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[Programming Help] - Stacked imbalance at a divergent delta bar

View Count: 142

[2024-06-27 05:00:13]
[Go To First Post]
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
}
}
}
[2024-06-27 12:25:15]
[Go To First Post]
emmanuel - Posts: 57
What is the problem?

Note: `sc.Close[sc.Index]` is actually the current/last price of the bar because the current bar (sc.Index) is technically not closed. In other words, it's the "close" at that moment in time, before the bar has actually close.

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