Support Board
Date/Time: Thu, 27 Feb 2025 15:27:57 +0000
Post From: How to get summation delta for each price for N consecutive bars
| [2021-07-03 17:25:10] |
| sushant - Posts: 32 |
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using volumeatpriceforbars on this link ACSIL Interface Members - Variables and Arrays: sc.VolumeAtPriceForBars I wrote the following code map<float , int> Delta; //mp[price] = vol
s_VolumeAtPriceV2 *p_VolumeAtPrice=NULL; for(int barIndex = sc.Index; barIndex > max(0 , sc.Index - periodLookback.GetInt()) ; barIndex--) { int VAPSizeAtBarIndex = sc.VolumeAtPriceForBars->GetSizeAtBarIndex(barIndex); for (int VAPIndex = 0; VAPIndex < VAPSizeAtBarIndex; VAPIndex++) { if (!sc.VolumeAtPriceForBars->GetVAPElementAtIndex(barIndex, VAPIndex, &p_VolumeAtPrice)) continue; //Calculate the price. This requires multiplying p_VolumeAtPrice->PriceInTicks by the tick size float Price = ((float)p_VolumeAtPrice->PriceInTicks) * sc.TickSize; //Other members available: int AskVolume = (int)p_VolumeAtPrice->AskVolume; int BidVolume = (int)p_VolumeAtPrice->BidVolume; Delta[Price]+= (AskVolume - BidVolume); } } But this is not working at all. Delta = askvol - bidvol periodLookBack() = N bars This code is similar to the code provided but doesn't work This gives different result during chart replay and normally when applied on chart as it can be shown in the picture attached |
 Backtest.png / V - Attached On 2021-07-03 17:23:34 UTC - Size: 115.91 KB - 229 views Not backtest normal.png / V - Attached On 2021-07-03 17:23:38 UTC - Size: 127.12 KB - 215 views |