A new drawing option has been added to the Profile Indicator in MarketDelta titled “Time-Shaded”. This paints the different time periods of each profile different shades or colors. It provides a great way to apply a profile to a chart and see how the profile has developed through the course of time and comparing it to other recent profiles. For instance, maybe the profile is showing us the overnight activity for the past 3 days has always held and the market traded lower through the course of the regular trading hour session. The time shaded profiles make this pattern stand out. There are many other patterns that may jump out as well.
The time division is dependent on the duration of the profile. For instance, one day profiles are broken down into overnight period (gray), opening range (yellow), initial balance (green), late morning (red), early afternoon (purple) and closing period (blue).
Weekly profiles are divided into days. Monthly profiles are divided into weeks. Quarterly profiles are divided into months. Yearly profiles are divided into quarters. When Time-Shading is turned on, several color options are available including Rainbow (default), Gray scale, Red, Green, and Blue.
More Examples of What is Possible
For yearly profiles, we shade each quarter a different color….
Quarterly Profiles are broken down into months…
Monthly Profiles are broken down by calendar week…
Weekly Profiles into days…
And Daily Profiles (day session) into 9:30 to 9:35 (yellow OR), 9:35 to 10:30 (green IB), 10:30 to 12 (red), 12 to 2:30 (purple) and 2:30 to close (blue). Times shown are EDT.
Overnight session (31) does the same, but also colors the overnight period all gray….
Here is example of same profile above but with Blue shading…
What if instead of just seeing prices going up and down, you could actually see inside each price bar to the buy and sell orders being made in real time? What would that additional level of understanding do for your trading? A lot, actually…
Doctors use technology like x-rays and MRI’s to see inside our bodies to have a better understanding of what might be wrong. Mechanics have the right tools to look under the hood and diagnose problems with our automobiles. In all cases, they use technology and newer tools and methods to help them do better at their job and perform a better service.
The same idea can be applied to trading. Traditional charting methods were all developed before electronic trading existed. Technology changed how trading was done as it moved from the floor to the screen. The MarketDelta Footprint Chart is the only chart to have been developed specifically for traders AFTER electronic markets were created. Electronic markets created challenges as well as opportunity. The challenge was the millions of data points now available. The opportunity was to find ways to make use of all the new data, whether it be visually (like the Footprint chart) or algorithmically (using automated trading systems).
The Footprint charts purpose is to leverage the reams of data produced by electronic markets and provide traders a visual way to have greater insight and transparency to what is happening in real time, making them a more informed trader.
The Footprint chart contains all price and volume data and logically organizes the trading data so traders can see inside the chart which allows them to:
Much of the information we have published on the volume imbalance Footprint has been using the ES futures. It has been great to hear from customers and how it is really helping in their trading.
A common question that has come up refers to the “volume imbalance differential”. This is the minimum difference in volume between the bid and ask as defined by the volume imbalance footprint methodology. Instruments that trade less volume than the ES or have a lot more price volatility require more sensitive settings. The default volume imbalance settings do not shade well enough for these types of instruments., however, there is a setting to contextualize things for whatever you trade.
The default setting is 25, but it can be changed. The adjust your settings see this FAQ, or click Setup | Configuration | search for IMB and set the variable to the amount desired, in this case from 25 to 5.
Here is an example of changing it from 25 to 5 for the DAX futures. Notice that after changing it to 5 there are a lot more volume imbalances that get highlighted.
This is the default setting of 25.
Below is a setting of 5. It is much more sensitive to the instrument.
Quote from a new user of the volume imbalance – “the sentiment of traders on the S&P was easily decoded using the footprint volume imbalance charts. It was like I had a listening device and could tell what large players were thinking collectively. Now that’s impressive. I’m glad to have met your software.” – more testimonials
If you were able to join us for our webinar yesterday we introduced the volume imbalance Footprint®. This Footprint takes all our experience and insight and distills it into a simple, easy to trade chart.
