Cumulative Volume Delta with periods

Cumulative Volume Delta with periods

Because it is not possible to get the bid/ask volumes into an usual timeframe (such as the 1 minute one for example), I had the idea to use the “tick by tick chart” to get them. In this kind of chart, each price movement is x ticks received.

Each time the price is higher than the previous received one, the code count the Volumes received as a positive one, same goes for a lower price received, counting as a negative Volumes.

These Volumes counts are accumulated and plotted as green and red histograms. Then a “Cumulative Delta”, which is the difference of the 2 histograms is plotted as a black line.

When the Cumulative Delta is crossing below the zero line, the bearish pressure is real, while the bullish one exist when the Delta is crossing above zero level.

I add a setting to reset the Cumulative Delta to zero each X minutes with the “minutes” parameter. So it is possible to stack many Cumulative Delta on the same chart with different “minutes” settings to get the large picture and smaller one(s).

Note: This indicator is only compatible on a ‘Tick by Tick’ chart with instruments which have Volumes.


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No information on this site is investment advice or a solicitation to buy or sell any financial instrument. Past performance is not indicative of future results. Trading may expose you to risk of loss greater than your deposits and is only suitable for experienced investors who have sufficient financial means to bear such risk.

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  1. Matriciel • 242 days ago #

    Merci encore pour cet indicateur Nicolas.

    Juste pour ma formation personnelle en matière de langage PRT, je ne comprends pas ceci : minuteminute[1]
    C’est surtout le “” que je ne comprends pas.
    Peux-tu me l’expliquer S.T.P ?

  2. Nicolas • 242 days ago #

    Cela permet de tester si on a changé de minute sur la barre courante

  3. Mert • 242 days ago #

    Hello Nicolas, I do not now if this is the place to ask but I would like to ask you something. I am sure that for you it is very simple. I have a moving average in my charts. This MA changes color from red to green for an uptrend and green to red for a down trend.
    I want to have code that covers the color change so that I, for example, can use it in a trading system. Like: go long if the MA turns green. Go shot if the MA turns red. Or use it in an allert. Can you help me in that?
    Warmest regards and thanking you in advance.

    • Nicolas • 242 days ago #

      This is not the right place, please open a new topic in ProOrder forum. This question has been answered many times, I’m sure you will find an answer by using our search engine (right under your avatar at the top right of the website or in the homepage).

  4. claudio1964 • 128 days ago #

    Hello Nicolas great indicator, I use it on prorealtime, can I have a code version for Webank T3? Webank T3 uses proealcode language but I found some problems to generate your indicator thank you vero much

    • Nicolas • 128 days ago #

      I think that it could work if you remove “style(histogram)” from the last line of the code.

  5. Bretty86 • 57 days ago #

    Great work Nicolas! Thank you!

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