Better Volume Indicator

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Re: Better Volume Indicator

Postby Merchantprince » Wed May 09, 2012 11:37 am

I've noticed something disconcerting about this indicator which I hope others can address: it seems the bars repaint.

After you place the indi on a chart and allow it to run for awhile, the indicator repaints if you change time-frames or simply open the Properties window and click 'OK' without changing anything. By switching to a different time frame, then switching back, many Climax Up or Down bars instead become a different color. The same is true when you open the Properties dialog box, the click OK - many Climax bars switch colors to become non-climax bars.

Can anyone explain why this is? It would seem to make the indicator almost entirely unreliable.
Merchantprince
 
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Joined: Wed Jul 28, 2010 3:24 pm

Re: Better Volume Indicator

Postby maweno » Thu May 10, 2012 1:00 am

Hi Merchantprince!

I know the problem. That's no problem with the indicator, there is a
problem with the tick volume. The IT-Crew of FXCM know the problem,
but that doesn't get solved.
This indicator isn't properly used on the TSII ...
Problem at FXCM - display tick volume.
On the Metatrader there is no problem.
maweno
 
Posts: 20
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Re: Better Volume Indicator

Postby Merchantprince » Thu May 10, 2012 6:53 am

Is this true for all the custom indicators posted on FX Codebase that deal with tick volume?
Merchantprince
 
Posts: 14
Joined: Wed Jul 28, 2010 3:24 pm

Re: Better Volume Indicator

Postby robocod » Mon Sep 10, 2012 6:56 am

maweno wrote:Hi Merchantprince!

I know the problem. That's no problem with the indicator, there is a
problem with the tick volume. The IT-Crew of FXCM know the problem,
but that doesn't get solved.
This indicator isn't properly used on the TSII ...
Problem at FXCM - display tick volume.
On the Metatrader there is no problem.


I think I've actually found the issue with this indicator.

Ok, first of all about the tick data...
When you 1st open a chart in MarketScope it backfills all the historic bars with data from the FXCM data server. Once the chart is open, your client receives all the latest tick data from the FXCM live server. Importantly, the historic data and the live data might not be exactly the same. I don't know exactly why - it's just the way FXCM manage their data. You can test it yourself. At the start of day open 2 charts of the same period. At the end of the day they should look the same. But, then refresh one of the charts (or re-open it with same data range). Look closely and you may see small differences - in price data as well as volume. The price differences are usually minuscule (maybe an open/close was was slightly different). The volume data tends to show bigger differences, although they are still small.

There also appears to be a bigger difference when comparing Friday's data and then re-opening the chart on Monday. I didn't investigate this myself, but it was reported somewhere on this forum or perhaps DailFX.

With this in mind, I tested BetVol_V2.lua looking for issues due to such problems. Whilst I did see some differences in tick volume data, there were not significant enough to cause the differently painted bars. So, I had a look at the indicator code itself, and found the issue there.

Basically, the BetVol_V2.lua indicator will analyse the live bar (i.e. before it is closed). If the computation happens to detect it as, for example, a ClimaxUp bar, then the bar is set to red. However, the bar is not closed yet. If that bar later changes to a normal bar, nothing was setting the bar colour back to the default grey colour! If the chart was re-loaded it computes correctly. It was only bars that were coloured from the "live" data which were later recalculated as "normal bars" that were wrong.

Whilst there is still the possibility of minor differences due to tick volume differences, I think this will be a very minor effect and possibly negligible.

Here's a chart showing the issue.

bet_vol.png


I modified the indicator, which is now V3. It is attached. Also the code is posted here.

BetVol_V3.lua
(13.19 KiB) Downloaded 897 times


Code: Select all
-- Indicator profile initialization routine
-- Defines indicator profile properties and indicator parameters
-- TODO: Add minimal and maximal value of numeric parameters and default color of the streams
function Init()
    indicator:name("Climax Volume Spread v2");
    indicator:description("No description");
    indicator:requiredSource(core.Bar);
    indicator:type(core.Oscillator);
    indicator:setTag("group", "GSL");

