Volume Log free

by 9600302 in category Other at 30/04/2015
Description

A volume log (v 1.01) that displays filtered bid and ask volumes. Price is expressed as distance from current bid/ask price in the Bid/Ask columns. Each entry is timestamped and expressed as relative to current time.

Each change in volume is collected internally in realtime and then displayed in the specified interval according to its settings. For performance reasons the minimum display update frequency is 1 second.

After a certain number of bars the oldest items are dropped off the list. This behaviour can be controlled with the "List Length: Bars" parameter.

You can change the color of the text by typing the name of the color into the parameter box. Here is a list of valid colors: http://ctdn.com/api/reference/colors .

Do not copy and paste the code into the editor and try to compile it yourself! The forum software introduces garbage symbols that lead to compiler errors. I don't post the code myself. The forum software automatically extracts the source code from the compiled file for online display. So it is safe to download.

This indicator does not work with ICMarkets.

 

This is version 1.01

V1.01: Change the color of the text with the new "Text Color" parameter.

 

 

Notification Publishing copyrighted material is strictly prohibited. If you believe there is copyrighted material in this section you may use the Copyright Infringement Notification form to submit a claim.
Formula / Source Code
Language: C#
Trading Platform: cAlgocTrader
// This is version 1.01

using System;
using System.Linq;
using System.Text;
using System.Collections.Generic;
using cAlgo.API;
namespace cAlgo.Indicators
{
    public class Listtype
    {
        public double Preis { get; set; }
        public DateTime Zeit { get; set; }
        public double Volumen { get; set; }
    }

    public class Previouslist
    {
        public double Preis { get; set; }
        public double Volumen { get; set; }
    }

    [Indicator(IsOverlay = true, AccessRights = AccessRights.None)]
    public class VolumeLog : Indicator
    {
        [Parameter("Minimum Volume (Millions)", DefaultValue = 16.0, MinValue = 0.0)]
        public double Filter { get; set; }

        [Parameter("List Length: Items", DefaultValue = 20, MinValue = 2, MaxValue = 50)]
        public int ListLength { get; set; }

        [Parameter("List Length: Bars", DefaultValue = 3, MinValue = 1)]
        public int BarsFilter { get; set; }

        [Parameter("Update Frequency (Seconds)", DefaultValue = 5, MinValue = 1)]
        public int UpdateFrequency { get; set; }

        [Parameter("Text Color", DefaultValue = "White")]
        public string TextColor { get; set; }

        private double FilterM;
        private int RollingListLength = 200;
        private MarketDepth _marketDepth;
        private List<Previouslist> PreviousBidList = new List<Previouslist>();
        private List<Previouslist> PreviousAskList = new List<Previouslist>();
        private List<Listtype> RollingListBid = new List<Listtype>(20);
        private List<Listtype> RollingListAsk = new List<Listtype>(20);

        private int BarsAgo(DateTime time)
        {
            for (int i = MarketSeries.OpenTime.Count - 1; i > 0; i--)
            {
                if (MarketSeries.OpenTime[i] <= time)
                    return MarketSeries.OpenTime.Count - 1 - i;
            }
            return -1;
        }
//--------------------------------------
        public override void Calculate(int index)
        {
        }
//--------------------------------------        
        protected override void Initialize()
        {
            _marketDepth = MarketData.GetMarketDepth(Symbol);
            _marketDepth.Updated += MarketDepthUpdated;

            foreach (var entry in _marketDepth.BidEntries)
            {
                PreviousBidList.Add(new Previouslist 
                {
                    Preis = entry.Price,
                    Volumen = entry.Volume
                });
            }

            foreach (var entry in _marketDepth.AskEntries)
            {
                PreviousAskList.Add(new Previouslist 
                {
                    Preis = entry.Price,
                    Volumen = entry.Volume
                });
            }

            FilterM = Filter * 1000000;

            var Table = new StringBuilder();
            Table.AppendLine("Bid\tTime\tMillion\t\tAsk\tTime\tMillion");
            Table.AppendLine("(Buys)\tago\tUnits\t\t(Sells)\tago\tUnits");
            Table.AppendLine("----------------------------------------------------------------------------------");
            ChartObjects.DrawText("Header", Table.ToString(), StaticPosition.TopLeft, (Colors)Enum.Parse(typeof(Colors), TextColor, true));
            Timer.Start(UpdateFrequency);
        }
//--------------------------------------
        protected override void OnTimer()
        {
            var BATable = new StringBuilder();
            BATable.AppendLine("\n\n");
            TimeSpan oldTime = new TimeSpan();
            int oldbago = new int();

            foreach (var Element in RollingListBid.Reverse<Listtype>().Take(ListLength))
            {
                int bago = BarsAgo(Element.Zeit);
                if (bago > BarsFilter)
                    break;
                double dPrice = (Element.Preis - Symbol.Bid) / Symbol.PipSize;
                BATable.Append(string.Format("{0}", dPrice.ToString("0.0")));
                TimeSpan dTime = Time - Element.Zeit;
                double dTimeTMtr = Math.Truncate(dTime.TotalMinutes);
                if (bago > 0)
                {
                    if (bago == oldbago)
                        BATable.Append(string.Format("\t"));
                    else
                        BATable.Append(string.Format("\t{0}{1}", bago, (bago == 1) ? " bar" : " bars"));
                }
                else
                {
                    if (dTimeTMtr >= 1)
                    {
                        if (Math.Truncate(oldTime.TotalMinutes) == dTimeTMtr)
                            BATable.Append(string.Format("\t"));
                        else
                            BATable.Append(string.Format("\t{0}{1}", dTimeTMtr, " min"));
                    }
                    else
                        BATable.Append(string.Format("\t{0}", (oldTime.TotalMinutes == 0) ? "<1 min" : ""));
                }
                oldTime = dTime;
                oldbago = bago;
                BATable.AppendLine(string.Format("\t{0}{1}", Math.Round(Element.Volumen / 1000000.0, 1), "m"));
            }
            ChartObjects.DrawText("Bids", BATable.ToString(), StaticPosition.TopLeft, (Colors)Enum.Parse(typeof(Colors), TextColor, true));
            BATable.Clear();
            BATable.AppendLine("\n\n");
            oldTime = new TimeSpan();
            oldbago = new int();

