Trade Volume Delta Indicator for ThinkorSwim

[dolomick]

Thanks for checking! So this is interesting, as I have been using it on one and five minute charts with great success. If I understand correctly, there is no way to normalize and combine Chaikin money flow and Cumulative delta successfully into one normalized study, based on what you see?

 

[tomsk]

Thanks for checking! So this is interesting, as I have been using it on one and five minute charts with great success. If I understand correctly, there is no way to normalize and combine Chaikin money flow and Cumulative delta successfully into one normalized study, based on what you see?

I normalized all three 2 days ago, have a look at that post, it runs fine on a daily chart.

 

[dolomick]

Sorry, I didn't word my question well. I meant to ask, is there no way to normalize and combine Chaikin money flow and Cumulative delta successfully, for a five minute chart, based on what you see in the code? The Cumulative delta works great for me on tick and five minute charts, despite what is in the header of the code. That said, the combined indicator shows different cumulative delta when I throw it on a five minute chart and compare to the originally posted Cumulative delta chart. This seems odd to me, but I am no coder. Worst case, I will do what I have been doing and use them separately, but I was hoping to save lower screen real estate. Thanks.

 

[anycolour]

Mind sharing how the Chaikins provide value to you?

 

[dolomick]

Jus

Mind sharing how the Chaikins provide value to you?

Just like most indicators I look for divergences, and/or crossings above or below the zero line to go long or short. I find Chaikin Money flow to be the more useful of the two. If consolidating but Chaikin is rising above zero line, it's a good play to go long.

 

[dolomick]

@tomsk can you confirm the combined indicator won't work on a 5 minute time frame, based on what you see in the code? Thanks...

 

[anycolour]

Do either of these two indicators in the original post "repaint"?

 

[tomsk]

Typically indicators that repaint uses future bars to confirm pivots/trends. Since no future bar is used in the code above, that means it won't repaint.

 

[Tiredoflosing]

Does anyone have a Delta (Cumulative Delta) indicator they could share? Something like the attached image. Thank you!

Were you able to find anything like this? I'm also looking for this. Ninja trader has a bunch of cumulative delta indicators but I'm hoping to find it for TOS.

 

[cesarword]

I wrote this code to plot the real cumulative volume using BID and ASK transactions no the close of the candle, please take a look and let me know what do you think.

it works only for 15 min charts other wise you must change the aggregation period within the code. doesn't work with tick charts.

input displace = 0;
def ASK = tick_count(priceType = PriceType.ASK , period = AggregationPeriod.FIFTEEN_MIN);
def BID = tick_count(priceType = PriceType.BID , period = AggregationPeriod.FIFTEEN_MIN);
def MARK = tick_count(priceType = PriceType.MARK , period = AggregationPeriod.FIFTEEN_MIN);
def LAST = tick_count(priceType = PriceType.LAST , period = AggregationPeriod.FIFTEEN_MIN);

def ba = BID - ASK;

plot data = Sum(ba-displace, 100);



Here is the same code plus the histogram



#start code

declare lower;
declare zerobase;
input displace = 0;
def ASK = tick_count(priceType = PriceType.ASK , period = AggregationPeriod.FIFTEEN_MIN);
def BID = tick_count(priceType = PriceType.BID , period = AggregationPeriod.FIFTEEN_MIN);
def MARK = tick_count(priceType = PriceType.MARK , period = AggregationPeriod.FIFTEEN_MIN);
def LAST = tick_count(priceType = PriceType.LAST , period = AggregationPeriod.FIFTEEN_MIN);
def ba = BID - ASK;
plot BUVol=if(ba>0,ba,0);
plot BEVol=if(ba<0,ba,0);

plot data = Sum(ba-displace, 100);

BEVol.SetPaintingStrategy(PaintingStrategy.HISTOGRAM);
BEVol.SetDefaultColor(Color.RED);
BUVOL.SetPaintingStrategy(PaintingStrategy.HISTOGRAM);
BUVol.SetDefaultColor(Color.GREEN);

