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Time And Sales Delta

5

The indicator displays the delta and the cumulative delta based on the "Time & Sales" deals list data.

In addition to the standard timeframes, the indicator displays data regarding the seconds timeframes (S5, S10, S15, S20, S30) to choose from.

Using the rectangle, user can select an arbitrary area in the indicator subwindow to view the ratio of the volumes of deals of buyers and sellers within this area.


Indicator features:


The indicator works correctly only on those trading symbols for which the list of deals "Time and Sales" is broadcast.

For trading symbols that have the tick history without the content of the list of deals, an interpretation algorithm is exist: 

  • Each positive Ask tick is interpreted as the unit of volume to buy. 
  • Each negative Bid tick is interpreted as the unit of volume to sell. 

This algorithm works in the mode Calculation=Interpretation and is relevant mainly for currency pairs.


Input variables:

    Ticks - size of history.
      Mode - indicator modes:
        • Chart - price chart.
        • Deals - volumes of buy and sell deals.
        • Delta - difference between the volumes of buy and sell deals.
        • CumDelta - cumulative difference between the volumes of buy and sell deals.
        ViewPoint - view point:
          • Limit - in terms of limit orders.
          • Market - in terms of market orders.
        Calculation - calculation mode:
          • Events - in units of deals events (in ticks).
          • Contracts - in units of volumes of deals (in contracts).
          • Interpretation - interpretation by ticks (see section "Indicator features").
            CumulativeStartTime - starting date/time for cumulative delta.
              CumulativePeriod - period for cumulative display of Mode list modes.
                ExceedanceContracts - from the list of deals will be taken deals with the volume not lower than the specified value.
                  Timing - recalculation frequency in seconds, if the value is zero it is assigned automatically.


                    The other input variables relate to the color settings, and their purpose becomes clear from their name.


                    Avis 2
                    Oleos
                    29
                    Oleos 2023.10.29 12:52 
                     

                    Отличный индикатор. Для меня было важно считывание данных с ленты. Не виснет. Отражает историю. Множество технических и визуальных настроек. Великолепная поддержка разработчика!

                    kramuse
                    37
                    kramuse 2021.02.03 10:34 
                     

                    Very well tunes indicator. Evgeny's designs are exceptional.

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                    Blahtech Limited
                    4.54 (13)
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                    Daniel Stein
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                    Filtrer:
                    Oleos
                    29
                    Oleos 2023.10.29 12:52 
                     

                    Отличный индикатор. Для меня было важно считывание данных с ленты. Не виснет. Отражает историю. Множество технических и визуальных настроек. Великолепная поддержка разработчика!

                    kramuse
                    37
                    kramuse 2021.02.03 10:34 
                     

                    Very well tunes indicator. Evgeny's designs are exceptional.

                    Répondre à l'avis
                    Version 3.2 2023.11.03
                    The indicator is recompiled in MT5 build 4053.
                    Version 3.1 2023.10.04
                    The indicator is recompiled in MT5 build 4000.
                    Version 3.0 2023.08.27
                    The menu list of the input variable “Calculation” has been modified :
                    ByEventsOfDeals - volumes are calculated as the number of real deals, without taking into account their volume.
                    BySizesOfDeals – volumes are calculated by real deals, taking into account their volume.
                    ByEventsOfAllTicks – volumes are calculated as the number of price ticks, without taking into account their size.
                    BySizesOfAllTicks – volumes are calculated by price ticks, taking into account their size.
                    ByEventsOfActiveTicks – volumes are calculated as the number of non-overlapped price ticks, without taking into account their size.
                    BySizesOfActiveTicks – volumes are calculated by non-overlapped price ticks, taking into account their size.
                    Version 2.9 2023.05.21
                    The indicator is recompiled in MT5 build 3742.
                    Version 2.8 2023.04.26
                    The input variable “HistoryLoadMode”, as a drop-down menu, sets the history loading mode in several options:

