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Tick Volume
Source: https://fxcodebase.com/code/viewtopic.php?f=17&t=61127
Forum: 17 · Topic 61127 · 17 post(s)
Tick Volume
Apprentice · Fri Sep 12, 2014 12:19 pm
This is my attempt to rethink the buildin tick volume.
I’m not sure which algorithm is used on FXCM servers for tick volume calculation. Therefore, certain deviations are possible.
Will provide three presentations. Separated / Cumulative / Cumulative Absolute.
Can provide information about true nature of price action within the candle.
If u like this implementation. Write to your congressman, FXCM, representative … Lobby for availability of Up & Down Tick data on FXCM servers.
Tick Volume Divergence will only sort out the candles for which Candle & Tick Volume direction is different.
MT4/MQ4 version. viewtopic.php?f=38&t=69019
Re: Tick Volume
Apprentice · Mon Sep 15, 2014 8:46 am
Real live example from my Trading Station.
While Buildin Tick volume for the last candle is growing, Indicating that the down move, is supported by increasing the Tick Volume, suggesting a reversal. Cumulative Tick Volume indicates that down move does not have real strength, suggesting a trend continuation. Increase in Tick volume is the result of increased volatility. However for for the time being, neither side has the upper hand.
Re: Tick Volume
kitefrog · Fri Sep 19, 2014 6:06 am
Nice work on your tick volume indicator. Can you make a change to this, and show the ‘cumulative tick volume divergences’ ?
As you probably know:
When it is set in the cumulative mood, when the net total of the tick is different from the candle sentiment it is a tick volume divergence (TVD).
Your NGAS 1HR chart from that posting had two strong ‘tick volume divergences’ (TVD) at the low in your chart. This was added confirmation of a reversal.
http://i.imgur.com/HWHJzOh.png
Nice analysis by the way, and great call on NGAS I’ve annotated these two strong signals in the linked chart above. Can you improve the indicator and make it;
A) show BOTH cumulative tick volume divergences B) only strong strongest TVD.
Just like with delta divergences, there are two strengths of these cumulative TVD.
At a day high, or near the top of range, the strongest is the bullish bar with negative tick cumulative; the weaker of the two signal is the other way around; a bearish bar near highs plus a positive cumulative tick.
(the opposite at lows of course)
I’ve heard somewhere that the cumulative tick volume is 90% correlated with the delta divergence, as per Market Delta; so your indicator will be a good reversal indicator when combined with other signals.
I’ve emailed FXCM and asked them to improve the data stream to include this fed as you’ve requested, and until they improve this stream, I fully appreciate that you might not see the benefit in also making this a strategy file to signal. If you did make the strategy signal, you’ll need a Boolean to ‘only show strongest TVD’, otherwise it could just signal both the TVD strengths.
I’ve been comparing your signals to the market delta charts and their delta divergences, they seem to line up pretty good.
Here’s some NT7 code for the delta divergence, and a MD video about delta divergence so its perfectly clear.
Delta Divergence indicator http://youtu.be/m2K5w7ha-RI (6min)
Code: Select all `CODE for NT7
// Condition set 1: Delta Divergence Down if (Close[0] < Open[0] && GomDeltaVol_UpDown().UpVolume[0] > 0) { DrawTriangleDown(“My triangle down” + CurrentBar, true, 0, High[0] + 2 * TickSize, Color.Black); } // Condition set 2: Delta Divergence Up if (Close[0] > Open[0] && GomDeltaVol_UpDown().DownVolume[0] > 0) { DrawTriangleUp(“My triangle up” + CurrentBar, true, 0, Low[0] + -2 * TickSize, Color.Gold); }`
Thanks so much !! David
Re: Tick Volume
Apprentice · Fri Sep 19, 2014 7:47 am
Tick Volume Divergence Added. Tick Volume minor bug Fix.
Re: Tick Volume
SavvyStrategist · Mon Jun 08, 2015 12:48 pm
I very much like this indicator and greatly appreciate the workaround to circumvent the lack of up/down tick volume availability. However, I did notice one rather major flaw. There seems to be a distinct difference between how real time and past data is interpreted and hence displayed. To clarify this point, I will upload a screenshot.
