Realtime Tape Display and Update-Based Volume Delta Signals

Summary

This indicator builds a chart-side tape showing the time, price, and volume associated with realtime feed updates. It estimates volume delta by assigning each update's volume a positive or negative sign according to price movement since the previous update; a flat price retains the prior direction. It also displays a point-of-control line and can flag high-volume tape entries.

Optional markers and alerts identify successive increases or decreases in delta, delta values beyond a user-set threshold, or individual tape lines with unusually high volume. Users can filter alerts by direction and optionally alternate long and short signals. The method is an indicator for monitoring activity, not a tested trading strategy. Its delta is inferred from price changes rather than trade-side data, and the code warns that historical and realtime handling differs. Threshold markers and alerts therefore need interpretation in the context of the instrument's feed and timeframe.

Key ideas

• The tape records realtime updates with time, price, and volume.
• Volume delta is estimated by signing update volume according to price movement since the prior update.
• Alerts can mark consecutive delta changes, threshold breaches, and high-volume updates.
• The delta estimate depends on price movement and is not a direct classification of buyer-initiated and seller-initiated trades.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.