- This topic has 227 replies, 14 voices, and was last updated 10 years, 6 months ago by
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Yep, I watched in my new magnifying lens I coded last night (see pics):
Watch out !! ECB major announcement today (EUR), together with Unemployment Claims (USD), roughly at the same time.
- Pic 1: normal activity. I chose AUDJPY for this example for minor influence by EUR and USD news G. mentioned.
- Pic 2: during the event I had a phase of more than 1 minute with no ticks coming in (broker GP)
- Pic 3: ticks are coming in again
- Pic 4: up to 800 points per second during EURUSD news (bottom indicator window)
- Pic 5: tick count vs. point count
Indicator source will be published in my next post.
When interpreting those pics please keep in mind that every bar of the indicator represents 1 second in time, irrespective of timeframe chosen on chart!
s.
A good trader is a realist who wants to grab a chunk from the body of a trend, leaving top- and bottom-fishing to people on an ego trip. (Dr. Alexander Elder)
hi g thanks for ur feedback it will help me while working with the remaining part can u plz share ur normalized volume 2.2 in mq4 form or just tell me what is logic(represented by) behind blue red and white bar
It’s an histogram of Ticks accumulation per bar (considering (+) or (-) price up or down).
BLUE if price moves above previous bar Close.
Red if price moves below previous bar Close.
White for Doji or engulfed by previous bar, i.e. insignificant price move.
Since Histogram does not retrace, you can enter trades when Volume >= its avg.
G.
Ok, and now for the indicator.
I still consider this one experimental, a prototype and possible basis for further intrabar development.
@Anti: you wrote that you’re working on some weak laptop at the moment. So your feedback about ressource consumption would be highly appreciated. On my XEON system CPU consumption lines hardly move when I launch the indicator. So hopefully it should be usable for you, for I tried to use ressources economical (see code for details).Re usage:
- The indicator depth is 64 seconds of tick activity. So after lauching the indicator you’ll have to wait for 64 seconds until the complete picture is forming.
- Make your choice between tick counter and accumulated movement in points for each second of history.
- Make your choice to display average lines on the right hand border (default) or over the histogram.
- Minimum indicator height is set to provide a picture that is visually calmer. Set to 0 to deactivate.
- average lines are shown for past 2, 4, 8, 16, 32, and 64 seconds.
- If your internet connection is too slow or disrupted frequently, this won’t work properly.
Any feedback much appreciated!
s.
A good trader is a realist who wants to grab a chunk from the body of a trend, leaving top- and bottom-fishing to people on an ego trip. (Dr. Alexander Elder)
Yep, I watched in my new magnifying lens I coded last night (see pics):
Watch out !! ECB major announcement today (EUR), together with Unemployment Claims (USD), roughly at the same time.
- Pic 1: normal activity. I chose AUDJPY for this example for minor influence by EUR and USD news G. mentioned.
- Pic 2: during the event I had a phase of more than 1 minute with no ticks coming in (broker GP)
- Pic 3: ticks are coming in again
- Pic 4: up to 800 points per second during EURUSD news (bottom indicator window)
- Pic 5: tick count vs. point count
Indicator source will be published in my next post. When interpreting those pics please keep in mind that every bar of the indicator represents 1 second in time, irrespective of timeframe chosen on chart! s.
Your broker probably block trading during announcements/News and/or open huge spread.
In any case – today’s ECB announcement probably “leaked” or known before to financial institutions.
See the breakout timing on the ForexGT_VolumeOsc (vertical line).
G.
Yes:
Your broker probably block trading during announcements/News and/or open huge spread.
That’s probably the case. I only wanted to provide an example of how the indicator looks like when no ticks are coming in.
s.
A good trader is a realist who wants to grab a chunk from the body of a trend, leaving top- and bottom-fishing to people on an ego trip. (Dr. Alexander Elder)
Ok, and now for the indicator. I still consider this one experimental, a prototype and possible basis for further intrabar development. @Anti: you wrote that you’re working on some weak laptop at the moment. So your feedback about ressource consumption would be highly appreciated. On my XEON system CPU consumption lines hardly move when I launch the indicator. So hopefully it should be usable for you, for I tried to use ressources economical (see code for details).
