This file includes four simple TS based. "Buys
" are at or above Ask price, "Sells
" are at or below Bid price. XavVolumeV3
breaks total volume down into "Buys", "Sells", "Buys" above Ask, "Sells" below Bid, and Total Volume. It also lets you know if there were more buys or sells, and if volume is greater than a set value. XavVisualTapeV3
helps you see "Lot
" trades, "Block
" trades, and all the volume information from XavVolumeV2
" trades are continuous
buys or sells that have the same time stamp
. From my understanding of TS, "Lot" trades indicate big orders being filled against smaller orders, and "Block" trades indicate big orders being filled against big orders. XavFilteredTimeAndSalesV2
takes time and sales, groups trades into "Lots", and then filters them by a user defined size (Similar to how the CME used to report trades). It also alerts you when Lot trades are made, and can tell you how many price levels the trade went through. This information is plotted directly on the chart. XavDeltaVolume
plots Buy/Sell Delta, and Above Ask/Below Bid Delta.
-A simple TS based volume indicator
-"Buy" Volume - trades at or above ask price (Plotted as positive)
- Above Ask Volume
-"Sell" Volume - trades at or below bid price (Plotted as negative)
-Below Bid Volume
- Total Volume - Buys plus Sells (Plotted as positive)
: Volume level that will change the color of the TotalVolume Plot if reached.
-A simple TS based indicator that looks for Buys above Ask, Sells below Bid, "Lot" trades, and "Block" trades
: Minimum size for Block trades.
: Displays above ask volume(black), lot buy volume(green), block buy volume(blue), block sell volume(blue), lot sell volume(red), below bid volume(black), Buy Volume, and Sell Volume around current bar(% of total volume in parentheses).
: Keeps the ChartDisplay on all bars, not just current bar.
: Width of the PlotBlock and PlotLot lines
: Minimum "Lot" trade size.
: Plots all values in indicator panel as a % of total volume
: Plots small horizontal lines where block trades occur.
: Plots small horizontal lines where lot trades occur.
: Offset multiplier for ChartDisplay based on ATR(14).
: Plays selected sound file when a Lot trade, or Block trade occurs.
: Minimum size for a bigger lot trade. Plots triangles where these trades occur
-This indicator takes time and sales, groups similar trades("Lots"), and filters them.(Similar to how the CME used to report trades)
-Output is plotted directly on chart
: The minimum size "Lots" you want to display
: Number of rows to display
: Different levels for trade sizes that will make the trade bold, change the color, and play sound alert.
: Font Size
: Decimal precision of price
: If set to true, it will plot a "*" for each price level crossed by the trade.
-Colors and Sound Alerts are customizable
***New algorithm for grouping trades fixed the lag issue, and more accurately spots bigger trades. I changed the algorithm because I found out NT removes millisecond information from timestamps***
-Plots Buy/Sell Delta and AboveAsk/BelowBid Delta
***Some Lot and Block trades will be missed if you do not use time based charts(Range, Renko, Volume,... etc)***
***Set your right margin to around 250***
Please feel free to improve these indicators if there is anything you would like to add to them. I started a thread called XavPack Discussion were anyone can post comments or improvements.
6/29/2012 - XavPackV1
: Changed lot and block plots from dots and diamonds to horizontal lines.
6/30/2012 - Added color options. Added sound alerts. Added line levels.
7/1/2012 - XavPackV2
: Added more options. Changed ChartDisplay features.
7/4/2012 - XavPackV2a
: Added XavFilteredTimeAndSales to XavPack and a few minor code changes.
7/14/2012 - XavPackV3
: XavVolumeV3- added HighVolume, added line levels, code cleaned up. XavVisualTapeV3 - Added PlotOffset, higher values on ChartDisplay are highlighted, cleaned up code, changed grouping algorithm. XavFilteredTimeAndSalesV2 - Changed algorithm, added sound alerts, added size levels, added price levels, cleaned up code, added font size. Added XavDeltaVolume to XavPack.