ThinkScripter - Custom ThinkScript Indicators for thinkorswim » volume

ThinkScripter Option Volume

ThinkScripter — Tue, 18 May 2010 04:03:41 +0000

I’ve been playing around with some of the new features in thinkScript over the past few weeks and several new studies have resulted. This one will display intraday option volume for a set of five option strikes (You have the option to display only three or one strike if you wish). The calls are stacked above the horizontal line with puts below. The format is a stacked bar type to accommodate showing all the strikes at once. The color code is referenced in the upper left. Additionally, the indicator has three other modes (single strike only) that will display total strike volume for the day, open interest, and volume as a percentage of open interest (see the second image below). The total volume and open interest modes are designed for use on daily charts but will function on the intraday charts as shown below. To initialize the study, you need to enter your desired center strike, expiration date, and the strike spacing for the underlying.

My intention was to release this to the Pro Subscribers only but it seems to me that I have been neglecting the general public as of late. As such, this one will be for mass consumption. The script is too long to post here so you will have to swing by the forum “Released ThinkScripter Studies” section (free registration required) to grab yourself a copy. Best of luck in your trading. -Eric

Option Volume

Alternate Modes

Take me to the forum!

Volume Trend and Price Trend

ThinkScripter — Wed, 16 Dec 2009 23:51:52 +0000

In trading we constantly check to see if volume is confirming price. Rising price accompanied by falling volume is often the signal for an impending reversal. The Volume Trend plots the linear regression of the volume for the user specified last number of bars. The color of line reflects the slope – green for rising and red for falling. The Price Trend is a similar linear regression line. In this case, the line is colored blue if the price and volume are of diverging slopes and white else wise. Both indicators will automatically update with each bar. Also pictured is the revised AutoFibLines script. It is completely functional again and now has the added benefit of working on Forex pairs and other symbols trading down in the decimal range. Also added were a reversal dot indicating at what closing price the AutoFibs will reverse direction and update the fib levels as well as a trend direction arrow indicating in which direction the fibs have been drawn. PS: The ToS Script Editor is happy with cutting and pasting from the web again!

Volume and Price Trend

# TS_VolumeTrend # http://www.thinkscripter.com # thinkscripter@gmail.com # Last Update 16 Dec 2009


declare on_volume;

declare real_size;
input period = 50;
plot VolTrend = InertiaAll(volume, period);

def volumeSlope = if voltrend>voltrend[1] then 1 else 0;

VolTrend.assignValueColor(if voltrend>voltrend[1] then color.green else color.red);

VolTrend.setLineWeight(2);
# TS_PriceTrend

# http://www.thinkscripter.com

# thinkscripter@gmail.com

# Last Update 16 Dec 2009
declare fullrange;
input price = close;

input period = 50;

def offset = 100;
def linearPriceTrend = InertiaAll(close, period);

def priceSlope =  if linearPriceTrend>linearPriceTrend[1] then 1 else 0;

def dist = HighestAll(AbsValue(linearPriceTrend - price)) * (offset / 100.0);
def VolTrend = InertiaAll(volume, period);

def volumeSlope = if voltrend>voltrend[1] then 1 else 0;

plot PriceTrend = if priceSlope==0 then linearPriceTrend-dist else if priceSlope==1 then linearPriceTrend+dist else linearPriceTrend; PriceTrend.assignValueColor(if volumeSlope != priceSlope then color.blue else color.white); PriceTrend.setLineWeight(2);

Daily Volume and TPO Profiles

ThinkScripter — Sun, 25 Oct 2009 13:58:58 +0000

UPDATE MARCH 2010: The various profile studies (Volume/TPO) have been implemented natively by TOS and replace my thinkScript versions. I will leave these studies in the PRO bundle for those interested in looking at the code but I recommend using the new TOS versions henceforth. – Eric

After numerous subscriber requests, I put together a daily version of both the Volume Profile and TPO Profile scripts. Whereas the original profile studies total all data displayed on the current TOS chart, the new versions will display only one day’s data and the associated profile. The daily volume point of control (VPOC) is shown as the yellow bar. I have modified the original Volume and TPO Profile studies to allow the user to move them further to the right to mitigate the overlap when running concurrently with the new daily version. Note: Subscriber update has been posted to the forum along with setup instructions.

Daily Volume Profile

Daily TPO Profile

Finite Volume Element

ThinkScripter — Tue, 25 Aug 2009 21:04:28 +0000

Markos Katsanos’ Finite Volume Element (FVE) indicator was first described in “Detecting Breakouts” in the April 2003 issue “Technical Analysis of Stocks and Commodities.” The FVE is a money flow indicator but with several key differences from Chakin’s Money Flow or On Balance Volume. Unlike these money flow indicators which add or subtract all volume even if the security barely closed higher than the previous close, FVE uses a volatility threshold to take into account minimal price changes.

Divergences between price and the indicator can provide leading signals whereas the slope of the indicator shows if the bulls or bears are in control. Values above zero are bullish and indicate accumulation while values below zero indicate distribution. FVE crossing the zero line indicates that the short to intermediate balance of power is changing.

Also pictured are the ThinkScripter Volumetric Trendlines and Volume Profile (still under development).

Finite Volume Element


declare lower;
input FVEPeriod = 22;

input smoothingPeriod = 10;

def intra = log(high)-log(low);

def vintra = stdev(intra, FVEPeriod);

def inter = log(hlc3)-log(hlc3[1]);

def vinter = stdev(inter,FVEPeriod);

def cutoff = 0.1*(vinter+vintra)*close;
def MF = (Close - (High + Low ) / 2 )+ hlc3 - hlc3[1] ;

def VE = if MF > cutoff then volume else if MF < -cutoff then -volume else 0;

def FVE = 100*sum(VE,FVEPeriod)/(average(volume,FVEPeriod)*FVEPeriod);
plot FiniteVolumeElement = FVE;

FiniteVolumeElement.setDefaultColor(color.cyan);
plot SmoothedFVE = Average(FVE,smoothingPeriod)  ;

SmoothedFVE.setDefaultColor(color.blue);

plot zero = 0; zero.setDefaultColor(color.white);

DeMark Pressure Ratio

ThinkScripter — Fri, 14 Aug 2009 00:46:18 +0000

I’ve had several requests to code various indicators designed by Tom DeMark and here is one such study. The DeMark Pressure Ratio indicator seeks to quantify accumulation/distribution through a combination of volume and price action. The short entry is indicated by the oscillator exiting from above the overbought line at 75 with the long entry indicated by a rise above the 25 oversold line. Also pictured is the soon to be released ThinkScripter Volumetric Trendline study which automatically plots in real-time a volumetric trendline for the user selected period. Pictured on this chart of the /ES are 20, 55, 110, and 250 period volumetric trendlines. Stay tuned Both studies will be added to the member’s bundle this weekend.

TD Pressure Ratio