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Volume Pace or Speed of Trades Indicator ?
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Volume Pace or Speed of Trades Indicator ?

  #1 (permalink)
Weston Florida USA
 
Trading Experience: Intermediate
Platform: TS, MultiCharts, Bookmap
Broker/Data: Stage5, Tradestation
Favorite Futures: ES
 
Posts: 18 since Jul 2015
Thanks: 5 given, 6 received

Volume Pace or Speed of Trades Indicator ?

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

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Volume Pace or Speed of Trades Indicator ?-2018-06-14_13-40-57.png  
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  #2 (permalink)
W.Coast, USA.
 
Trading Experience: Intermediate
Platform: Anything
Favorite Futures: Emini
 
Posts: 54 since Jul 2017
Thanks: 13 given, 35 received

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?

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  #3 (permalink)
Weston Florida USA
 
Trading Experience: Intermediate
Platform: TS, MultiCharts, Bookmap
Broker/Data: Stage5, Tradestation
Favorite Futures: ES
 
Posts: 18 since Jul 2015
Thanks: 5 given, 6 received



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#p129012.

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 Tape Indicator ? Trade With The Flow

Attached Files
Register to download File Type: zip PaceOfTape-NT65-v1.0.4.zip (2.4 KB, 26 views)
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  #4 (permalink)
Austin, TX
 
Trading Experience: Intermediate
Platform: NT8
Favorite Futures: EU, SP, Crude CL
 
Posts: 82 since Jul 2018
Thanks: 30 given, 73 received

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.

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  #5 (permalink)
Weston Florida USA
 
Trading Experience: Intermediate
Platform: TS, MultiCharts, Bookmap
Broker/Data: Stage5, Tradestation
Favorite Futures: ES
 
Posts: 18 since Jul 2015
Thanks: 5 given, 6 received

Fugitive69

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...

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  #6 (permalink)
Austin, TX
 
Trading Experience: Intermediate
Platform: NT8
Favorite Futures: EU, SP, Crude CL
 
Posts: 82 since Jul 2018
Thanks: 30 given, 73 received

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.

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The following user says Thank You to Fugitive69 for this post:
 
  #7 (permalink)
Weston Florida USA
 
Trading Experience: Intermediate
Platform: TS, MultiCharts, Bookmap
Broker/Data: Stage5, Tradestation
Favorite Futures: ES
 
Posts: 18 since Jul 2015
Thanks: 5 given, 6 received


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)...

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  #8 (permalink)
Weston Florida USA
 
Trading Experience: Intermediate
Platform: TS, MultiCharts, Bookmap
Broker/Data: Stage5, Tradestation
Favorite Futures: ES
 
Posts: 18 since Jul 2015
Thanks: 5 given, 6 received

NinjaTrader Pace Of Trade Volume Counter

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.

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  #9 (permalink)
Weston Florida USA
 
Trading Experience: Intermediate
Platform: TS, MultiCharts, Bookmap
Broker/Data: Stage5, Tradestation
Favorite Futures: ES
 
Posts: 18 since Jul 2015
Thanks: 5 given, 6 received

Uploads for NT

Attached Files
Register to download File Type: docx for_NinjaTrader.docx (77.6 KB, 32 views)
Register to download File Type: txt TWTapeSpeed_OS.txt (7.4 KB, 27 views)
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  #10 (permalink)
Austin, TX
 
Trading Experience: Intermediate
Platform: NT8
Favorite Futures: EU, SP, Crude CL
 
Posts: 82 since Jul 2018
Thanks: 30 given, 73 received


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.

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