    indicator.parameters:addInteger("N", "Average Period", "No description", 20);
    indicator.parameters:addInteger("Back", "Analyse Period Back", "No description", 20);
    indicator.parameters:addBoolean("TwoBars", "Use TwoBars", "No description", false);
    --indicator.parameters:addInteger("BidAsk", "Bid or ASK", "No description", 2);
    indicator.parameters:addColor("LowVol_color", "Color of LowVol_color", "Color of LowVol_color", core.rgb(255, 255, 0));
    indicator.parameters:addColor("ClimaxUp_color", "Color of ClimaxUp", "Color of ClimaxUp", core.rgb(255, 0, 0));
    indicator.parameters:addColor("ClimaxDn_color", "Color of ClimaxDn", "Color of ClimaxDn", core.rgb(255, 255, 255));
    indicator.parameters:addColor("DensityUp_color", "Color of Churn", "Color of DensityUp", core.rgb(0, 255, 0));
    indicator.parameters:addColor("DensityDn_color", "Color of ClimaxChurn", "Color of DensityDn", core.rgb(255, 0, 128));
    indicator.parameters:addColor("VolumeBar_color", "Color of VolumeBar", "Color of VolumeBar", core.rgb(128, 128, 128));
    indicator.parameters:addColor("SMAline_color", "Color of SMAline", "Color of SMAline", core.rgb(255, 0, 0));
end

-- Indicator instance initialization routine
-- Processes indicator parameters and creates output streams
-- TODO: Refine the first period calculation for each of the output streams.
-- TODO: Calculate all constants, create instances all subsequent indicators and load all required libraries
-- Parameters block
local N;
local Back;

local first;
local source = nil;

-- Streams block
local ClimaxUp = nil;
local ClimaxDn = nil;
local DensityUp = nil;
local DensityDn = nil;
local VolumeBar = nil;
local SMAline = nil;

-- Routine
function Prepare(nameOnly)
    N = instance.parameters.N;
    Back = instance.parameters.Back;
    source = instance.source;
    first = source:first() + N + Back -1;

    local name = profile:id() .. "(" .. source:name() .. ", " .. tostring(N) .. ", " .. tostring(Back) .. ")";
    instance:name(name);

    if (not (nameOnly)) then
        Value1 = instance:addInternalStream(0,0);
        Value2 = instance:addInternalStream(0,0);
        Value3 = instance:addInternalStream(0,0);
        Value4 = instance:addInternalStream(0,0);
        Value5 = instance:addInternalStream(0,0);
        Value6 = instance:addInternalStream(0,0);
        Value7 = instance:addInternalStream(0,0);
        Value8 = instance:addInternalStream(0,0);
        Value9 = instance:addInternalStream(0,0);
        Value10 = instance:addInternalStream(0,0);
        Value11 = instance:addInternalStream(0,0);
        Value12 = instance:addInternalStream(0,0);
        Value13 = instance:addInternalStream(0,0);
        Value14 = instance:addInternalStream(0,0);
        Value15 = instance:addInternalStream(0,0);
        Value16 = instance:addInternalStream(0,0);
        Value17 = instance:addInternalStream(0,0);
        Value18 = instance:addInternalStream(0,0);
        Value19 = instance:addInternalStream(0,0);
        Value20 = instance:addInternalStream(0,0);
        Value21 = instance:addInternalStream(0,0);
        Value22 = instance:addInternalStream(0,0);
        VolumeBar = instance:addStream("VolumeBar", core.Bar, name .. ".VolumeBar", "VolumeBar", instance.parameters.VolumeBar_color, first);
        VolumeBar:setPrecision(0);
        SMAline = instance:addStream("SMAline", core.Line, name .. ".SMAline", "SMAline", instance.parameters.SMAline_color, first);
        SMAline:setPrecision(0);
    end
end

-- Indicator calculation routine
-- TODO: Add your code for calculation output values
function Update(period)
    local p = period;
        local HIGH = source.high[period];
        local LOW = source.low[period];
        local OPEN = source.open[period];
        local CLOSE = source.close[period];
        local VOLUME = source.volume[period];
        VolumeBar[period] = VOLUME;
        SMAline[period] = 0;
    if period < first then
        Value1[p] = 0;
        Value2[p] = 0;
        Value3[p] = 0;
        Value4[p] = 0;
        Value5[p] = 0;
        Value6[p] = 0;
        Value7[p] = 0;
        Value8[p] = 0;
        Value9[p] = 0;
        Value10[p] = 0;
        Value11[p] = 0;
        Value12[p] = 0;
        Value13[p] = 0;
        Value14[p] = 0;
        Value15[p] = 0;
        Value16[p] = 0;
        Value17[p] = 0;
        Value18[p] = 0;
        Value19[p] = 0;
        Value20[p] = 0;
        Value21[p] = 0;
        Value22[p] = 0;
    end
    if period >= first and source:hasData(period) then
        SMAline[period] = mathex.avg(source.volume,period-N+1,period);
        --if instance.parameters.BidAsk  == 0 then
        --    Range = HIGH-CLOSE;
        --elseif instance.parameters.BidAsk  == 1 then
        --    Range = CLOSE-LOW;
        --else
            Range = HIGH-LOW;
        --end

