

Based on: https://usethinkscript.com/threads/market_delta-for-thinkorswim.17728/
Is it possible to include a 9 EMA in candle mode?
Meaning this input setting:
input mode = {"Volume", "Delta", "Cumulative Delta", default "Candles"};# #'Mode'

It would be even better if we could add support/resistance lines as well. For example, in an uptrend, whenever the price dips and then rises again, we draw a support line, and in a downtrend, we do the opposite. If this could be done automatically (drawing the line just for today), that would be fantastic. I attempted to modify the script, but the line didn't plot when I switched to candle mode.

View attachment 24133
Click to expand...
add the below at the end of the script. For Lines, it will be difficult to have it.

CSS: 
input showMovAvg = yes;
input movAvgType = AverageType.EXPONENTIAL;
input movAvgLength = 9;

def candleSrc = (o + h + l + c) / 4;

plot ema = if showMovAvg then MovingAverage(movAvgType, candleSrc, movAvgLength) else na;
ema.SetDefaultColor(Color.CYAN);
 
samer800 said:
find below.

CSS: 
#// This source code is subject to the terms of the Mozilla Public License 2.0 a
#// © makit0
#// MARKET DELTA INDICATOR v0.5 beta
#study("Market_Delta_v0.5Beta",shorttitle='MD')
# converted by Sam4Cok@Samer800    - 01/2024
declare lower;

input mode = {"Volume", "Delta", "Cumulative Delta", default "Candles"};#  #'Mode'
input showZeroLine = no;#(false,'Show Zero line')

#// show/hide variables for the different modes
def na = Double.NaN;
def last = IsNaN(close);
def showVol = mode == mode."Volume";
def showDelta = mode == mode."Delta";
def showCumDelta = mode == mode."Cumulative Delta";
def showCandles = mode == mode."Candles";
def mintick = TickSize();
DefineGlobalColor("up",  CreateColor(76,175,80));
DefineGlobalColor("dn",  CreateColor(255,82,82));
#// volume & delta calculus
def up = open > close;
def candleRange = (high - low) / mintick;
def candleTopWick = if up then ((high - open) / mintick) else ((high - close) / mintick);
def candleBottomWick = if up then (close - low) / mintick else (open - low) / mintick;
def ticksUp = if up  then candleTopWick + candleBottomWick else candleRange;
def ticksDown = if up then candleRange else candleTopWick + candleBottomWick;
def totalTicks = ticksUp + ticksDown;
def volByTick = if totalTicks == 0 then 0 else volume / totalTicks;
def volUp = ticksUp * volByTick;
def volDown = ticksDown * volByTick;
def delta = volUp - volDown;

#// cumulative delta reset at globex and rth openings
def time = GetTime();
def rthOpen =  (time-1) == RegularTradingStart(GetYYYYMMDD());
def cumDelta = if rthOpen then delta else cumDelta[1] + delta;

#// getting ohlc values to plot the cumulative delta candles.
def o1 = if rthOpen then 0 else cumDelta[1];
def h1 = if delta >= 0 then cumDelta else
        if rthOpen then 0 else cumDelta[1];
def l1 = if delta <= 0 then cumDelta else
        if rthOpen then 0 else cumDelta[1];
def c1 = cumDelta;
#// fixing scale autoresize in volume and delta modes
def o;
def h;
def l;
def c;
if !showCandles {
    o = na;
    h = na;
    l = na;
    c = na;
} else {
    o = o1;
    h = h1;
    l = l1;
    c = c1;
}
AddChart(open = if o<=c then c else na, high = h , low = l ,   close = o,
         type = ChartType.CANDLE, growcolor =  GlobalColor("up"));

AddChart(open = if o>=c then o else na, high = h , low = l ,   close = c,
         type = ChartType.CANDLE, growcolor =  GlobalColor("dn"));

