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Block-trade visualisation in a chart
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Block-trade visualisation in a chart

  #1 (permalink)
Elite Member
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Block-trade visualisation in a chart

hi all,

i am watching T&S a bit these days and would like to have an indicator that shows me Blocktrades in my chart.
with this help i dont need to watch T&S permanently - that the idea.

i define a Blocktrade as a trade wich has a lot-size of X or more - in example X = 50 / X should be a choosable parameter.

this function is given in T&S - properties - Block alert trade size - but its only working in T&S list.

i want to build an indicator that does a backcolor in the chart - green for blocks on buy - red for blocks on sell .
thats for the beginning - later i will play with diff alerts like drawing-objects / sound etc - i dont know yet what will be the best - but thats not important for now.

main thing is to grab / identify those blocktrades with coding.

important is also that the backcolor stays permanetly if its done one time at this bar.


alternatively it would be possible to do a lower panel indicator - like a histogramm - that paints pos. or neg. lets say value of 1 for one blocktrade, value of 2 for the second blocktrade in the same bar etc. (thinking about minutebars)

i dont want to plot or need to know the volume of the blocks - that doesnt matter -
i just want to show blocks (backcolorversion) or count blocks (lower-panel-version)

i have no idea of coding this cause i never played with the vol + gomi-stuff.

maybe its out there yet - or you have an idea how to realize this.

BTW - the thing should work on NT 6,5 ! - so if it will be based on gomi-indies - it should use versions that are compatible to NT 6,5 !


-

max-td
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  #3 (permalink)
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Trade Size Analysis


This can be done using the GomRecorder.

For each GomOnMarketData event, compare the volume to the block size. If the volume is greater than or equal to the block size, read the TickType to determine whether the trade is a Buy or a Sell.

For each bar, we have four possibilities:

  • NO trades above the block size
  • Trades with buyvolume only that are above the block size
  • Trades with sellvolume only that are above the block size
  • Trades with buyvolume and sellvolume above the block size.

However, several months ago I coded a Trade Size Analyzer that may give you what you want. It shows the volume traded OR orders traded in small, medium, and large lots. The size cutoffs are user adjustable.

It's part of the Double Z Trading Suite posted in the Elite Section.


Last edited by ZTR; July 14th, 2010 at 09:12 AM. Reason: Added Link to DoubleZ
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  #4 (permalink)
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dont know whether i got you right or not but you can try this.


 
Code
protected override void OnMarketData(MarketDataEventArgs e)
        {
            if (e.MarketDataType == MarketDataType.Last && e.Volume >=400) //400 = 400 contracts
            {
                //do whatever you like
            }        
        }

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  #5 (permalink)
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hi bukkan,
i dont know what to do with your lines - i copied them into thisone - but NT 6,5 gave me errors.

can you insert the lines the way that they work ?

your If ( ).... instead of the High [0] < Close [0]

thanks

max-td
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thanks to zondors input - but these ideas + indies only work on NT 7 for now.
we tried to fix it - but with no success till now.

it works not in realtime in NT 6,5 - with recorded datas yes - but not live.

more ideas are welcome

max-td
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here is a nt6.5 indi. see line 49-55

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  #8 (permalink)
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thanks bukkan, got it working

i added the code into the void OnBarUpdate() - section before - that was what made my errors.

one more idea came from LukeG - he pointed me to GomDeltaVolume - indie - that plots a histogramm with the sum of the buy/sell blocktrades (choosable blocksize)
this is also interesting

so i will see what i get out of all these - i dont know yet ...

just testing with the things now + see what gives me a benefit somehow.

playtime for slow market-times

max-td
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Buy Sell Volume Studies Filterable by Trade Size

The Buy/Sell Volume G39 indicator can be set up to show buy sell volume, delta, delta momentum, etc for block trades only by adjusting two Parameters.

They are called, oddly enough:

"The largest trade size that will be counted"

and

"The smallest trade size that will be counted" (set this one to your minimum block size)


https://futures.io/free_downloads/vip_elite_circle/458-download.html?view

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