        if  CLOSE > OPEN then
            Value1[p] = VOLUME*(Range/(2*Range + OPEN - CLOSE));
        elseif CLOSE < OPEN then
            Value1[p] = VOLUME*((Range + CLOSE-OPEN)/(2*Range + CLOSE-OPEN));
        end
        if CLOSE == OPEN then
            Value1[p] = 0.5*VOLUME;
        end
        Value2[p] =     VOLUME - Value1[p];
        Value3[p] =     Value1[p] + Value2[p];
        Value4[p] =     Value1[p] * Range;
        Value5[p] = (   Value1[p]-Value2[p])*Range
        Value6[p] =     Value2[p]*Range;
        Value7[p] = (   Value2[p]-Value1[p])*Range;
        if Range ~= 0 then
            Value8[p]  =    Value1[p]/Range;
            Value9[p]  = (  Value1[p]-Value2[p])/Range;
            Value10[p] =    Value2[p]/Range;
            Value11[p] = (  Value2[p]-Value1[p])/Range;
            Value12[p] =    Value3[p]/Range;
        end

        Value13[p] = Value3[p] + Value3[p-1];
        Value14[p] = (Value1[p]+Value1[p-1])*(mathex.max(source.high,p-2+1,p) - mathex.min(source.low,p-2+1,p));
        Value15[p] = (Value1[p]+Value1[p-1] - Value2[p] - Value2[p-1]) * (mathex.max(source.high,p-2+1,p) - mathex.min(source.low,p-2+1,p));
        Value16[p] = (Value2[p]+Value2[p-1])*(mathex.max(source.high,p-2+1,p) - mathex.min(source.low,p-2+1,p));
        Value17[p] = (Value2[p]+Value2[p-1] - Value1[p] - Value1[p-1]) * (mathex.max(source.high,p-2+1,p) - mathex.min(source.low,p-2+1,p));
        if mathex.max(source.high,p-2+1,p) ~= mathex.min(source.low,p-2+1,p) then
            Value18[p] = (Value1[p] + Value1[p-1])/(mathex.max(source.high,p-2+1,p) - mathex.min(source.low,p-2+1,p));
        end
        Value19[p] = (Value1[p]+Value1[p-1] - Value2[p] - Value2[p-1]) / (mathex.max(source.high,p-2+1,p) - mathex.min(source.low,p-2+1,p));
        Value20[p] = (Value2[p]+Value2[p-1]) / (mathex.max(source.high,p-2+1,p) - mathex.min(source.low,p-2+1,p));
        Value21[p] = (Value2[p]+Value2[p-1] - Value1[p] - Value1[p-1]) / (mathex.max(source.high,p-2+1,p) - mathex.min(source.low,p-2+1,p));
        Value22[p] = Value13[p]/(mathex.max(source.high,p-2+1,p) - mathex.min(source.low,p-2+1,p));

        VolumeBar:setColor(period, instance.parameters.VolumeBar_color); -- Fix to ensure default bar colour is correct
       
