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Just saw this Mike; great stuff as always. If I may add my 2 cents; absorption of hidden orders I too believe can be a great addition to order flow interpretation as Stone has pointed out. How about an addition to the Profile display type (vertically along/adjacent to the Y-axis) on the chart itself. Maybe as a separate one devoted to just cumulative absorption values ( eg# of contracts traded > that moment's disseminated bid/ask depth of market quantity) denoted by red/green with cumulative absorbed volume over the session in the bar also?
The option to display gaps then remove them from the chart when that range is "pierced" could easily be applied to the stacked imbalances available in this tool. I've seen screen shots of similar visualization techniques applied in other order flow software as well.
Thanks for so much for the continued work and support of this tool!
Thanks for some very fine code. I have exposed the bull and bear alerts as Public series and created a limit price based on MaxSai and MaxSbi and have it running in a strategy. What I was wondering if you have a value in the code I could use for the number of imbalances within the bar as in sellingImbalances and buyingImbalances? Maybe its not there but if it is can you point to some variables to use?
Really starting to internalize my human intelligence (vs AI) with tons of screen time and your histogram delta addition to the Footprint is working GREAT!! Thanks. I've found that I'm concentrating mostly on those Delta histograms along with imbalances astride my other bag of tricks and its starting to get me close to the holy grail<g> Gemify added the Iceberg/hidden order trade quantities in his Free Trader Ladder with columns labeled SIce/BIce as the cumulative volume traded > the snapshot Bid/Ask Footprint trades disseminated at that moment in time.
Had another thought and hunted in the NT8 docs only to discover the Footprint in "Profile" style/display option!! THEN before posting here when checking your updates & presto chango..............you already included it in the Sept update so its already there!! I'm thinking that when there are SIce/BIce trades, include them as a darker shade with their cumulative quantity within Delta histo of the profile of the footprint price row; justified at the far end of the respective delta histo bar.
Some thing else you may be interested in the Large Trades indicator from Ninja Trader works well with the foot print....it will quite often tell you the direction of the market....
I've been playing with the Profile style Footprint for Delta today and want to say thanks for incorporating Profile (vs Numbers) in the indicator settings!! I like both so here's what I came up with in the below screenshot. But (there's always a but) I've found that the Profile style/mode seems to be creating histogram bars only of imbalances and not relative delta values per price . The numbers mode shows delta bars without imbalances while the profile mode does not;it showed up in the side x side comparison when numbers min imbalance=0.3 / profile min imbalance=1 .
Footprint_profile_Delta
In numbers display mode you put imbalance markers adjacent to the bid/ask color coded imbalance numeric values; with or without delta histogram bars. I'm thinking (maybe way too much) that in Profile type display mode, imbalances could just be those same | vertical bar (or Sheffer Stroke) either side of the candle stick space (mine are transparent) instead of a full histogram bar or to the center side of the delta histogram if both conditions occur. The histogram full bar would only be displayed in relative length per price for delta values.
Great stuff ......tell me to shut up and sit down if I seem unappreciative; I dont mean to as I greatly admire your coding skills
Regards
Bruce