Trade Volume Delta Indicator for ThinkorSwim

[anycolour]

Cumulative Delta Volume Indicator

# Cumulative Volume Delta
#
# The length of the accumulation is user controlled. The cumulative bar
# is the sum of the deltas for the past 10 bars. Change that length to
# 252 (a year in days) then plot something like AAPL. Very interesting.
#
# LongShort
# 5.7.2019

declare lower;

input length = 10;

def O = open;
def H = high;
def C = close;
def L = low;
def V = volume;
def Buying = V * (C - L) / (H - L);
def Selling = V * (H - C) / (H - L);
def Delt = buying - selling;

plot Delta = Delt;
Delta.AssignValueColor(if Delta > 0 then Color.GREEN else Color.RED);
Delta.SetPaintingStrategy(PaintingStrategy.HISTOGRAM);
Delta.hide();

plot zero = 0;
zero.setDefaultColor(Color.BLUE);

plot CumulativeVolumeDelta = sum(Delta,length);
CumulativeVolumeDelta.AssignValueColor(if CumulativeVolumeDelta > 0 then Color.GREEN else Color.RED);
CumulativeVolumeDelta.SetPaintingStrategy(PaintingStrategy.HISTOGRAM);

# End Code

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[zeek]

Can someone explain how to use this indicator?

 

[dolomick]

Cumulative delta is the one I undertand better, google can explain it better than I can, but it is very good for showing strength of trend and reversals when coupled with price action and support resistance. When you see red don't be long because aggressive selling is happening. Vice versa for green. If trending sideways and the red is getting smaller, going into green, the move will be up most likely.

 

[anycolour]

And what is the best way to set up these indicators? Place them on the lower box in the chart by themselves? Use with a bar chart template, or line, or something else? I'll post a pic when I get back from work.

 

[dolomick]

Yes it is working well for me, even though I have also read TOS doesn't do real-time tick data. I have found it super useful.

I am only using one of these though, the other I didn't find helpful. I think it was the trade delta.

 

[J007RMC]

Im wondering this compares to the tmo where its momentum is based off delta?

 

[anycolour]

Yes it is working well for me, even though I have also read TOS doesn't do real-time tick data. I have found it super useful.

I am only using one of these though, the other I didn't find helpful. I think it was the trade delta.

Could you please share in what way it is being useful to you? What signals are you getting from it? From what time frames, etc.

If you are using the trade delta indicator, are you using it with the default setting or did you turn the "reset aggregation daily" to NO?

Thank you

 

[dolomick]

Useful on all timeframes including tick charts. Helps predict end of trend, or future direction of next move when in consolidation. Axia futures has a good youtube video on it. Rising green above the zero line signals strength. If it is declining and also above the zero line, the up move is likely over soon. Reverse that for below the zero line and when red. Pair with other indicators as always to confirm.

 

[dolomick]

Im wondering this compares to the tmo where its momentum is based off delta?

I love the TMO for spotting higher lows to confirm uptrend entries, and use both together.

 

[J007RMC]

I'm amazed each and every day by the really cool indicators this site kicks out....fantastic is when you know your hooked on charts lol

 

[dolomick]

Could someone please adjust the scaling so I can use the Chaikin Money Flow, Chaikin Osc (both standard TOS studies), with the following cumulative delta study into one lower indicator? I would really be very grateful, as these are very useful indicators and it would save me space.

 

[tomsk]

@dolomick Per your request I have combined the Cumulative Volume Delta with Chaikin Money Flow as well as CHaikin Oscillator, with the scales normalized. You might like to adjust the colors of the plots to suit your preferences.