            foreach (var Element in RollingListAsk.Reverse<Listtype>().Take(ListLength))
            {
                int bago = BarsAgo(Element.Zeit);
                if (bago > BarsFilter)
                    break;
                double dPrice = (Element.Preis - Symbol.Ask) / Symbol.PipSize;
                BATable.Append(string.Format("\t\t\t\t{0}", dPrice.ToString("0.0")));
                TimeSpan dTime = Time - Element.Zeit;
                double dTimeTMtr = Math.Truncate(dTime.TotalMinutes);
                if (bago > 0)
                {
                    if (bago == oldbago)
                        BATable.Append(string.Format("\t"));
                    else
                        BATable.Append(string.Format("\t{0}{1}", bago, (bago == 1) ? " bar" : " bars"));
                }
                else
                {
                    if (dTimeTMtr >= 1)
                    {
                        if (Math.Truncate(oldTime.TotalMinutes) == dTimeTMtr)
                            BATable.Append(string.Format("\t"));
                        else
                            BATable.Append(string.Format("\t{0}{1}", dTimeTMtr, " min"));
                    }
                    else
                        BATable.Append(string.Format("\t{0}", (oldTime.TotalMinutes == 0) ? "<1 min" : ""));
                }
                oldTime = dTime;
                oldbago = bago;
                BATable.AppendLine(string.Format("\t{0}{1}", Math.Round(Element.Volumen / 1000000.0, 1), "m"));
            }
            ChartObjects.DrawText("Asks", BATable.ToString(), StaticPosition.TopLeft, (Colors)Enum.Parse(typeof(Colors), TextColor, true));
        }

//--------------------------------------
        void MarketDepthUpdated()
        {
            foreach (var entry in _marketDepth.BidEntries)
            {
                if (entry.Volume >= FilterM)
                {
                    int idx = PreviousBidList.FindIndex(r => r.Preis.Equals(entry.Price));
                    if (idx == -1)
                    {
                        RollingListBid.Add(new Listtype 
                        {
                            Preis = entry.Price,
                            Zeit = Time,
                            Volumen = entry.Volume
                        });
                    }
                    else
                    {
                        double DifferenceVolume = entry.Volume - PreviousBidList[idx].Volumen;
                        if (DifferenceVolume >= FilterM)
                        {
                            RollingListBid.Add(new Listtype 
                            {
                                Preis = entry.Price,
                                Zeit = Time,
                                Volumen = DifferenceVolume
                            });
                        }
                    }

                    if (RollingListBid.Count > RollingListLength)
                        RollingListBid.RemoveAt(0);
                }
            }

            foreach (var entry in _marketDepth.AskEntries)
            {
                if (entry.Volume >= FilterM)
                {
                    int idx = PreviousAskList.FindIndex(r => r.Preis.Equals(entry.Price));
                    if (idx == -1)
                    {
                        RollingListAsk.Add(new Listtype 
                        {
                            Preis = entry.Price,
                            Zeit = Time,
                            Volumen = entry.Volume
                        });
                    }
                    else
                    {
                        double DifferenceVolume = entry.Volume - PreviousAskList[idx].Volumen;
                        if (DifferenceVolume >= FilterM)
                        {
                            RollingListAsk.Add(new Listtype 
                            {
                                Preis = entry.Price,
                                Zeit = Time,
                                Volumen = DifferenceVolume
                            });
                        }
                    }

                    if (RollingListAsk.Count > RollingListLength)
                        RollingListAsk.RemoveAt(0);
                }
            }

            PreviousBidList.Clear();
            foreach (var entry in _marketDepth.BidEntries)
            {
                PreviousBidList.Add(new Previouslist 
                {
                    Preis = entry.Price,
                    Volumen = entry.Volume
                });
            }

            PreviousAskList.Clear();
            foreach (var entry in _marketDepth.AskEntries)
            {
                PreviousAskList.Add(new Previouslist 
                {
                    Preis = entry.Price,
                    Volumen = entry.Volume
                });
            }
        }
    }
}
Comments

TRADER100D1M - May 01, 2015 @ 17:56

good Morning. By providing the housed indicator,
here in my cTrader it did not work I use the 

 

TRADER100D1M - May 01, 2015 @ 18:23

It worked my mistake was the configuration changed the 16m to a smaller volume

TRADER100D1M - May 01, 2015 @ 19:17

very good. you could share some strategies can be used in addition to dectar entries of sharks ????

you opoderia detail what each item of configuiração?
example:
what is list length: bars?

9600302 - May 01, 2015 @ 22:19

I don't know what you mean and I don't have additional strategies and tips on how to use this. It is only a log that displays the activity of the large volume in the market.

As you already found out if the indicator doesn't show any entry for a long time the filter value has to be lowered.

I didn't make recommendations because every broker, market, currency and time of day is different. 

List length means that old items are dropped of the list after this number of bars. So the list doesn't display entries that are older than that.

As for a detailed explaination of the configuration I will maybe write something more in a week or so.

It should be self explainatory anyway.

 

TRADER100D1M - May 02, 2015 @ 02:01

Thank you, you explained already helped me a lot. desculope for my English I'm using google translater I am Brazilian. success for you

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