Here are all the resources we mentioned in the webinar, along with the screenshots, chart definition, and other links to help you learn more.
The volume imbalance Footprint is included free of charge in ALL versions of MarketDelta Charts. A free trial is available at www.marketdelta.com/trial or you can subscribe at www.marketdelta.com/charts.
Recently a customer from the great country of Australia emailed in asking about a particular pattern he would see happen infrequently on the Footprint chart. He wondered what it meant and wanted to know if we had any tips for how to trade the pattern.
The pattern is shown in the image below and occurs when there is both bid and ask volume at the high or low price of a bar. This example shows the high of bar example.
The question was “can you tell me the HOW and WHO the 32 and 84 contracts traded on the bid are?” For those who don’t already know, the Footprint chart classifies buyers and sellers and records the trading activity at each price within the bar. The numbers represent the volume traded. Learn more about the Footprint here.
So looking at the first bar, 32 x 2038 represents 2038 contracts/shares trades when that particular price was the ask price and 32 contracts/shares trades when that price became the bid price and traded. The unique thing about this pattern is when 2038 was taken out (lifted) and became the bid the next higher price did not trade. Typically it does but in this case the sellers were very quick to hit the bid and make it go offered again. A total of 32 contacts traded when it briefly became the bid.
So while at each price there is a battle between buyers and sellers, this particular battle shows buyers want to take price higher but are being challenged by sellers. We have found this pattern to be a continuation pattern and whether it happens immediately or not, price tends to come back and test or trade through where this pattern occured. Therefore, we call this Footprint pattern unfinished business.
When this pattern occurs the expectation is for price to return to this level and it typically seems to occur within 30 minutes and usually a lot sooner.
We have actually coded up the ability to have this pattern automatically recognized using the MPH (multiple price highlighter) indicator which is available in all version of MarketDelta Charts.
A related article on this pattern can be found at footprintchart.com.
Order flow is key to understanding what is going on in the market. Having a way to interpret order flow is priceless. MarketDelta specializes in such things and has a Footprint type called Volume Imbalance that takes the best of what the Footprint has to offer and mixes in an algorithm that automatically detect shifts in volume…INSIDE THE BAR! This allows provides priceless information, a few of which are:
In the example above, taken from today’s ESZ3 trading on a 5 tick reversal chart (point and figure methodology), there where 3 trading examples of what to look for.
The past month has been one of extreme growth for MarketDelta Trader and the supported broker network. In early September Zen Fire and Rithmic support were added, opening up MarketDelta Trader to lots of brokers not previously available.
Both Zen Fire and Rithmic are recognized and trusted trading engine solutions, offering robust, manage infrastructures, unfiltered tick data, and help to level the playing field for self-directed traders. Both are offer very low latency and robust connectivity to multiple exchanges for MarketDelta Trader.
Also, there was a 700% increase in the supported CQG broker availability, with many more to come before year end.
These new connectivity options offer the chance to now use MarketDelta Trader with your existing broker. In fact, your broker my already be supported but not yet on this list. Contact them and ask if they support MarketDelta Trader. View the entire list of supported brokers here.
MarketDelta Trader now supports 4 order routing systems (trading engines) and it may be that you can offer it as a supported platform and begin acquiring clients who would like to use the free trading platform.
We also put together some graphics and easy to embed web content to help brokers get up and running quickly. http://www.marketdelta.com/about-us/logos-assets
Another service we can offer brokers is a customer landing page, complete with your branding, etc. The customer landing page is used for your clients to request a MarketDelta Trader license and allows them to quickly and easily a license key request.
One of the unique technical indicators offered within MarketDelta Charts is the Multiple Price Highlighter. Think of this indicator as the “Footprint chart indicator”, meaning it gives you the ability to dissect the bar and apply unique volume and delta studies to each price within the bar. There are a lot of different combinations you can conceive, so check out the FAQ to learn more.
