|First, a couple of definitions:
- AVOL - the cumulative volume for the day/session that
traded at or above the ask.
- BVOL - the cumulative volume for the day/session that
traded at or below the bid.
The best way to accomplish this in Investor/RT, is to create a custom
instrument that tracks the cumulative AVOL - BVOL value historically for
each bar. Then, we'll create a custom indicator that computes the
AVOL - BVOL value for each individual bar.
First, create a custom indicator which will be used by the custom
instrument. Go to "Setup: Custom Indicator". The syntax for
the custom indicator will be simply:
AVOL - BVOL
Save this custom indicator with a name like "MarketDelta". Now,
go to "Setup: Preferences: Price, Custom", and for PriceOne, select the
"MarketDelta" custom indicator we just created.
Now, go to "Setup: Custom Instrument". In this example, the
eSignal e-mini contract ES #F will be used. Enter a ticker symbol
for the custom instrument like ES_MD, and give it whatever name you
wish. Select the ticker you're interested in from the list on the
left, along with the "Value.." of "P1: MarketDelta" and a Multiplier of
1. Then click the right arrow button "-->". At the bottom,
select "Monitor Intraday". Your window should look something like
the one below.
Now click "Save and Close". Now, go an intraday chart (1-min,
5-min, etc) which contains the underlying instrument (in our example, ES
#F), and click the "Add a New Instrument" button on the chart toolbar
(top left button) or hit Shift-Insert on your keyboard. The "Add
Instrument" window should appear. Select the newly created ES_MD
instrument from the list on the left of the window and then click "OK".
This instrument will start building from the time you created it, so you
likely won't see much historical data, although that will build and be
retained as time goes on. Your chart will look something like
The top pane showing the underlying instrument, ES #F, and the lower
pane showing the cumulative AVOL - BVOL value for the session.
Now, in order to get the per bar AVOL - BVOL value, we'll have to
create another custom indicator and apply this to our custom instrument.
Go to "Setup: Custom Indicator", and create a new custom indicator
with the syntax:
(CL - CL.1) * (POS > 1) + CL * (POS = 1)
Where POS is the Position indicator setup with "Bars from Start of
Session". Essentially, this custom indicator is just subtracting
the previous bar's cumulative value from the current bars cumulative
value to result in a per bar value. The POS component is there to
keep the values in line on the first bar of the session in order to
account for the big gap between first bar of session and last bar of
Save this custom indicator with a name like "MD_PerBar". Now
add this custom indicator to your chart as a histogram, being careful to
add with the "Associated Instrument" being the custom instrument (ES_MD
in our case) in the lower left corner of Add Indicator window.
Your Add Indicator window should look something like that below.
Now click the "Add + Close" button and you should end up with
something resembling the chart seen below.
The lower pane now shows the "per bar" AVOL - BVOL for ES. The
middle pane shows the cumulative AVOL - BVOL value for the day/session.