#// plotting volume, delta and cumulative delta. I wanted to define the style as histogram but due a bug at auto resizing the scale for the candle mode, I coded the style as areabr and circles, but the style to use here is histogram.
plot upVol = if showVol then volUp else na; # 'Up volume'
plot dnVol = if showVol then -volDown else na; # 'Down volume'
plot deltaL = if showDelta then delta else  na; # 'Delta'
plot cum = if showCumDelta then cumDelta else na; # 'Cumulative Delta'
plot zero = if showZeroLine and !last then 0 else na;# 'Zero line'
zero.SetDefaultColor(Color.GRAY);
zero.SetStyle(Curve.SHORT_DASH);
upVol.SetDefaultColor(Color.GREEN);
dnVol.SetDefaultColor(Color.RED);
deltaL.SetPaintingStrategy(PaintingStrategy.POINTS);
deltaL.AssignValueColor(if delta > 0 then Color.GREEN else Color.RED);
deltaL.SetLineWeight(3);
cum.AssignValueColor(if cumDelta > 0 then Color.GREEN else Color.RED);

AddCloud(cum, 0, GlobalColor("up"), GlobalColor("dn"));
AddCloud(upVol, 0, GlobalColor("up"));
AddCloud(0, dnVol, GlobalColor("dn"));


#-- End of Code
Click to expand...
Hi Samer800,
Can you please help to write the code for the scan for Market delta when the upvol equals the dnvol?

Thanks Samer800, I wanted something like this
plot x= if upVol==dnvol is true t hen 1 else 0; but it does not show anything.
 
Scan Hacker For volUP is equal to volDown

save the scan script below to your study tab
the scan filter is
volUP is equal to volDown
Click to expand...

Here is a tutorial for adding the scan filter to the scanner:
https://usethinkscript.com/threads/how-to-use-thinkorswim-stock-hacker-scans.284/

gKeBeB9.png



Ruby: 
#// MARKET DELTA INDICATOR SCAN VERSION ONLY
#study("Market_Delta_v0.5Beta",shorttitle='MD')
# converted by Sam4Cok@Samer800    - 01/2024

def mintick = TickSize();
def up = open > close;
def candleRange = (high - low) / mintick;
def candleTopWick = if up then ((high - open) / mintick) else ((high - close) / mintick);
def candleBottomWick = if up then (close - low) / mintick else (open - low) / mintick;
def ticksUp = if up  then candleTopWick + candleBottomWick else candleRange;
def ticksDown = if up then candleRange else candleTopWick + candleBottomWick;
def totalTicks = ticksUp + ticksDown;
def volByTick = if totalTicks == 0 then 0 else volume / totalTicks;
plot volUp = ticksUp * volByTick;
plot volDown = ticksDown * volByTick;
 
useThinkScript said:
Scan Hacker For volUP is equal to volDown

save the scan script below to your study tab
the scan filter is


Here is a tutorial for adding the scan filter to the scanner:
https://usethinkscript.com/threads/how-to-use-thinkorswim-stock-hacker-scans.284/

gKeBeB9.png



Ruby: 
#// MARKET DELTA INDICATOR SCAN VERSION ONLY
#study("Market_Delta_v0.5Beta",shorttitle='MD')
# converted by Sam4Cok@Samer800    - 01/2024

def mintick = TickSize();
def up = open > close;
def candleRange = (high - low) / mintick;
def candleTopWick = if up then ((high - open) / mintick) else ((high - close) / mintick);
def candleBottomWick = if up then (close - low) / mintick else (open - low) / mintick;
def ticksUp = if up  then candleTopWick + candleBottomWick else candleRange;
def ticksDown = if up then candleRange else candleTopWick + candleBottomWick;
def totalTicks = ticksUp + ticksDown;
def volByTick = if totalTicks == 0 then 0 else volume / totalTicks;
plot volUp = ticksUp * volByTick;
plot volDown = ticksDown * volByTick;
Click to expand...
Thanks a lot!
 
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