Here is a useful and simple example that highlights a price within the bar when a certain number of contracts or shares have traded at that specific price. In this example the volume threshold is set to 15,000. This means that if 15,000 contracts trade the price will be highlighted cyan, or your color of choosing. You might also choose not to highlight the entire price but instead just put a dot or box on the price when this occurs. There are numerous options.
Notice that it is very infrequent that we see 15,000 trade at a price, at least using the time frame for this chart which is 5 range. Also notice how this price coincided with the high volume price for the day (see on the left), so this serves almost like an alert that volume is building at this level and is turning out to be a key level.
This indicator is available in all versions of MarketDelta Charts and can be easily added to the chart by pressing the Insert key and selecting Multiple Price Highligher. Use the settings below or anything you might want to try.
Here is the chart definition to the MPH Example used above.
There is a nice new option for our Renko periodicity in MarketDelta Charts. It is called Modified Renko. It’s really nothing more than allowing an optional “reversal” period. Standard Renko generally has a reversal period that is twice the box size. So let’s say the box size if 5, it must reverse 10 to start forming boxes in other direction. Modified Renko allows the user to specify the box size and the reversal period. You can think of the box size as the advancement period.
Below, I’ve specified a box size of 1 and a reversal of 10 (ticks). You’ll see that every time we advance 1 tick, we get a new box. We don’t get a reversal bar until we reverse by 10 ticks (from open). I’ve marked this chart up wish some signal markers showing how for the high and low are from the open, and bands showing 10 ticks from the open in both direction so you can get a good feel for exactly how this is working. Use an x to specifly the 2nd parameter which is optional. If a 2nd parameter is not supplied then it reverts to the standard Renko.
Also, instead of showing the true prices achieved in each bar (with high, low, open), it actually manufactures the high, low, open, which does give an interesting effect as you see below. But as you can see, on up bars, the open (and low) are forced way down to where the reversal price would be. It may never actually get to the open/low, or even get close. But it does provide a nice visual. On up bars, the close and high are true but the low and open are generally not. On down bars the close and low are true, but the high and open are generally not.
Available in MarketDelta Charts version 11.2 and higher
The multiple price highlighter (MPH) indicator has some really cool, new additions for those who enjoy using Market Profile. The new option adds three new results which count how many bars the price has touched during the session or the entire chart.
These options count how many bars the price has touched. For instance, on a 30-minute chart, the Bars Touched (Session) option would essentially tell you how many TPOs at each price (historically as of each bar). So a number of 4 suggests a price has traded in 4 distinct 30 minute periods. In addition, there is an option to allow the text to actually reflect the underlying data for these options. It is setup so that if “#” is entered for the text or it is left blank, it will plot the actual # of bars touched. Here is an example of Bars Touched (Session).
Notice in the example above I’ve entered a “Touched” period of 1, but you could enter a larger period there, let’s say 5, and then it would only show (highlight) the prices with 5 or greater. This would allow you to easily identify when a price hit its 5th TPO for the session (and setup an alert / signal action whenever that occurs).
Another example of “Bars Touched (Chart)”
Here is an example with Consecutive Bars Touched (3), showing prices that have been touched by 3 consecutive bars, but now…instead of just highlighting them all equally, you can select to see how many consecutive bars have actually been touched (3 or more).
And you still have the option of highlighting the prices (with our without text) using the hollow box style.
One other important note on this update is in past releases the MPH has required tick data (volume at price data) in order to generate any results. It would only show on bars where tick data existed. This is no longer the case for these 4 result options mentioned here because they have nothing to do with volume at all. These new options even work on daily, weekly, monthly data…as seen below showing Bars Touched (Chart) on a daily chart!
In preferences for the MPH the Dynamic Text check box is only visible for the 4 “bars touched” options and is only enabled when “Text” is checked. It overrides the text entry box with its own dynamic text.