# Cumulative Volume Delta with Chaikin Money Flow + Chaikin Osc
# tomsk
# 1.6.2020

# Cumulative Volume Delta
#
# The length of the accumulation is user controlled. The cumulative bar
# is the sum of the deltas for the past 10 bars. Change that length to
# 252 (a year in days) then plot something like AAPL. Very interesting.
#
# LongShort
# 5.7.2019

declare lower;

script normalizePlot {
    input data = close;
    input newRngMin =  -1;
    input newRngMax = 1;
    def hhData = HighestAll( data );
    def llData = LowestAll( data );
    plot nr = ((( newRngMax - newRngMin ) * ( data - llData )) / ( hhData - llData )) + newRngMin;
}

input CVDlength = 10;
input CMFlength = 21;

def O = open;
def H = high;
def C = close;
def L = low;
def V = volume;
def Buying = V * (C - L) / (H - L);
def Selling = V * (H - C) / (H - L);
def Delt = buying - selling;

plot Delta = normalizePlot(Delt, -0.4, 0.4);
Delta.AssignValueColor(if Delta > 0 then Color.GREEN else Color.RED);
Delta.SetPaintingStrategy(PaintingStrategy.HISTOGRAM);
Delta.hide();

plot zero = 0;
Zero.SetDefaultColor(GetColor(5));

plot CumulativeVolumeDelta = normalizePlot(sum(Delta,CVDlength), -0.4, 0.4);
CumulativeVolumeDelta.AssignValueColor(if CumulativeVolumeDelta > 0 then Color.GREEN else Color.RED);
CumulativeVolumeDelta.SetPaintingStrategy(PaintingStrategy.HISTOGRAM);

# TOS Chaikin Money Flow

#
# TD Ameritrade IP Company, Inc. (c) 2007-2019
#

def tmp_var =
if high == low then
  volume
else
  (close - low - (high - close)) / (high - low) * volume
;

def sum_close = sum(tmp_var, CMFlength);
def total = sum(volume, CMFlength);

plot CMF =
if total == 0 then
  0
else
  sum_close / total
;
CMF.SetDefaultColor(Color.PINK);
CMF.SetLineWeight(2);

# Chaikin Oscillator

#
# TD Ameritrade IP Company, Inc. (c) 2007-2019
#

input colorNormLength = 14;
input fastLength = 3;
input slowLength = 10;

def acc = AccumDist(high, close, low, open, volume);
def shortXAvg = ExpAverage(acc, fastLength);
def longXAvg = ExpAverage(acc, slowLength);

plot ChaikinOsc = normalizePlot(shortXAvg - longXAvg, -0.4, 0.4);
ChaikinOsc.DefineColor("Highest", Color.YELLOW);
ChaikinOsc.DefineColor("Lowest", Color.LIGHT_RED);
ChaikinOsc.AssignNormGradientColor(colorNormLength, ChaikinOsc.color("Lowest"), ChaikinOsc.color("Highest"));
ChaikinOsc.SetLineWeight(2);

# End Cumulative Volume Delta with Chaikin Money Flow + Chaikin Osc

 

[dolomick]

Thank so much Tomsk! Is there a tutorial or any tips you can give so I can do it myself going forward? I appreciate you doing this for me.

 

[tomsk]

@dolomick I've learnt by looking through thousands of code examples and helping others make code changes such as yours. By responding to user requests such as yours it helps me improve my craft. If you'd like to do a deep dive on tutorials, here is a link

https://tlc.thinkorswim.com/center/reference/thinkScript/tutorials

 

[anycolour]

Thanks. Is there another indicator which would pair best with the cum vol delta? That you could pair it up with in code? As opposed to the Chaikin (not liking it)?

 

[tomsk]

@anycolour There are literally thousands of indicators out there. Suggest you experiment with different indicators to see which particular one resonates with you, I was just helping @dolomick code what he was looking for

 

[anycolour]

Is there anything close to "footprints" indicator in Thinkorswim? If so, I'd like a combination with that! Thanks

 

[Trading51]

TOS is not built for nor can it produce net delta buying or selling

 

[dolomick]

@tomsk unfortunately the Cumulative delta portion is not displaying the same way as it does on the original indicator... looking at TSLA on a one minute chart today there are periods of red negative bars on the original indicator, but on the new one there are no red, negative bars showing. I tested on MU as well and found similar discrepancy. Thanks for any help...

