Package:  SwissTrader's BidAskDelta Indicator Package

For day-traders, a critical question is "Which way does the pressure lie?".

If you've spent some time trading intraday, you may have come to realize that price and volume are not the entire story.  Along with those elements, the astute short-term trader wants to know if buyers are paying up to get in, if sellers are hitting bids to get out, or if a breakout is being supported or faded. 

Watching time and sales might reveal this information to a properly trained tape-reader, but what could be better than having the computer run a sophisticated program that actually tallies trades-at-bid and the trades-at-ask exactly, on a bar-by-bar basis.

SwissTrader's BidAskDelta Indicator Set creates and maintains a database of BidAskDelta information on your hard disk, and provides 5 advanced visual indicators that will reveal the internals of your market(s) like you've never seen before.

What It Looks Like

On your TradeStation:

On your hard disk:

What You Get

A .ELD file containing 6 TradeStation indicators (1 for database writing, 5 for reading/visualization).

A demo workspace containing a preconfigured Chart with all indicators applied, ready to go.

The indicators are locked to your TS customer number, and the source code is undisclosed.

Customer Support is available via telephone or remote login-on an hourly-rate basis (1 hour min.), if desired.

What It Does

The five visualizing indicators are:

$TT db_BidAskVol_ROM

This indicator displays the net BidAskDelta at each tick level immediately next to the bar.

With this indicator you will see fascinating phenomenon such as the one above - "breakout pile-on" followed by (so far) "unsuccessful pushback".  With this indicator, what can be seen "not to happen" is often as or more important than what does happen!

$TT db_BidAskDelta_ROM

This indicator displays boxes along the bottom of the chart.  These boxes show the max., min., and current/final AskBidDelta for each bar.

A positive AskBidDelta, shown in green, indicates more trades going off at or above the inside ask than going off at or below the inside bid.

A negative AskBidDelta, shown in red, indicates more trades going off at or below the inside bid than going off at or above the inside ask.

IOW, the AskBidDelta is a Net calculation of all "sensible" trades in relation to the currently quoted bid and ask.  Crossed trades and in-between trades are detected and excluded from this calculation.

$TT db_CumDelta_ROM

This indicator displays boxes along the bottom of the chart.  These boxes show the AskBidDelta along with its change value (since the last bar), and its cumulative value (since the start of the chart or data).

Note: this display is an alternative to $TT db_BidAskDelta_ROM , as these two displays compete for the same display area!

$TT db_AvgDelta_ROM

This indicator (see top picture) creates a histogram display of the smoothed AskBidDelta, with coloring to indicate the dominant pressure direction, and whether it is increasing or decreasing.  The display may be unsmoothed, or set to whatever average period is desired.

$TT db_BidAskPrs_ROM

This indicator (see top picture) creates a histogram display of the Bid and Ask volume using a calculation with square roots and logarithms.  It is similar in intent, but different in measurement to the AvgDelta calculation.  This indicator provides a display whose output is numerically compressed and provides visual emphasis of peaks.  The display may be unsmoothed, or set to whatever average period is desired.

How It Works

The advanced database writing indicator ($TT db_BidAskVol_RAM) captures all the needed inside bid, inside ask, and trade information, and writes that information to a database (in memory and on disk), with files organized by symbol, day, and data type.

The 5 visualization indicators display the information contained in the database.  Remarkably, this works in both realtime and historically.  As realtime Bid, Ask and trade information is captured by your chart(s), it becomes part of your "permanent record" of market behavior. 

BTW, we've called this package "BidAskDelta" since that rolls off the tongue nicely, but mathematically the calculation is (Ask Trades - Bid Trades), which is "AskBidDelta".  For accuracy in terminology, that's how the displays are labeled (as shown above).

Requirements

This indicator requires TradeStation 8.3 Build 1631 or later.

BidAskDelta works for all instruments where InsideBid, InsideAsk, and actual trades are continuously reported on the TS datafeed.  Generally speaking, this includes stocks and futures, but not Forex.

What It Costs

$495 will buy you a new form of market insight that you will likely use for the rest of your trading career.  As a custom programming job, this package would sell for well over 5 times this price (based on the effort of creation).  CodeForTraders is very pleased to offer this outstanding bargain.

Hedge funds and private trading pools may wish to write advanced applications or strategies based upon this code.  A commercial license accompanied by open source code may be purchased for $1500.  Interested parties, inquire here:  questions@CodeForTraders.com

How You Get It

This package will be emailed to you after your PayPal payment is processed. Please be aware of the caveats before you order.