Here is a chart which includes both Bar Stats and Price Stats. Bar Stats shows bar information for big trades on top, and below it the per-bar info for small trades. Use button at top to adjust the cut-off level. https://www.linnsoft.com/charts/volumefilterbarstats-es
Two VolumeScope indicators in the upper pane show the volume of big trades in blue and small trades in orange. Could certainly change these to show delta instead of volume if you wish.
I am pretty certain that Gain (and most broker data sources) send the data bundled. DTN IQFEED actually goes to the trouble of unbundling the data. Consolidated Tape option in Investor/RT is only applicable to IQFEED and simply puts the unbundled trades back together. So no, you don't need to use IQFEED for this to be relevant. You may want to check with your contact at Gain to confirm this is the case (and let us know if you do), but I'm pretty certain you can assume conslidated tape with Gain data.
This looks great Chad, I'll have to give it a try on some currency futures
I have some ideas for minor improvements - Would it be possible to have some shading incorporated into the bars and volumes in the upper pane? If the delta of a bar is positive for large lots but negative for smalls you could use some green shading that's dark or light dependent on the scale of difference between the deltas, using red shading for the inverse
I think having the candle values show delta like you mentioned would be much handier. I'm also assuming the panel on the rhs is delta at price? Could that be changed to reflect only the current candle and instead show the bid/offer fills for bigs and the same for smalls?
Here is a chart which includes both Bar Stats and Price Stats. Bar Stats shows bar information for big trades on top, and below it the per-bar info for small trades. Use button at top to adjust the cut-off level. https://www.linnsoft.com/charts/volumefilterbarstats-es
Two VolumeScope indicators in the upper pane show the volume of big trades in blue and small trades in orange. Could certainly change these to show delta instead of volume if you wish.
Ty. But do I need to use the dtn iqfeed with c.tape or can this work with the gain data feed?
I am pretty certain that Gain (and most broker data sources) send the data bundled. DTN IQFEED actually goes to the trouble of unbundling the data. Consolidated Tape option in Investor/RT is only applicable to IQFEED and simply puts the unbundled trades back together. So no, you don't need to use IQFEED for this to be relevant. You may want to check with your contact at Gain to confirm this is the case (and let us know if you do), but I'm pretty certain you can assume conslidated tape with Gain data.
This looks great Chad, I'll have to give it a try on some currency futures
I have some ideas for minor improvements - Would it be possible to have some shading incorporated into the bars and volumes in the upper pane? If the delta of a bar is positive for large lots but negative for smalls you could use some green shading that's dark or light dependent on the scale of difference between the deltas, using red shading for the inverse
I think having the candle values show delta like you mentioned would be much handier. I'm also assuming the panel on the rhs is delta at price? Could that be changed to reflect only the current candle and instead show the bid/offer fills for bigs and the same for smalls?
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