 

[tomsk]

@tomsk unfortunately the Cumulative delta portion is not displaying the same way as it does on the original indicator... looking at TSLA on a one minute chart today there are periods of red negative bars on the original indicator, but on the new one there are no red, negative bars showing. I tested on MU as well and found similar discrepancy. Thanks for any help...

Looking through the notes that the original author of the CVD supplied in the header, it appears that this is designed for use on a daily chart rather than intraday. When I assembled the CSA for you yesterday I retained the code logic and all's I did was to normalize the plots to co-incide with other two Chaikin studies.

Since there are way too many variables here, as a test I removed the two Chaikin components so that we are just left with the CVD. I then normalized this CVD study on a daily aggregation. The result? It looks exactly the same on a daily aggregation.

Here is the original CVD study. Load that on your charts and name that study "CVDOne".

# Cumulative Volume Delta
#
# The length of the accumulation is user controlled. The cumulative bar
# is the sum of the deltas for the past 10 bars. Change that length to
# 252 (a year in days) then plot something like AAPL. Very interesting.
#
# LongShort
# 5.7.2019

declare lower;

input length = 10;

def O = open;
def H = high;
def C = close;
def L = low;
def V = volume;
def Buying = V * (C - L) / (H - L);
def Selling = V * (H - C) / (H - L);
def Delt = buying - selling;

plot Delta = Delt;
Delta.AssignValueColor(if Delta > 0 then Color.GREEN else Color.RED);
Delta.SetPaintingStrategy(PaintingStrategy.HISTOGRAM);
Delta.hide();

plot zero = 0;
zero.setDefaultColor(Color.BLUE);

plot CumulativeVolumeDelta = sum(Delta,length);
CumulativeVolumeDelta.AssignValueColor(if CumulativeVolumeDelta > 0 then Color.GREEN else Color.RED);
CumulativeVolumeDelta.SetPaintingStrategy(PaintingStrategy.HISTOGRAM);

# End Code

Next load the following study which essentially is the CVD but with the normalized code built in. Call this study "CVDTwo"

# Cumulative Volume Delta with Normalized Code
# tomsk
# 1.7.2020

# Cumulative Volume Delta
#
# The length of the accumulation is user controlled. The cumulative bar
# is the sum of the deltas for the past 10 bars. Change that length to
# 252 (a year in days) then plot something like AAPL. Very interesting.
#
# LongShort
# 5.7.2019

declare lower;

script normalizePlot {
    input data = close;
    input newRngMin =  -1;
    input newRngMax = 1;
    def hhData = HighestAll( data );
    def llData = LowestAll( data );
    plot nr = ((( newRngMax - newRngMin ) * ( data - llData )) / ( hhData - llData )) + newRngMin;
}

input length = 10;

def O = open;
def H = high;
def C = close;
def L = low;
def V = volume;
def Buying = V * (C - L) / (H - L);
def Selling = V * (H - C) / (H - L);
def Delt = buying - selling;

plot CumulativeVolumeDelta = normalizePlot(sum(Delt,length), -40, 40);
CumulativeVolumeDelta.AssignValueColor(if CumulativeVolumeDelta > 0 then Color.GREEN else Color.RED);
CumulativeVolumeDelta.SetPaintingStrategy(PaintingStrategy.HISTOGRAM);

plot zero = 0;
Zero.SetDefaultColor(GetColor(5));
# End Cumulative Volume Delta with Normalized Code

Now after loading both studies, compare this on a DAILY aggregation. It looks exactly the same. If you'd still like to use this on a 1 minute chart, that is entirely up to you, in which case just use the original CVD code from LongShort. However as noted earlier, my understanding is that this was designed to be used on a daily chart. All the best out there