NexusFi: Find Your Edge


Home Menu

 





Volume Pace or Speed of Trades Indicator ?


Discussion in MultiCharts

Updated
      Top Posters
    1. looks_one jbmiguel with 16 posts (7 thanks)
    2. looks_two rahulgopi with 9 posts (8 thanks)
    3. looks_3 paps with 7 posts (5 thanks)
    4. looks_4 Fugitive69 with 7 posts (3 thanks)
      Best Posters
    1. looks_one JonnyBoy with 2 thanks per post
    2. looks_two rahulgopi with 0.9 thanks per post
    3. looks_3 paps with 0.7 thanks per post
    4. looks_4 jbmiguel with 0.4 thanks per post
    1. trending_up 18,678 views
    2. thumb_up 30 thanks given
    3. group 14 followers
    1. forum 46 posts
    2. attach_file 19 attachments




 
Search this Thread
  #1 (permalink)
 jbmiguel 
Weston Florida USA
 
Experience: Intermediate
Platform: Ninjatrader8, Bookmap
Broker: IB, Rythmic, IQ-feed
Trading: ES
Posts: 31 since Jul 2015
Thanks Given: 12
Thanks Received: 12

Looking for a MultiCharts /Tradestation indicator that could measure the 'Pace' or Speed of of Ticks or Volume traded in real time and display these in a Histogram fashion that identifies between Up/Down volume as well. I'm currently using a great indicator from MBoxwave called MPace but it's not available for MultiCharts. Any guidance or programming help would be greatly appreciated...

There are some basic attempts and re-posts at this type of indicator (Cunparis, etc.) but they're very primitive and don't work well in MC's or TS. I'm really looking for a more sophisticated indicator that makes it easy to see these sudden bursts of volume and then discern whether they were 'Up' or 'Down' volume associated with the histogram bar (similar to the basic Vol. Avg. indicators) see pic attached. I did see similar types of Speed type indicators available for NinjaTrader but I don't have the coding expertise to convert these to MC's and none were in a histogram fashion.

I'm not a programmer please keep that in mind if you have any guidance, Thank you, M

Attached Thumbnails
Click image for larger version

Name:	2018-06-14_13-40-57.png
Views:	897
Size:	33.0 KB
ID:	250812  
Started this thread Reply With Quote

Can you help answer these questions
from other members on NexusFi?
Quantum physics & Trading dynamics
The Elite Circle
Has anyone taken trading from Agnieska Wood - Ahead Coach?
Psychology and Money Management
How to plot a custom icon for crossover
NinjaTrader
What You Know vs How much you know about it
Traders Hideout
Pivot Indicator based on Level2 data
NinjaTrader
 
Best Threads (Most Thanked)
in the last 7 days on NexusFi
ApexTraderFunding.com experience and review
135 thanks
1 Minute Man
65 thanks
In futures why does price turn so hard against you
42 thanks
HumbleTraders next chapter
29 thanks
GFIs1 1 DAX trade per day journal
24 thanks
  #2 (permalink)
 Arch 
W.Coast, USA.
 
Experience: Intermediate
Platform: Anything
Trading: Emini
Posts: 373 since Jul 2017
Thanks Given: 112
Thanks Received: 398

1. are you using the c# version of MC?
2. this sounds interesting. if it doesn't exist, I might try to code one up for MC.NET. can you share the ninja trader source code?

Reply With Quote
  #3 (permalink)
 jbmiguel 
Weston Florida USA
 
Experience: Intermediate
Platform: Ninjatrader8, Bookmap
Broker: IB, Rythmic, IQ-feed
Trading: ES
Posts: 31 since Jul 2015
Thanks Given: 12
Thanks Received: 12



Arch View Post
1. are you using the c# version of MC?
2. this sounds interesting. if it doesn't exist, I might try to code one up for MC.NET. can you share the ninja trader source code?

Hi Arch, I'm using the Regular version of MC's (not the C# or MC.NET). BTW 'Jeff Ellestad' made a Pace of Trade Indicator for the MC.NET version (but it's not as sophisticated as the TS version I'm looking to emulate) here's the MC.NET link to his indicator (under 'rjelles'): https://www.multicharts.com/discussion/viewtopic.php?p=129012.

I've attached the NinjaTrader Pace of Trade code from 'CunParis' which is not as sophisticated or accurate as the TS version I'm using. I can upload a small video if you wish to see it in action. Here's the link to the CunParis code at his website: Pace of [AUTOLINK]Tape[/AUTOLINK] Indicator ? Trade With The Flow

Attached Files
Elite Membership required to download: PaceOfTape-NT65-v1.0.4.zip
Started this thread Reply With Quote
  #4 (permalink)
 Fugitive69 
Austin, TX
 
Experience: Intermediate
Platform: NT8
Trading: EU, SP, Crude CL
Posts: 90 since Jul 2018
Thanks Given: 33
Thanks Received: 105

I've seen a few of these types of indicators for sale for the MC platform. They go by various names: Tick Bar Speedometer - Volume/Tick Velocity - Etc.

While I get the general idea behind these indicators I'm never 100% sure exactly what it is they are counting. They may be trying to incorporate Block Trades into volume and tick data, not sure. The seller's descriptions are anything but straightforward so I've never pursued the products for sale.

