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.
//PRC_CumulativeDeltaWithPeriods | indicator
//21.03.2018
//Nicolas @ www.prorealcode.com
//Sharing ProRealTime knowledge
// --- settings
iminutes = 4 // in minutes quantity
// --- end of settings
newperiod = minute<>minute[1]
if newperiod then
count=count+1
endif
if count=iminutes then
count=0
volp=0
volm=0
endif
if volume>0 then
if close>last then
last=close
volp = volp+volume
elsif close<last then
last=close
volm = volm+volume
endif
delta = volp-volm
endif
return volp coloured(0,200,0,50) style(histogram) as "Positive volumes", -volm coloured(200,0,0,50) style(histogram) as "Negative volumes", delta as "Volume delta"
Comments
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Hi Nicolas, I am trying to use your indicator on IGs Germany 30 DFB. I want to have the indicator calculate the cumulative delta for each minute and then reset. However the indicator doesn't seem to consistently reset every minute, then length of time for each accumulation is variable and I have to reset the indicator if I want each block to be equal to 1 minute - this suggest it is working fine for historical data but has problems running in real time. Any ideas how to fix this as it is a really useful indicator otherwise
Come andrebbe modificato il codice se volessi calcolare il Cumulative Delta ogni X Ticks
Hi Nicolas! This indicator is awesome! Can you help me to modify it a little bit...I want to get the Cumulative Delta on all loaded tick bars on a chart. And not to reset every X minutes. Something like this I found on PRC forum (but don't provide the inside code): https://www.prorealcode.com/topic/cumulative-delta/
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
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. Mert
Do you think adjusting the below code might help? newperiod = minuteminute[1] if newperiod then count=count+1 endif if count = iminutes then count=0 volp=0 volm=0 endif If the indicator requires a tick to come in the precise moment that 1 minute has elapsed perhaps a 5 second buffer either end of the minute might facilitate this? What would be the syntax to replace 'minute' int he above with 'second'? I can only find 'CurrentSecond' which doesn't seem to do the job.