        if not instance.parameters.TwoBars then
            --Con 1 or Con 11
            if (Value3[p] == mathex.min(Value3,p-Back+1,p)) then  -- Yellow -- TwoBars or (Vlaue13[p] == mathex.min(Value13,p-Back+1,p)) then
                VolumeBar:setColor(period,instance.parameters.LowVol_color);
            end
            --Con 2 or Con 3 or Con 8 or Con 9 or Con 12 or Con 13 or Con 18 or con 19
            if (Value4[p] == mathex.max(Value4,p-Back+1,p) and CLOSE > OPEN) or
               (Value5[p] == mathex.max(Value5,p-Back+1,p) and CLOSE > OPEN) or
               (Value10[p] == mathex.min(Value10,p-Back+1,p) and CLOSE > OPEN) or
               (Value11[p] == mathex.min(Value11,p-Back+1,p) and CLOSE > OPEN) then  --RED -- TwoBars or (Vlaue13[p] == mathex.min(Value13,p-Back+1,p)) then
                VolumeBar:setColor(period,instance.parameters.ClimaxUp_color);
            end
            --Con 4 or Con 5 or Con 6 or Con 7 or Con 14 or Con 15 or Con 16 or con 17
            if (Value6[p] == mathex.max(Value6,p-Back+1,p) and CLOSE < OPEN) or
               (Value7[p] == mathex.max(Value7,p-Back+1,p) and CLOSE < OPEN) or
               (Value8[p] == mathex.min(Value8,p-Back+1,p) and CLOSE < OPEN) or
               (Value9[p] == mathex.min(Value9,p-Back+1,p) and CLOSE < OPEN) then -- White
                VolumeBar:setColor(period,instance.parameters.ClimaxDn_color);
            end
            -- Churn Con 10
            if Value12[p] == mathex.max(Value12,p-Back+1,p) then -- Green
                VolumeBar:setColor(period,instance.parameters.DensityUp_color);
            end
            --ClimaxChurn
            if (Value12[p] == mathex.max(Value12,p-Back+1,p) ) and
               (    (Value4[p] == mathex.max(Value4,p-Back+1,p) and CLOSE > OPEN) or
                    (Value5[p] == mathex.max(Value5,p-Back+1,p) and CLOSE > OPEN) or
                    (Value10[p] == mathex.min(Value10,p-Back+1,p) and CLOSE > OPEN) or
                    (Value11[p] == mathex.min(Value11,p-Back+1,p) and CLOSE > OPEN) or
                    (Value6[p] == mathex.max(Value6,p-Back+1,p) and CLOSE < OPEN) or
                    (Value7[p] == mathex.max(Value7,p-Back+1,p) and CLOSE < OPEN) or
                    (Value8[p] == mathex.min(Value8,p-Back+1,p) and CLOSE < OPEN) or
                    (Value9[p] == mathex.min(Value9,p-Back+1,p) and CLOSE < OPEN) ) then
                VolumeBar:setColor(period,instance.parameters.DensityDn_color);
            end
        else
            --Con 1 or Con 11
            if (Value13[p] == mathex.min(Value13,p-Back+1,p)) then  -- Yellow -- TwoBars or (Vlaue13[p] == mathex.min(Value13,p-Back+1,p)) then
                VolumeBar:setColor(period,instance.parameters.LowVol_color);
            end
            --Con 2 or Con 3 or Con 8 or Con 9 or Con 12 or Con 13 or Con 18 or con 19
            if ((Value14[p] == mathex.max(Value14,p-Back+1,p)) and (CLOSE > OPEN) and (source.close[p-1] > source.open[p-1])) or
               ((Value15[p] == mathex.max(Value15,p-Back+1,p)) and (CLOSE > OPEN) and (source.close[p-1] > source.open[p-1])) or
               ((Value20[p] == mathex.min(Value20,p-Back+1,p)) and (CLOSE > OPEN) and (source.close[p-1] > source.open[p-1])) or
               ((Value21[p] == mathex.min(Value21,p-Back+1,p)) and (CLOSE > OPEN) and (source.close[p-1] > source.open[p-1])) then  --RED -- TwoBars or (Vlaue13[p] == mathex.min(Value13,p-Back+1,p)) then
                VolumeBar:setColor(period,instance.parameters.ClimaxUp_color);
            end
            --Con 4 or Con 5 or Con 6 or Con 7 or Con 14 or Con 15 or Con 16 or con 17
            if ((Value16[p] == mathex.max(Value16,p-Back+1,p)) and (CLOSE < OPEN) and (source.close[p-1] < source.open[p-1])) or
               ((Value17[p] == mathex.max(Value17,p-Back+1,p)) and (CLOSE < OPEN) and (source.close[p-1] < source.open[p-1])) or
               ((Value18[p] == mathex.min(Value18,p-Back+1,p)) and (CLOSE < OPEN) and (source.close[p-1] < source.open[p-1])) or
               ((Value19[p] == mathex.min(Value19,p-Back+1,p)) and (CLOSE < OPEN) and (source.close[p-1] < source.open[p-1])) then -- White
                VolumeBar:setColor(period,instance.parameters.ClimaxDn_color);
            end
            -- Churn Con 10
            if Value22[p] == mathex.max(Value22,p-Back+1,p) then -- Green
                VolumeBar:setColor(period,instance.parameters.DensityUp_color);
            end
            --ClimaxChurn
            if (Value22[p] == mathex.max(Value22,p-Back+1,p) ) and
               (    ((Value14[p] == mathex.max(Value14,p-Back+1,p)) and (CLOSE > OPEN) and (source.close[p-1] > source.open[p-1])) or
                    ((Value15[p] == mathex.max(Value15,p-Back+1,p)) and (CLOSE > OPEN) and (source.close[p-1] > source.open[p-1])) or
                    ((Value20[p] == mathex.min(Value20,p-Back+1,p)) and (CLOSE > OPEN) and (source.close[p-1] > source.open[p-1])) or
                    ((Value21[p] == mathex.min(Value21,p-Back+1,p)) and (CLOSE > OPEN) and (source.close[p-1] > source.open[p-1])) or
                    ((Value16[p] == mathex.max(Value16,p-Back+1,p)) and (CLOSE < OPEN) and (source.close[p-1] < source.open[p-1])) or
                    ((Value17[p] == mathex.max(Value17,p-Back+1,p)) and (CLOSE < OPEN) and (source.close[p-1] < source.open[p-1])) or
                    ((Value18[p] == mathex.min(Value18,p-Back+1,p)) and (CLOSE < OPEN) and (source.close[p-1] < source.open[p-1])) or
                    ((Value19[p] == mathex.min(Value19,p-Back+1,p)) and (CLOSE < OPEN) and (source.close[p-1] < source.open[p-1])) ) then
                VolumeBar:setColor(period,instance.parameters.DensityDn_color);
            end
        end
    end
end


