Indicator name: ClusterDelta #Splash
The Splash indicator is the first indicator in the ClusterDelta series that deeply analyzes tick history. This indicator is designed to search for iceberg orders, when a large amount of the volume has passed in a short period of time.
The nature of the exchanges allow buyers and sellers to act together, and even the presence of a large player on the tick chart will not be obvious, since any large order in the process of execution will be split into many small orders, depending on the number of participants. But there are situations when sellers and buyers with large volumes meet together. Then big volumes slip in the tape - for example, 60 or 100 lots in one tick. Usually we call this the presence of smart money, counting on that they control the market, and we should monitor their actions. The indicator is designed to collect the fragmented trades of large players into one order that is called Market Splash.
DESCRIPTION OF THE SPLASH INDICATOR PANEL
The Title of the Splash panel contains the "Authorizer" icon, the indicator name, the method of ticks aggregation, the number of days to load to load and display, where the value "None" removes Splash data from the chart, an Alert icon, an icon (arrow down) to open the Advanced Panel and the next icon (arrow up) to close the current Splash GUI panel. The hot key 'Z' hides this panel, and hot key 'X' shows it again.
Advanced Panel has the options for the Splash indicator.
Max Radius determines the object size. 0 is for automatic value. The Splash size is shown if the object size is enough big to fit this text.
Volume Size is the minimum value and maximum value of the volume amount that is required to show it as the Splash object.
Ticks Count is the number of ticks that were used to aggregate the data into a Splash object. It can also be delimited by a minimum and maximum value
Here is a small example of aggregation. In the "Raw" mode each tick is just filtered by its size. The "Price" mode is the ticks grouped by the same price, same direction in the same time moment. You can see the "Price" mode aggregation in the blue boxes. The "Time" mode ignores price changing and only use the direction and time. It is represented by "Red" boxes.
CLUSTERDELTA SPLASH PARAMETERS DESCRIPTION
Parameters
Aggregate Mode is a calculation mode for the ticks aggregation. Its values "Raw Ticks", "Aggregate By Price" and "Aggregate by Time" were described above.
Days To Load (up to 5 days) is the number of the days to load in history. To not overload server side do not use the big values. The "0" value uses the entire period that is loaded by NinjaTrader. Use the "Data Series" NT option (Ctrl+F) to change it.
Days Ago (to get far history) is the option to work with history data. It determines the number of days to skip from the current date and then load the required historical data using the "Days to Load" setting from the Common Settings.
Display Indicator GUI is a small graphical panel containing current access status (click to open the Authorizer), name of the indicator, Splash mode and the volume size, the ticker name of the data source and the alert icon
Display Advanced GUI shows or hides the Advanced Panel on start
Instrument as Data Source - select a futures from the dropdown list as the source for data. Value AUTO causes automatic detection of the instrument using the NinjaTrader ticker.
Reverse Data is an option for reverse the indicators data (Ask ↔ Bid) for reversed currency pairs except those that have name "USDJPY", "USDCAD", "USDCHF", "USDMXN". This option was added for compatibility, but in 99.9% of NinjaTrader cases keep it turned off.
[Expert] Spot/Merge Auto Adjusting is an option that allows you to adjust Splash data to the spot chart using the latest highs and lows of the current trading session. The difference that is automatically calculated using this option may vary from trading session to trading session, so this may result in incorrect alignment of Splash data for different trading sessions.
[Expert] Manual Spot Shift in points sets the manual value to be used to adjust Splash data to the spot chart. Use the middle mouse button to measure the distance in points to use this value in this option.
Settings
Splash Object Radius is the setting for "Max Radius" option in indicator panel. This value is the maximum size for the Splash object with a maximum volume. 0 is for automatic resizing.
Min Volume Size is the filter for the minimum Volumes to show by Splash indicator.
Min Ticks Count is the filter for the minimum amount of ticks that were used during ticks aggregation to a Splash object.
Lowest Volume Size To Load is the filter for the minimum volume size that will be loaded from Server to allow use change min volume size directly on the chart and to not overload terminal by unnecessary data as it may cause terminal freezing .
Use Native Data Feed is the option that allows to get tick data for updating Splash data from the current feed if it is a futures feed.
Alert
Alert on Splash initiates the Alert event when the new Splash object just appeared on the current bar.
Bell Animation is the few icons doing animation of the big Bell when alert triggers. It was a good idea at first, but it can get annoying during routine trading.
Number of alerts is an option for how many times to initiate a new Splash alert event.
Alert File is an option for the sound file to be played when an alert event is triggered. The files located at the NinjaTrader_Install_Directory\Sounds directory
Visualization
Max Font Size (0 - no draw) set the max font size to use inside Splash objects for better visualization of Splash value.
Ask Object Color is the color of the Splash object if the Delta is positive.
Bid Object Color is the color of the Splash object if the Delta is negative.
High Value Stroke Color is the additional border color around the Splash object with large amount of the volume.
Object Stroke Color is the border color around the Splash object.
Object Opacity is the transparency of the Splash object.
Ask Font Color is the color of the text for Ask Splash Object.
Bid Font Color is the color of the text for Bid Splash Object.
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