Thanks. But that was before some days where I was on a business trip. Now I’m at home where I have a good desktop PC
Great:
Now I’m at home where I have a good desktop PC
But could you anyway try on your old laptop and report here? Would save me the trouble to grab some age-old laptop, install MT on it and check for myself!
s.
A good trader is a realist who wants to grab a chunk from the body of a trend, leaving top- and bottom-fishing to people on an ego trip. (Dr. Alexander Elder)
Maybe we could apply it on @simplex indicator to obtain possible volume direction.
Could you provide some conceptual background about this special part of the algorithm:
if (Close>Open) buff=((High-Low)*MathPow(2*High-2*Low+Open-Close,-1))*iVolume(NULL,0,i); else if (Close<Open) buff=((High-Open+Close-Low)*MathPow(2*High-2*Low-Open+Close,-1))*iVolume(NULL,0,i); else buff=iVolume(NULL,0,i)/2;s.
A good trader is a realist who wants to grab a chunk from the body of a trend, leaving top- and bottom-fishing to people on an ego trip. (Dr. Alexander Elder)
Maybe we could apply it on @simplex indicator to obtain possible volume direction.
Could you provide some conceptual background about this special part of the algorithm:
if (Close>Open) buff=((High-Low)*MathPow(2*High-2*Low+Open-Close,-1))*iVolume(NULL,0,i); else if (Close<Open) buff=((High-Open+Close-Low)*MathPow(2*High-2*Low-Open+Close,-1))*iVolume(NULL,0,i); else buff=iVolume(NULL,0,i)/2;s.
Well. As shown before, tick activity rate is approximately constant over a candle’s lifetime (personal interpretation from previous statistics). From this point we are able to derive buying/selling volume from MT4s standard volume. Under the above assumption it should be equal the ratio of up/down prize path to the overall prize path multiplied by total tick volume. Thus, if we’re looking for up volume in an up-bar, we can estimate it by the (up path)/(total path) of a candle. Here the up path is just High -Low. The total path is built by summing up prize paths from open to low, low to high, and high to close: Open-Low+High-Low+High-Close = Open-2*Low+2*High-Close = 2*High-2*Low+Open-Close. Now as we know the ratio of up and down prize path, we can estimate up/down volume by multipling the ratios with total tick volume.
Hope you can understand it: Approx. equal tick activity for lifetime of a candle -> up tick activity ~ dn tick activity -> up prize path ratio * Volume = up volume.
Volume (or Ticks in FX) is leading. I did the cross correlations studies ages ago, but please do it yourself to be convinced. Volume by itself can’t be profitable, because it doesn’t tell you by how much the price will rise/fall and for how long. You’ll always need some combined Volume/Price added indicator with pure Volume indie. G.
How exactly have you performed the ccf? Have you used usual MT4 volume or yet another one? Would you share some results?!
But could you anyway try on your old laptop and report here? Would save me the trouble to grab some age-old laptop, install MT on it and check for myself! s.
Although it took some time till indicator was loaded in MT4, afterwards it ran without troubles.
Yes:
Hope you can understand it: Approx. equal tick activity for lifetime of a candle -> up tick activity ~ dn tick activity -> up prize path ratio * Volume = up volume.
I do understand your assumption, but I just don’t believe that it’s true and I also don’t believe that ‘this was shown before’, as you’re stating.
So for your formulas:
uppath / totalpathwould be kind of a ‘bar efficiency’, equalbodySize / barRange. Correct?s.
A good trader is a realist who wants to grab a chunk from the body of a trend, leaving top- and bottom-fishing to people on an ego trip. (Dr. Alexander Elder)
Thanks for your feedback!
Although it took some time till indicator was loaded in MT4, afterwards it ran without troubles.