I did not code this indicator and take no credit for it. All I did was the following fix.

Code: Select all
VolumeBar:setColor(period, instance.parameters.VolumeBar_color); -- Fix to ensure default bar colour is correct


EDIT: I also added the "decimal place / precision" change which is mentioned a few posts down.
Last edited by robocod on Tue Sep 11, 2012 3:27 am, edited 3 times in total.
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Re: Better Volume Indicator

Postby robocod » Mon Sep 10, 2012 7:04 am

Merchantprince wrote:Is this true for all the custom indicators posted on FX Codebase that deal with tick volume?


Please see my previous post. Whilst the tick data can be different from the live and historic data, especially over the weekend, in general it seems adequate. However, tick volume is only an approximation to real volume, and so you have to be very careful when using it.
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Re: Better Volume Indicator

Postby robocod » Tue Sep 11, 2012 3:20 am

I made another minor modification to this indicator. I set the "precision" of the volume and SMA output to 0, this simply means that the volume does not have decimal places (it was showing things like 6012.0000 ticks). Ticks are always integer values. It is optional to take this fix - it is purely cosmetic.

BetVol_V3.lua
(13.19 KiB) Downloaded 728 times


Better Volume Overlay.png

Better Volume Overlay.lua
(13.87 KiB) Downloaded 331 times


Better Volume Bar.png

Better Volume Bar.lua
(15.05 KiB) Downloaded 302 times
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Re: Better Volume Indicator

Postby Pavlovsdog » Thu Oct 04, 2012 9:29 pm

Can you explain what the different color candles represent?
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Re: Better Volume Indicator

Postby robocod » Fri Oct 05, 2012 7:26 am

Pavlovsdog wrote:Can you explain what the different color candles represent?


Please refer to the inventor of this indicator.

(I don't use it myself, I just fixed a bug in it).
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Re: Better Volume Indicator

Postby all_in » Mon Jun 30, 2014 3:25 pm

Hi,

Would it be possible to base this indicator upon the "Real Volume indicator" instead of tick volume?

Many Thanks

P.S. Awesome site BTW :)
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Re: Better Volume Indicator

Postby robocod » Tue Jul 01, 2014 7:05 am

all_in wrote:Hi,

Would it be possible to base this indicator upon the "Real Volume indicator" instead of tick volume?

Many Thanks

P.S. Awesome site BTW :)


Oh, I wish that was possible. However, currently I think it is not - I tried. There are many similar cases where indicators use price and volume (On Balance Volume, Chaikin Oscillator, Accumulation / Distribution indicator, etc.). We need a way to replace the regular Tick Volume with the Real Volume in order to use these properly.

Question to FXCodeBase guys: was Real Volume developed by you, or by FXCM directly?

By the way, I did a study of Tick Volume vs Real Volume, on my blog. The results suggest that that Tick Volume is a reasonable proxy for Real Volume. However, it would always be better to use the proper volume if available.
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