Here's an indicator based on GomRecorder framework (see NT forums).
Please download it first , latest version here :
It's a volume ladder that includes cumulative delta stuff, I'll document it below.
It works with 6.5 and 7Beta5
Doc is here now so I can edit it.
GomVolume ladder holds 2 main types of info :
On the right and the left there are 2 ladders with their own setup
In the middle there are the bid/ask ladders that are plotted on the price bars
All Ladder settings :
Show :
Shows or Hides specific ladder.
Number format :
Normal, Kilo1Digit, Kilo.
For example with 12 345, normal is 12 345, Kilo is 12 , Kilo1Digit is 12.3
Ratio Type :
Determines how to calculate bar size (for volume) or color transparency. If MaximumOfLadder is used, the Maximum value of the ladder will be considered 100%.
If you want to be able to compare volume bar sizes, there but be a unique scale: for that use Fixed Number. In that case the Fixed Number represents 100%.
On Bid/Adk charts saturation of the 100% is shown with a change of color.
Not sure I'm being clear here though :-) See charts.
Ratio Max Number :
Only used when Ratio Type is FixedNumber
Side Ladders
Ladder Type
Total Volume : this ladder accumulates volume (blue bars)
Delta : this ladder accumulates the Volume Delta per price level
DeltaDiff : this one not easy to explain... Easier shown with a picture. The delta diff is the difference between current delta (cumulative delta), and the delta the last time this price was seen. See charts
Levels : even harder to explain... From the last tick of bar, it goes up in negative territory with descending delta diffs. If delta diff is superior than delta diff of inferior price, that means up swing of delta has been found. Same going down in positive delta diff territory. It represents the shorts and longs since latest up and down swings (in the bar). Ladder is reinitialized on each bar.
Accumulation type :
Indicates how long the ladder accumulates data
AllDays : all data in the chart is used (as long as it is in the GomRecorder file)
ZeroDays : ladder contains only current session data
NDays : contains the last N days. N if defined by the Accumulation Days property
Accumulation days :
Only used if accumulation type is NDays
Bid/Ask ladders
The cell enclosed in orange shows the last tick of the ladder.
The ladder that has color (green/red surrounding) is the "winning" ladder
Bid/Ask ladders can be toggled using the space bar
The line in the bottom of the chart shows the total delta per bar.
Delta Mode :
True : Ladder is in delta mode, showing volume and delta (buying volume - selling volume)
False: Ladder is in Bid/Ask mode, showing selling volume on the left and buying volume on the right (see included chart)
This can be toggled using the space bar
Show Max Volume
If true, the level containing the maximum volume in the bar will be surrounded by a cyan rectangle.
Global Settings
Aggregation fib level :
This option allows to aggregate ticks if you need a big picture representation. The number of aggregation cells is showed on the bottom of the chart. You can use + and - keys to increase or decrease the fib level. see included charts
Live Mode :
This mode is used to minimize memory footprint in live mode ( you don't want to get a memory crash). In this mode, there is only one ladder in memory, containing latest values.
If set to false, ladders are stored on each bar, meaning you can go back and forth in time on the chart, and see how the ladders value changed in the past. In live mode, the only value is the latest value.
Show Numbers/Borders
If set to false, numbers and borders are not drawn, allowing a nice vertical compression of the chart. Mostly used if you want to see all the historical volume (see chart).
Filter : Only larger than
Big size filter. Will use only ticks that have volume > value. Don't use tick compression in the recorder