[amibroker] Volume Splitting

["phlsti" <pstitzer@xxxxxxxxx>]

Has anyone seen any afl's that capture up and down volume filtered by size of the sale?  Some tradestation people have created an indicator using one tic chart data, but charted on a 5minute chart, using a line or histogram to track the buys and sells of large orders, which, of course, assumes this is the smart money action.  The indicator adds buys and subtracts sells of each tic's volume (for es, say 50 or 100), which creates a line showing buying and selling pressure; zero being the demarcation between net buying and net selling.

The tradestation code looks something like this:

nputs: 
  UpColor(darkgreen), 
  DownColor(red), 
  DeltaBar(1), 
  MaxBlock(9999), 
  MinBlock(0), 
  ResetDeltaEachBar(0); 

variables: 
  MyVol(0), 
  color(yellow), 
  intrabarpersist MyCurrentBar(0), 
  intrabarpersist VolumeAtBid(0), 
  intrabarpersist VolumeAtAsk(0), 
  intrabarpersist BAVolRatio(0), 
  intrabarpersist VolTmp(0), 
  intrabarpersist Delta (0), 
  intrabarpersist DeltaH (0), 
  intrabarpersist DeltaL (0), 
  intrabarpersist DeltaO (0); 

if LastBarOnChart then begin 
   MyVol = Iff(BarType < 2, Ticks, Volume); 

   if CurrentBar > MyCurrentBar then begin 
       VolumeAtBid = 0; 
       VolumeAtAsk = 0; 
       BAVolRatio = 0; 
       VolTmp = 0; 
       MyCurrentBar = CurrentBar; 
       if ResetDeltaEachbar = 1 then Delta =0; 
       DeltaO = Delta; 
       DeltaH = Delta; 
       DeltaL = Delta; 
  end; 

  if (Block >= MinBlock) and (Block <= MaxBlock) then 
     if Close <= InsideBid then 
        Delta = Delta - MyVol + VolTmp 
     else if Close >= InsideAsk then 
        Delta = Delta + MyVol - VolTmp ; 
     VolTmp = MyVol ; 
  end; 
end; 

DeltaH = maxlist(DeltaH, Delta); 
DeltaL = minlist(DeltaL, Delta); 
if Delta <= 0 then color = DownColor else color = UpColor;

   plot1(DeltaO, "DO"); 
   Plot2(DeltaH, "DH"); 
   Plot3(DeltaL, "DL"); 
   plot4(Delta, "DC");

I don't find anything like this in the current AFL list.  I am a novice with AFL's, so am having trouble converting the TS code to AFL.





------------------------------------

**** IMPORTANT PLEASE READ ****
This group is for the discussion between users only.
This is *NOT* technical support channel.

TO GET TECHNICAL SUPPORT send an e-mail directly to 
SUPPORT {at} amibroker.com

TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
(submissions sent via other channels won't be considered)

For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/

Yahoo! Groups Links

<*> To visit your group on the web, go to:
    http://groups.yahoo.com/group/amibroker/

<*> Your email settings:
    Individual Email | Traditional

<*> To change settings online go to:
    http://groups.yahoo.com/group/amibroker/join
    (Yahoo! ID required)

<*> To change settings via email:
    mailto:amibroker-digest@xxxxxxxxxxxxxxx 
    mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx

<*> To unsubscribe from this group, send an email to:
    amibroker-unsubscribe@xxxxxxxxxxxxxxx

<*> Your use of Yahoo! Groups is subject to:
    http://docs.yahoo.com/info/terms/