 

[Tiredoflosing]

I wrote this code to plot the real cumulative volume using BID and ASK transactions no the close of the candle, please take a look and let me know what do you think.

it works only for 15 min charts other wise you must change the aggregation period within the code. doesn't work with tick charts.

input displace = 0;
def ASK = tick_count(priceType = PriceType.ASK , period = AggregationPeriod.FIFTEEN_MIN);
def BID = tick_count(priceType = PriceType.BID , period = AggregationPeriod.FIFTEEN_MIN);
def MARK = tick_count(priceType = PriceType.MARK , period = AggregationPeriod.FIFTEEN_MIN);
def LAST = tick_count(priceType = PriceType.LAST , period = AggregationPeriod.FIFTEEN_MIN);

def ba = BID - ASK;

plot data = Sum(ba-displace, 100);

can you go in detail what the blue lines represent?

 

[cesarword]

can you go in detail what the blue lines represent?

the blue line is the Cumulative Volume Delta,

 

[cesarword]

I think this Study works better with futures no with equities.

 

[cesarword]

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

I have a code but it works best with futures take a look let me know what you think! Use 15 min time frame other wise you have to change the aggregation code for specific time fame. Doesn't work with tick charts.

declare lower;
declare zerobase;
def displace = 0;
def ASK = tick_count(priceType = PriceType.ASK, period = AggregationPeriod.FIFTEEN_MIN);
def BID = tick_count(priceType = PriceType.BID , period = AggregationPeriod.FIFTEEN_MIN);
def MARK = tick_count(priceType = PriceType.MARK , period = AggregationPeriod.FIFTEEN_MIN);
def LAST = tick_count(priceType = PriceType.LAST , period = AggregationPeriod.FIFTEEN_MIN);
def  ba = BID - ASK;
plot data = Sum(ba - displace, 100);

 

[horserider]

@cesarword
declare lower;
declare zerobase;

Input agg = aggregationPeriod.DAY;

def ASK = tick_count(priceType = PriceType.ASK, period = Agg);
def BID = tick_count(priceType = PriceType.BID , period = Agg);
def MARK = tick_count(priceType = PriceType.MARK , period = Agg);
def LAST = tick_count(priceType = PriceType.LAST , period = Agg);
def ba = BID - ASK;
plot data = Sum(ba , 100);

 

[cesarword]

@horserider Great this way works with different time frames. Thank you

 

[cesarword]

I coded what I believe is a better version of the cumulative volume delta Histogram.
feel free to take a look and let me know what do you think about it.

Note: It only works on a 1 tick chart because thinkorswing doesn't provide Bid or Ask volume data. But you can add a 5 min chart on top of it and set up your cursor to display in both charts.
This histogram measures pure volume per 1 tick at the bid and ask.

#----------------------

declare lower;
declare zerobase;

def MoneyCount = volume;

def c = close;
def Ask = If( close from 0 bars ago >= close from 1 bars ago,volume ,0);


def Bid = If( close from 0 bars ago <= close from 1 bars ago,volume,0);


input length = 900;
def comulative= sum(Ask-Bid,900);

plot z = 0;


plot High = HighestAll(comulative);
plot Low = LowestAll(comulative);

plot Bullish = (comulative);


Bullish.AssignValueColor(if comulative >= 0 then Color.UPTICK else Color.DOWNTICK);
Bullish.SetPaintingStrategy(PaintingStrategy.HISTOGRAM);

 

[alexR]

@tomsk Would it be possible to add a fix line at +and- 0.15 with arrows down xsing from +0.15 and arrow up xsing from -0.15.

thanks

 

[BenTen]

@alexR Add this snippet to the bottom of your script:

plot line1 = 0.15;
plot line2 = -0.15;

 

[alexR]

Thanks ben, what about adding arrows up and down when crosses the -+0.15,is it possible? I should have say when CMF crosses those lines-+0.15