In essence, past data (talking absolute cumulative model) is always proportional to actual tick volume. New data, that is to say data that is read and displayed after the indicator is first loaded, is half of what it should be. This results in new data being practically unreadable, as it always ends up being too small to notice; comparisons, in turn, are nigh impossible to make. The screenshot below demonstrates this point. I loaded the indicator twice and placed my cursor at the exact time the indicator was loaded last.
There appears to be no flaw whatsoever with past data, so I would suggest retaining that model to display new data. New data, in turn, would be displayed after the candle closes, so the same calculation can be used, thus ensuring consistency and continuity.
P.S. The colors are different but pay no attention to it. It’s the same indicator, as the label suggests.
Re: Tick Volume
SavvyStrategist · Tue Jun 09, 2015 12:23 pm
Actually, it would appear my first observations weren’t entire accurate. The greatest drawback to this indicator is the disparity between tick volume displayed, as per the indicator, and actual tick volume. It is most noticeable when volume prior to the indicator being loaded is greater than volume after it is loaded. Additionally, and for whatever reason, it seems that the last 30m-1hr of data is almost always, if not always, reduced in magnitude. My best guess is that the data mining occurs right to left and not left to right. In either case, my suggestion would be to make tick volume (indicator) always equal to actual tick volume for the specified period, then utilize whatever calculation is used to determine up/down volume and apply it proportionally to create the indicator.
The image below, as before, is a screenshot of the same indicator having been loaded twice, taken when it was last loaded.
Re: Tick Volume
Apprentice · Wed Jun 10, 2015 3:28 am
Write to your congressman, FXCM, representative … Lobby for availability of Up & Down Tick data on FXCM servers. Internal availability of Tick & Real Volume, not that real volume indicator …
Re: Tick Volume
SavvyStrategist · Wed Jun 24, 2015 11:43 am
Fair enough.
Re: Tick Volume
Apprentice · Mon Feb 05, 2018 10:03 am
The indicator was revised and updated.
Re: Tick Volume
lumanauw · Sun Sep 29, 2019 11:11 am
Hi, Apprentice,
This is good indicator
Is it possible to change the criteria to just only 2 for live/forward data? Currently there are 4 criteria, If bid>prevbid up++, If bid<prevbid down++, if ask>prevask up++, If bid<prevbid down++.
Modified to just 2 criteria, if (ask+bid) /2 > prev((ask+bid) /2) up++, down=prevdown If (ask+bid) /2< prev((ask+bid) /2) down++, up=prevup
Also add line chart option, line[0] = line[1]+current data
Thank you
Re: Tick Volume
Apprentice · Mon Sep 30, 2019 12:33 pm
Your request is added to the development list. Development reference 143.
Re: Tick Volume
Apprentice · Wed Oct 09, 2019 12:48 pm
Try this version. viewtopic.php?f=17&t=68993
Re: Tick Volume
paulcarissimo · Sun Oct 13, 2019 9:00 am
Apprentice wrote:
Tick Volume.png
This is my attempt to rethink the buildin tick volume.
I’m not sure which algorithm is used on FXCM servers for tick volume calculation. Therefore, certain deviations are possible.
Will provide three presentations. Separated / Cumulative / Cumulative Absolute.
Can provide information about true nature of price action within the candle.
If u like this implementation. Write to your congressman, FXCM, representative … Lobby for availability of Up & Down Tick data on FXCM servers.
Tick Volume.lua
Tick Volume Divergence.png
Tick Volume Divergence will only sort out the candles for which Candle & Tick Volume direction is different.
Tick Volume Divergence.lua
May I request these indicators as well to be converted to MQ4 as well? Thanks.
Re: Tick Volume
Apprentice · Mon Oct 14, 2019 5:00 am
Your request is added to the development list. Development reference 189.
Re: Tick Volume
paulcarissimo · Tue Oct 15, 2019 12:41 pm
Apprentice wrote: Your request is added to the development list. Development reference 189.
Thank you Apprentice.
Re: Tick Volume
Apprentice · Tue Oct 15, 2019 1:33 pm
MT4/MQ4 version. viewtopic.php?f=38&t=69019
Re: Tick Volume
Apprentice · Wed Oct 16, 2019 8:44 am
MT5/MQ5 version. viewtopic.php?f=38&t=69019