A good trader is a realist who wants to grab a chunk from the body of a trend, leaving top- and bottom-fishing to people on an ego trip. (Dr. Alexander Elder)
Ok,
Following G’s repeated proposal (thanks for that!) of averaging volume per session, I now attach a first simple prototype of that kind.
For now no gimmicks, no normalization (except for time), no oscillator. Unit shown is ticks per second, bars colour coded in a simple manner for up / down.
By default, session averages are being calculated over a period of 5 days.
Next step might be to normalize this for average := 1.
s.
A good trader is a realist who wants to grab a chunk from the body of a trend, leaving top- and bottom-fishing to people on an ego trip. (Dr. Alexander Elder)
So for your formulas:
uppath / totalpathwould be kind of a ‘bar efficiency’, equalbodySize / barRange. Correct? s.Well, it’s not exactly the same. What I assume for up bars is a direct move from Open to Low, then to High and finally to Close. For down bars this is from open to high, to low and to close. Thus, it’s different from
bodySize/barRangewhich is|open-close|/(high-low). Please see attachment.Of course, this is only an approximation of up/down volume from volume of a single candle. I’m quite sure that it’s a good approximation. But if you count ticks itself, you can directly use ticks to obtain the best obtainable up/down tick volume.
PS: And that it’s really a good estimator you can see from correlations that show that volume and prize path are directly proportional. Thus, you can use prize path to calculate ratios of up/down ticks and estimate/calculate up/down volume by multiplying candle’s tick volume with both ratios.
Volume (or Ticks in FX) is leading. I did the cross correlations studies ages ago, but please do it yourself to be convinced. Volume by itself can’t be profitable, because it doesn’t tell you by how much the price will rise/fall and for how long. You’ll always need some combined Volume/Price added indicator with pure Volume indie. G.
How exactly have you performed the ccf? Have you used usual MT4 volume or yet another one? Would you share some results?!
By feeding ticks to “R” software.
I think that MT4 is limited to 4 Ticks/sec. – You can get it from LMAX, or some of cTrader brokers (cTrader is used only on true ECN/STP brokers).
If you’re getting constant ticks/sec – forget about getting meaningfull results. You either got a slow PC, Slow internet connection, or slow Broker (not true ECN/STP).
Nevertheless, you can still “squeeze” meaningfull Volume info (or Ticks) from MT4 platform, by comparing relations and other means.
To FULLY test your results – use it with MT4 brokers that provide assets like indexes – such as DAX where the Volume is “true” Volume.
G.
Ok, Following G’s repeated proposal (thanks for that!) of averaging volume per session, I now attach a first simple prototype of that kind. For now no gimmicks, no normalization (except for time), no oscillator. Unit shown is ticks per second, bars colour coded in a simple manner for up / down. By default, session averages are being calculated over a period of 5 days. Next step might be to normalize this for average := 1. s.
Ohhhh, at last !!
Didn’t test it yet, but thanks, simplex.
Good job!
G.
Thanks @gg53. But my question was more what you’ve done afterwards. Did you determine upticks – downticks? Than you must have calculated the pip difference between x candles. What x have you chosen?
Thanks @gg53. But my question was more what you’ve done afterwards. Did you determine upticks – downticks? Than you must have calculated the pip difference between x candles. What x have you chosen?
Yes, I use up/down ticks, their accumullations and in relation to total ticks.
I never used candles in analysis. Candles are snapshots, crude timing intervals that are not related to the total tick flow.
G.
Ok. But what was your dependent variable? If you performed a ccf you need two variables. Thus, up/down ticks were one of it (the independent variable), and prize change must have been the other. But prize change over how many ticks/pips? If not I wonder how you can say that volume is leading to prize.
Attached was an indicator ‘Waddah Attar Buy Sell Vol’..
https://www.mql5.com/en/code/7222
This indicator use M1 volume to determine ‘buy’ ‘sell’ volume at higher time frame..
Might be useful in someway..
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