Recreating third party indicator which is available only on Bloomberg

A

Agassi

Hello Every One,

I need a little help in recreating an indicator which is currently available only on Bloomberg. This is currently developed by a third party company called TAS Market Profile. They do have several indicators for the retail traders too but this one is not available on any of the retail platforms like Ninjatrader or Tradestation etc. This indicator is called TAS Market Delta. This is not to be confused with marketdelta or footprints. I am going to upload a 2 page user manual which talks about this indicator. Based on this document alone, do you guys have any ideas as to how this indicator is created? Please advise.

Thank you all very much.
 
Based on my current assumption, this looks like some sort of moving average of bid size and ask size. If my assumption is current, then how can one recreate this for use on any retail platforms like Ninjatrader or Tradestation? I am a little bit confused since I do know that the bids and asks keep changing every second.
 
Before you spend time trying to reinvent the wheel, what proof do you have it is worth it? Have you thoroughly backtested this thing and found it to be better than anything you have access to now?
 
This is just what it states: an indicator. There is no such thing as a holy grail. I haven't done much back testing on this. I do have bunch of third party indicators. I know that nothing works well all the time. But some do work some of the time. It does take a fair amount of judgment and experience to use this or any indicators. I think this tool would be a good addition to my various other indicators which I use.
 
Agassi said:
This is just what it states: an indicator. There is no such thing as a holy grail. I haven't done much back testing on this. I do have bunch of third party indicators. I know that nothing works well all the time. But some do work some of the time. It does take a fair amount of judgment and experience to use this or any indicators. I think this tool would be a good addition to my various other indicators which I use.
More...
Good luck.
 
It looks to me like its just separating the volume execute at the bid from the vol executed at the ask.

It doesn't seem to be a MA to me since it looks too choppy... it has jumps and flats.. MA's tend be a lot smoother when they move up or down.

check to see if the 2 lines added together add up to the total volume for day?
 
Thanks for your response. I do not think it is executed volume. It clearly states that it is indications of interest or some similar wording....Volumes executed would be some thing which we already have like Market Delta, GOMI ladder (which is free).
 
eusdaiki said:
It looks to me like its just separating the volume execute at the bid from the vol executed at the ask.

It doesn't seem to be a MA to me since it looks too choppy... it has jumps and flats.. MA's tend be a lot smoother when they move up or down.

check to see if the 2 lines added together add up to the total volume for day?
More...

Thanks again eusdaiki. It states "commitment of capital" so i don't think it is volume of executed contracts. This is the order book or depth of the market. My only confusion is how do they calculate or arrive at this? I know that the exchange provides only 5 best bids and 5 best offers. However DTN IQ can give me 10 best bids and 10 best offers. Now here is the question: These bids and offers are changing every second. Say I am looking at a 4 hour bar and default is 5 bars back. So does that mean, I must average the bids of every second going back to 20 hours i.e. 5X4? ??? So my application like Ninjatrader or Tradestation should have the capability to store that much tick bids and asks which no one does. If this is not the average, then what is that line? It has to be some variation of a moving average.
 
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