But I like the idea since it essentially shows the key relationship between demand and supply.

Reply With Quote
  #5 (permalink)
 jbmiguel 
Weston Florida USA
 
Experience: Intermediate
Platform: Ninjatrader8, Bookmap
Broker: IB, Rythmic, IQ-feed
Trading: ES
Posts: 31 since Jul 2015
Thanks Given: 12
Thanks Received: 12

Yes, I agree with the lack of information and was hoping to get programming guidance to help build an indicator that could measure changes in the speed or intensity of trades down to 1,000th of a second. Although a 1-3 second volume chart would be similar any constraint of time would restrict the efficiency of finding when these 'machine gun' trades go off at market turning points. Still in trial & error mode...

Started this thread Reply With Quote
  #6 (permalink)
 Fugitive69 
Austin, TX
 
Experience: Intermediate
Platform: NT8
Trading: EU, SP, Crude CL
Posts: 90 since Jul 2018
Thanks Given: 33
Thanks Received: 105

I've been working on a similar project but keep getting stuck.
Using range bars (Range Set To 1) I would plot and track consecutive bars up as well as consecutive down. When I discovered an interesting pattern I would more closely examine the exact time each bar would print, looking specifically for those that printed in "machine gun" fashion.

The good news is that the print time would be listed down to the 1,000 of a second. The bad news comes in when trying to devise a method, such as a indicator, that would highlight these anomalies.

My hunch is I've got a baked-in contradiction. On one hand I want to ignore Time as a factor given the fact that I'm using range bars. But on the other hand I do want to pay close attention to time when an anomaly arises. It's a bit of a Catch22.

Reply With Quote
Thanked by:
  #7 (permalink)
 jbmiguel 
Weston Florida USA
 
Experience: Intermediate
Platform: Ninjatrader8, Bookmap
Broker: IB, Rythmic, IQ-feed
Trading: ES
Posts: 31 since Jul 2015
Thanks Given: 12
Thanks Received: 12


Fugitive69 View Post
I've been working on a similar project but keep getting stuck.
Using range bars (Range Set To 1) I would plot and track consecutive bars up as well as consecutive down. When I discovered an interesting pattern I would more closely examine the exact time each bar would print, looking specifically for those that printed in "machine gun" fashion.

The good news is that the print time would be listed down to the 1,000 of a second. The bad news comes in when trying to devise a method, such as a indicator, that would highlight these anomalies.

My hunch is I've got a baked-in contradiction. On one hand I want to ignore Time as a factor given the fact that I'm using range bars. But on the other hand I do want to pay close attention to time when an anomaly arises. It's a bit of a Catch22.

Yes, exactly. We're trying to figure out a workaround to that same problem. We don't want to bound by time but we also need to have a defined comparative in order to capture the anomalies or trade accelerations as they occur. I can see these orders fire off in real-time on my Bookmap software but trying to define and capture these changes via an indicator thru a chart is a challenge. It's hard to be a professional trader with off the shelf stuff probably why this particular indicator is not popular and or readily available. The Smart money would rather you not have it and those that do won't share it (so it seems)...

Started this thread Reply With Quote
  #8 (permalink)
 jbmiguel 
Weston Florida USA
 
Experience: Intermediate
Platform: Ninjatrader8, Bookmap
Broker: IB, Rythmic, IQ-feed
Trading: ES
Posts: 31 since Jul 2015
Thanks Given: 12
Thanks Received: 12

So far, this is the latest progress for NT in counting Volume from an older indicator. Also have a version for TS and MC but not as sophisticated as needed but perhaps helpful to some.

Started this thread Reply With Quote
  #9 (permalink)
 jbmiguel 
Weston Florida USA
 
Experience: Intermediate
Platform: Ninjatrader8, Bookmap
Broker: IB, Rythmic, IQ-feed
Trading: ES
Posts: 31 since Jul 2015
Thanks Given: 12
Thanks Received: 12

Uploads for NT

Attached Files
Elite Membership required to download: for_NinjaTrader.docx
Elite Membership required to download: TWTapeSpeed_OS.txt
Started this thread Reply With Quote
  #10 (permalink)
 Fugitive69 
Austin, TX
 
Experience: Intermediate
Platform: NT8
Trading: EU, SP, Crude CL
Posts: 90 since Jul 2018
Thanks Given: 33
Thanks Received: 105


I found an indicator (Bar Speed Indicator) for Ninja that is also available for TS, supposedly both in Easy Language. However, when I downloaded the free code neither looked like Easy Language to me. But it does grasp the general idea.

It plots the duration of each bar and its appearance is similar to a basic volume indicator sitting at the bottom of your chart window. The general idea being to look for a series of very short bar durations all in a row that represents "machine gun" trades going off super quick.

Apparently MultiCharts has a better ability to track tiny fractions of a second than either NT or TS. So that's a plus.

Reply With Quote




Last Updated on March 28, 2023


© 2024 NexusFi™, s.a., All Rights Reserved.
Av Ricardo J. Alfaro, Century Tower, Panama City, Panama, Ph: +507 833-9432 (Panama and Intl), +1 888-312-3001 (USA and Canada)
All information is for educational use only and is not investment advice. There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
About Us - Contact Us - Site Rules, Acceptable Use, and Terms and Conditions - Privacy Policy - Downloads - Top
no new posts