OrderStream charts are a multidimensional type of candlestick charts that can provide a trader with additional variables and information for technical analysis in the form of different volume numbers, beyond the pure price. These volume figures make it much easier to see where the market has larger or smaller volumes, which ultimately means at what price levels much or less money has flowed into the market and at what prices the 'big money' has bought or sold.
The order stream suite offers on the one hand
- The chart in which the OrderStream-Bars are displayed with the Ask-Bid information of the respective OrderStream-BarTypes.
- The OrderStream-Cells and OrderStreamLines indicators
- The OrderStream Pad, which can be used to control the bar types and the two indicators.
Order streaming is started via the OrderStream entry in the PriceStyle menu.
Use the OrderStream button in the action bar to open or close the OrderStream pad.
The OrderStream-Bars can be displayed for all
- Time-Based time units.
- i.e. 1 sec, 1 min, 5 min, 15 min, 1 hr, 4 hr.....
- However, volume trading only makes sense with subordinate time units.
- Some data feeds have problems displaying price levels greater than 30 minutes.
- The following Non-Time Based charts are supported:
- NTB's like Kagi, Renko, P&F, etc. cannot be supported.
On the left side, you see the volume traded at the bid, the right side shows the volume at the ask.
The highlighted font shows the highest bid or ask volume within the candle.
The highlighted cells show where the highest volumes in the long or short direction have taken place within the complete data series loaded into the chart.
The more intense the background color, the higher the traded volume in the respective direction within the analysis area.
The different OrderStream bar types can be selected in the OrderStream pad:
- AskBidVolume: This is the most frequently used display form of the order stream chart. The AskBid-Volume is the actual volume traded on the ask or bid in the current time period at this price level. This volume comes from the Times&Sales stream.
- Delta: This display shows the difference between Ask and Bid on the basis of the AskBid volume chart. Here you don't have to compare or calculate around for a long time, but you can see much better where the volume increased at the Ask or at the Bid.
- Disparity Charts (imbalance): The volume Disparity Chart compares the traded bid volume of a price with the traded ask volume of the price directly above/below it. It then uses an algorithm built into the order streams that compares the volume ratio between the two.
- Bid prices are compared with higher ask prices and vice versa.
- If the volume on the bid or ask side differs by a factor of 1.5 (default value) as the equivalent value to be compared, it is considered and highlighted as disparity.
- Once the core is complete, the imbalance is persisted, i.e. it no longer changes. In a running candle, the disparity coloring can change again at any time when the market restarts these price levels and thus changes the volume at this price level again.
- The disparity charts help to find areas of support and resistance.
- AskBidSize: This shows the OrderSizes on the Ask or Bid. This is not the size of the trade, but the volume before the actual trades at the ask or bid. So this chart shows much higher Volumes than the AskBidVolume chart. With this chart you can see much better was placed at the various price levels, but did not get executed.
In addition to the OrderStream bars, there are two indicators to show the different activities within the bars.
- Cell Statistics and
- Line statistics
The following values are displayed in the cell statistics
- Volume: Total volume in each bar
- Buy Volume: purchase volume in the entire bar
- Sell Volume: sales volume throughout the bar
- Delta: Difference between purchase and sales volume
- Aggregated Delta: Added up the delta of the entire review time span
- DeltaShift: TBDThe line statistics are the oscillator lines to the values in CellStatistics. The big advantage is that you can see right away where lows and highs form and do not have to search long in the cell statistics.
TradersYard X has already used the pad concept for several other applications. The OrderStream pad allows you to change your settings very efficiently without finding a parameter in an indicator popup in the 10th submenu.
To open and close the pad, click on the red icon in the ActionBar.
- BarType: Allows the selection of the previously described bar types:
- Colorize Cells: controls the visibility of the cell background-color
- DrawBound: Sets whether you want to see a border around the bid/ask price levels.
- SellSide and BuySide Color: This sets the color of the high purchase and sales volumes.
- MaxValueBright- and MaxValueDark-Color: Setting the foreground color of the maximum values of the single bar.
- Aggregated Levels: Number of aggregated price levels within which the volumes of the individual price levels are added up. This mainly makes sense for higher units of time.
- Min Volume Size: This field can be used to filter out small volumes, i.e. volumes that are smaller than the entered value are not taken into account in the real-time construction of the order stream bar. It is mainly used to see the large volumes, which are mostly traded by the institutions, and to hide the noise of the small and often inexperienced traders.
- DisparityRatio: sets the parameterization of the coloring in the DisparityChart Default is 1.5 and means that the value to be compared on the higher Ask is higher or lower by more than the factor 1.5. If, for example, you set it to 2.0, this means that the comparison value deviates from the underlying by twice or half.
- ShowMaxVolime: Controls the display of the colored maximum value within a candle.
- Text Font: This can be used to change the font of the order stream candles.
- Max Hours Back: is the number of hours for which the historical order stream ticket data is read.
- Cells and Lines checkbox: this activates/deactivates the two indicators
- “Volume” to “DeltaShift” checkboxes/color bars: This allows you to toggle the individual options on and off or to adjust the color individually.
- DrawBounds: Draws the cell borders for the CellStatistic-Indicator
- Reset Settings: resets all values to the system default settings