                    1. “FromSpecifiedTime” - by the start date/time specified in the input variable “HistoryStartTime”.
                    2. “InMonths” - by the number of months (from the beginning of the month) specified in the input variable “HistoryMonths” (value 0 means from the beginning of the current month).
                    3. “InWeeks” - by the number of weeks (from the beginning of the week) specified in the input variable “HistoryWeeks” (value 0 means from the beginning of the current week).
                    4. “InDays” - by the number of days (from the beginning of the day) specified in the input variable “HistoryDays” (value 0 means from the beginning of the current day).
                    5. “InHours” - by the number of hours (from the beginning of the hour) specified in the input variable “HistoryHours” (value 0 means from the beginning of the current hour).

                    With the advent of the input variable “HistoryLoadMode”, the input variables “Ticks” and “CumulativeStartTime” have been abolished as unnecessary.

                    A new mode “DeltaAsCandles” has been added to the list of “Mode” modes, which displays the delta in the form of candles.

                    The indicator works on history in the strategy tester, as well as when it is called from outside.
                    An example call code is attached on the “Comments” tab.
                    Version 2.7 2022.11.29
                    The indicator is recompiled in MT5 build 3521.
                    Version 2.6 2022.05.04
                    The indicator is recompiled in MT5 build 3280.
                    Version 2.5 2021.10.19
                    The indicator is recompiled in MT5 build 3082.
                    Version 2.4 2021.09.16
                    The indicator is recompiled in MT5 build 3035.
                    Version 2.3 2021.06.07
                    The indicator is recompiled in MT5 build 2946.
                    Version 2.2 2021.03.31
                    The input variable CumulativeReset sets the frequency of zeroing the cumulative delta.
                    The indicator is compiled in MT5 build 2860.
                    Version 2.1 2020.12.01
                    The Delta item of the input variable Mode now has two options:
                    - DeltaUpOnly - the delta columns are directed only up, regardless of the delta sign.
                    - DeltaUpAndDown - the delta columns are directed up and down, depending of the delta sign.

                    The indicator is compiled in MT5 build 2715.
                    Version 2.0 2020.10.16
                    The indicator is recompiled in MT5 build 2650.
                    Version 1.9 2020.07.14
                    The indicator is recompiled in MT5 build 2530.
                    Version 1.8 2020.04.13
                    The display of the levels grid is activated using the input variable Levels.
                    The color for levels grid is assigned using the input variable LevelsColor.
                    When the color value is set to None, the levels grid takes the grid color of the chart window.
                    Version 1.7 2019.11.30
                    If the input variable Ticks is set to zero, the history duration is assigned automatically.
                    Version 1.6 2019.11.25
                    Added dimension grid display.
                    In addition to the seconds timeframes, the calculated timeframe can be selected from the entire set of timeframes available in the terminal.
                    Version 1.5 2019.11.20
                    In addition to the standard timeframes, the indicator displays data regarding the second timeframes to choose from using the input variable Timeframe (S5, S10, S15, S20, S30).
                    To the list of modes of the input variable Mode has been added new mode Chart, which displays a price chart in the form of candles.
                    Cumulative delta with no period is now displayed as candles, but cumulative delta with a preset period CumulativePeriod is displayed only as curve.
                    The selection rectangle should now be applied directly to the indicator subwindow, and its function is active only in the modes Mode=Chart or Mode=CumDelta.
                    Note: For second timeframes it is recommended to set the input variable RecalculationTiming to a value smaller than displayed timeframe.
                    Version 1.4 2019.10.31
                    For trading symbols that have the tick history without the content of the list of deals, an interpretation algorithm is created:
                    Each positive Ask tick is interpreted as the unit of volume to buy.
                    Each negative Bid tick is interpreted as the unit of volume to sell.
                    This algorithm works in the mode Calculation=Interpretation and is relevant mainly for currency pairs.
                    Version 1.3 2019.02.10
                    Added a painting of the indicator histogram for candles whose direction is opposite to their delta.
                    Version 1.2 2019.02.03
                    The recalculation timing can be set by the user arbitrarily in seconds using the input variable RecalculationTiming.