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XavPackV3

XavPackV3

This file includes four simple TS based. "Buys" are at or above Ask price, "Sells" are at or below Bid price. XavVolumeV3 breaks total volume down into "Buys", "Sells", "Buys" above Ask, "Sells" below Bid, and Total Volume. It also lets you know if there were more buys or sells, and if volume is greater than a set value. XavVisualTapeV3 helps you see "Lot" trades, "Block" trades, and all the volume information from XavVolumeV2. "Lot" trades are continuous buys or sells that have the same time stamp. From my understanding of TS, "Lot" trades indicate big orders being filled against smaller orders, and "Block" trades indicate big orders being filled against big orders. XavFilteredTimeAndSalesV2 takes time and sales, groups trades into "Lots", and then filters them by a user defined size (Similar to how the CME used to report trades). It also alerts you when Lot trades are made, and can tell you how many price levels the trade went through. This information is plotted directly on the chart. XavDeltaVolume plots Buy/Sell Delta, and Above Ask/Below Bid Delta.

XavVolumeV3:
-A simple TS based volume indicator
-"Buy" Volume - trades at or above ask price (Plotted as positive)
- Above Ask Volume
-"Sell" Volume - trades at or below bid price (Plotted as negative)
-Below Bid Volume
- Total Volume - Buys plus Sells (Plotted as positive)
-HighVolume: Volume level that will change the color of the TotalVolume Plot if reached.

XavVisualTapeV3:
-A simple TS based indicator that looks for Buys above Ask, Sells below Bid, "Lot" trades, and "Block" trades
-BlockSize: Minimum size for Block trades.
-ChartDisplay: Displays above ask volume(black), lot buy volume(green), block buy volume(blue), block sell volume(blue), lot sell volume(red), below bid volume(black), Buy Volume, and Sell Volume around current bar(% of total volume in parentheses).
-HistoricalPlot: Keeps the ChartDisplay on all bars, not just current bar.
-LineWidth: Width of the PlotBlock and PlotLot lines
-LotSize: Minimum "Lot" trade size.
-PercentMode: Plots all values in indicator panel as a % of total volume
-PlotBlocks: Plots small horizontal lines where block trades occur.
-PlotLots: Plots small horizontal lines where lot trades occur.
-PlotOffset: Offset multiplier for ChartDisplay based on ATR(14).
-Sound Alerts: Plays selected sound file when a Lot trade, or Block trade occurs.
-BigLotSize: Minimum size for a bigger lot trade. Plots triangles where these trades occur

XavFilteredTimeAndSalesV2
-This indicator takes time and sales, groups similar trades("Lots"), and filters them.(Similar to how the CME used to report trades)
-Output is plotted directly on chart
-FilterSize: The minimum size "Lots" you want to display
-TradeRows: Number of rows to display
-LotSizes: Different levels for trade sizes that will make the trade bold, change the color, and play sound alert.
-FontSize: Font Size
-Precision: Decimal precision of price
-PriceLevels: If set to true, it will plot a "*" for each price level crossed by the trade.
-Colors and Sound Alerts are customizable

***New algorithm for grouping trades fixed the lag issue, and more accurately spots bigger trades. I changed the algorithm because I found out NT removes millisecond information from timestamps***

XavDeltaVolume
-Plots Buy/Sell Delta and AboveAsk/BelowBid Delta

***Some Lot and Block trades will be missed if you do not use time based charts(Range, Renko, Volume,... etc)***

***Set your right margin to around 250***

Please feel free to improve these indicators if there is anything you would like to add to them. I started a thread called XavPack Discussion were anyone can post comments or improvements.

Enjoy

Version Changes:
6/29/2012 - XavPackV1: Changed lot and block plots from dots and diamonds to horizontal lines.
6/30/2012 - Added color options. Added sound alerts. Added line levels.
7/1/2012 - XavPackV2: Added more options. Changed ChartDisplay features.
7/4/2012 - XavPackV2a: Added XavFilteredTimeAndSales to XavPack and a few minor code changes.
7/14/2012 - XavPackV3: XavVolumeV3- added HighVolume, added line levels, code cleaned up. XavVisualTapeV3 - Added PlotOffset, higher values on ChartDisplay are highlighted, cleaned up code, changed grouping algorithm. XavFilteredTimeAndSalesV2 - Changed algorithm, added sound alerts, added size levels, added price levels, cleaned up code, added font size. Added XavDeltaVolume to XavPack.

Details: XavPackV3

July 15th, 2012
Size: 17.25 KB

Perfect Divergence Indicator

This Indicator rules!!! why??!! it lets you choose any indicator you want to look for Divergence with price, you just have to go to indicator window, select the indicator and go to "Imput Series" and choose any indicator you want to look for divergence.

I have added some details and images on how to use this indicator, you can check it out here, https://nexusfi.com/

Details: Perfect Divergence Indicator

July 13th, 2012
Size: 6.23 KB

[double post]

[double post]

Details: [double post]

July 3rd, 2012
Size: 190.00 MB

Time Alerts Indicator

Exported: NT 7.0.1000.10

Time Alerts Indicator

Note: This Zip file includes the zip file for the indicator and four sound files. Please unzip twice then import the indicator zip file into NT and copy the sound files in NT Sounds folder.

This indicator plays up to 4 alerts at diffrent times of the day specified by the user. The alerts are simply reminders of whatever the user wants to hear at certain times. The default Sound files are designed for:

1. Reminder for open time,
2. Reminder not to over trade,
3. Reminder to let Market come to you, and
4. Reminder to make sure proper setups are in place.

