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Date/Time: Mon, 16 Sep 2024 19:12:32 +0000

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Post From: Stacked imbalance at a divergent delta bar

[2024-06-27 05:00:13]
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User488241 - Posts: 30
Hello,

I understand this is outside of official support. If anyone who has coding experience could chime in.
I am trying to write a custom study that tracks stacked imbalance at a bar that also have negative delta but price closing higher that its open.
Thank you!


#include "sierrachart.h"

SCSFExport scsf_StackedImbalancesWithVAP(SCStudyInterfaceRef sc)
{
if (sc.SetDefaults)
{
sc.GraphName = "Stacked Imbalances with VAP";
sc.StudyDescription = "Detects stacked imbalances using volume at price data.";
sc.AutoLoop = 1; // Set to 1 for auto looping

// Input parameters
sc.Input[0].Name = "Minimum Imbalance Percentage";
sc.Input[0].SetFloat(400.0f); // Default value

sc.Input[1].Name = "Minimum Delta";
sc.Input[1].SetFloat(-100.0f); // Default value

return;
}

// Define variables
float minImbalancePercentage = sc.Input[0].GetFloat();
float minDelta = sc.Input[1].GetFloat();

float bidVolume = 0.0f;
float askVolume = 0.0f;
float delta = 0.0f;

unsigned int totalVolume = 0;

// Calculate bid and ask volumes using Volume At Price data
int VAPSizeAtBarIndex = sc.VolumeAtPriceForBars->GetSizeAtBarIndex(sc.Index);

for (int VAPIndex = 0; VAPIndex < VAPSizeAtBarIndex; VAPIndex++)
{
const s_VolumeAtPriceV2 *p_VolumeAtPrice = NULL;
if (!sc.VolumeAtPriceForBars->GetVAPElementAtIndex(sc.Index, VAPIndex, &p_VolumeAtPrice))
break;

float price = p_VolumeAtPrice->PriceInTicks * sc.TickSize;

if (price < sc.Close[sc.Index])
bidVolume += p_VolumeAtPrice->Volume;
else
askVolume += p_VolumeAtPrice->Volume;

totalVolume += p_VolumeAtPrice->Volume;
}

// Calculate delta
delta = bidVolume - askVolume;

// Check conditions
if (bidVolume > 0 && askVolume > 0 && (askVolume / bidVolume) >= (minImbalancePercentage / 100.0f))
{
if (delta < minDelta && sc.Close[sc.Index] > sc.Open[sc.Index])
{
sc.AddMessageToLog("Stacked imbalances detected with negative delta and higher close.", 1);
// Implement your action here, e.g., plot a marker or take some action
}
}
}