To play the attached default audio files, they need to be installed in NT Sounds folder. To play sound files of your choice, simply edit the code and replace the audio file names with file names of your choice and recompile.

Please do not share or distribute outsides BMT Elite Circle or use for any commercial purposes.

Enjoy!

Revision 1, June 24, 2012

Details: Time Alerts Indicator

June 25th, 2012
Size: 483.29 KB

Functions to draw rectangles with MultiCharts - v1

MultiCharts has functions to draw trendlines and arrows on a chart.
But functions to draw rectangles are missing.

The enclosed package provides for 18 simple functions which allow drawing, modifying and deleting rectangles, with a syntax similar to trendlines (TL_*).

Details are given in a PDF document available in the related discussion thread:
https://nexusfi.com/

Nicolas

Details: Functions to draw rectangles with MultiCharts - v1

June 18th, 2012
Size: 30.38 KB

Sierra Chart Session Merge

This version 0.1 of a session-merge customchart study for sierrachart.

Currently works for daily bars , but it does work with volumestudies too.

This version merges sunday with monday.

It is work in progress.

Details: Sierra Chart Session Merge

June 14th, 2012
Size: 3.69 KB

Range Charts - position of the next close and the next open (for MultiCharts) - v1

This indicator can only be used for Range Charts with MultiCharts.

It indicates the possible location of the close of the current bar, and the open of the next. Either in case of up move or down move. So it draws 4 lines all together.

Let's take the example of a 8-range chart (8-point in MultiCharts' terminology).
Let L and H be the current Low and the current High of the bar under formation.

If the price moves up and reaches L + 9 ticks, the current bar will be closed at L + 8 ticks, and the next bar will open at L + 9 ticks.
If the price moves down and reaches H - 9 ticks, the current bar will be closed at H - 8 ticks, and the next bar will open at H - 9 ticks.

So, when a bar is under formation, the indicator draws 2 little dotted lines above the bar, at L+8 and L+9, as well as 2 little dotted lines below the bar, at H-8 and H-9. They correspond to the possible levels of the close of the current bar, and the open of the next, either in the case of an up move, or in the case of a down move.

It has to be underlined that, by definition of a range chart, these positions are not final. If the current H or the current L of the bar under formation moves, the dotted lines will move also.

However, as soon as current H-L of the current bar equals 8 ticks, we know for sure the position of the 4 above-mentioned open and close, and the line becomes solid.

Related discussion thread: https://nexusfi.com/

Details: Range Charts - position of the next close and the next open (for MultiCharts) - v1

June 12th, 2012
Size: 11.28 KB

Font Changer for NT Control Panel 1.1

Version: 1.1
Strategy Name in NT: ChangeFontNinjaTrader
Only tested for NT7

This code makes use of a strategy to change the default font within Ninja Trader. Add the strategy to the Strategy tab within the control panel. Choose your font and enable the strategy. The font will stay on whatever you choose until Ninja Trader is restarted. To reset back to the original font choose Default from the strategy and re-enable. Disable the strategy once the font is set.

Couple of notes:
- The code makes use of the active window condition. This means if you keep in enabled then goto a chart or a edit strategy it will change some of the fonts within the menus and options boxes.

- The code is setup to add additional fonts. See the "Font Types" section of the code.

- when adding additional fonts be sure to use a "_" underscore where ever there is a space.

- Add a comma to the end of the font name.

- The name spelling must be exact or it will change the font to the default setting.

Example of an entry:
Comic_Sans_MS,

Instructions can be found here on how to add a font type:

Change Font on the control panel in Ninja Trader

Posted code to change the default font in NT which can be found here:

Below are the instructions on how to add a new font type.

From the NT menu: Tools --> Edit NinjaScript --> Strategy.

Find the strategy named: ChangeFontNinjaTrader
Click …

Final note:
Although this should not mess anything else up within Ninja Trader, be sure to use caution when using code which changes the default settings of a program. In other words: use at your own risk!!

Details: Font Changer for NT Control Panel 1.1

June 3rd, 2012
Size: 1.27 KB

CADF (Cointegration - Augmented Dickey-Fuller Test)

Augmented Dickey-Fuller Cointegration Indicator, Version 1.01
5/23/2012: Moved ALGLIB routines to separate ALGLIB "Indicator". No functionality changes.

This is posted for BMT Elite Members Only. Please do not share or distribute.

This indicator plots the augmented Dickey-Fuller statistic for residuals from a cointegrating regression. It can be used to show the probability that the prices of 2 instruments are "cointegrated". It would normally be used on daily data with a fairly long period.

It is based on (and was tested against) MATLAB code by James P. Lesage, posted at https://www.spatial-econometrics.com

Some numerical methods use code from ALGLIB (required ALGLIB "Indicator" included)
See https://www.alglib.net/

Recommended Reading: "Quantitative Trading" by Ernest P. Chan
also his blog at https://epchan.blogspot.com

The horizontal lines plotted by the indicator are the "Critical Values" for 1% (lowest line), 5% and 10% (highest line) levels. The indicator plots the statistic; lower values represent increasing likelihood of cointegration.

Details: CADF (Cointegration - Augmented Dickey-Fuller Test)

May 16th, 2012
Size: 647.11 KB

ES (S&P 500) tick/minute 2004/2007 part 3 of 3 - Ninjatrader compatible

No holes - going back to when the ES started to become super popular.

Be certain to read the instructions before importing. Hit 'thanks' if it works for you

Details: ES (S&P 500) tick/minute 2004/2007 part 3 of 3 - Ninjatrader compatible

April 26th, 2012
Size: 162.24 MB

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