Studies

We have added a few new studies and updated other studies in version 6.0.

Study Indicator Tags

Descriptive tags can optionally be displayed next to the indicators displayed in the vertical axis. Edit the advanced indicator settings (click on the edit button next to an indicator in the study dialog) and check the “Show Tag” box.

TPO Study

Split

TPO Profile may be split from the context menu (right click on the TPO Profile Cell). The profile will be split at the cell where the context menu was opened.

Split profiles have connector lines to indicate where the profiles were split. A TPO profile may be split multiple times. Splits may also be removed individually or all at once (Clear Splits option):

Merge

Merging profiles is similar to splitting profiles. Right click on a profile and choose Merge With Previous Profile or Merge With Next Profile:

Profiles can be merged multiple times. You may also undo a merge (or all merges) from the context menu:

Split ETH/RTH

Daily TPOs can be split into two profiles where the first profile shows the regular trading session and the second shows the extended session. Note: this feature is only applicable to TPOs that have a 1-day timeframe.

This option can be found under the Display tab of the study dialog (double click on the study):

In the screen shot below, the regular trading session has the blue bars and the extended session has grey bars:

Historical Bars vs Tick Data

Optionally historical bars may be used instead of tick data (on by default). This significantly improves the loading time for the study and provides a greater range of data (at the expense of accuracy).

Background Cell Color

An additional option has been added to the TPO study to change the background color for cells that are part of the extended session (see screen shot below).

Font Color

Added a Font/Font Color option for letters displayed in the ETH session (see Display tab -> Letters ETH).

Constrain Width

If this option is checked it will automatically reduce the cell width if the profile overlaps the next profile.

Align Letters in Same Column

This option (see Display tab, Align Letters in Same Column check box) will place each letter in a separate column to better represent the time when that cell occurred.

Volume Imprint Study

Multiple Columns

Two columns may be displayed for each Volume Imprint bar. This can be configured from the General tab of the study dialog:

Settings can be tailored for each column under the Profile, Ladder, Bid/Ask, Delta and Volume tabs.

The following screen shot shows a Volume Imprint study with Delta and Bid/Ask columns:

Shading Levels

Shading levels may be customized based on a percentage of the highest value. This can make is easier to spot high or low values. If levels are not used (uncheck Use Levels), then the shading uses a gradient based off the bid/ask colors (see below).

In the screen shot below, you can see the custom shading levels defined in the dialog box above.

Profile

Several enhancements have been made to the profile column (see Profile tab in the Study Dialog):

Split Reg vs Extended Session – Splits the regular and extended trading session (daily bars only)
Bar Color Scheme – Optionally show Bid/Ask volume or Delta.
Label Type – This option will change the label displayed on each profile bar. Available options include (Note: this option is also available on Bid/Ask, Delta and Volume columns):
1. Profile – Displays the volume
2. Delta – Displays the delta value (Ask Volume – Bid Volume
3. Bid/Ask – Displays the Bid and Ask volume (same as Bid/Ask type)
4. Volume – Displays volume (using imbalance coloring)

The screen shot below shows the profile split into Reg vs Extended session. Extended session bars are shown in grey:

Totals

The following options have been added to the Totals tab of the study dialog:

Show Cum Delta – Displays daily cumulative delta
Shading Levels – Similar to the shading levels for the candle, this applies shading to the totals section at the bottom of the chart.

The screen shot below shows the totals at the bottom of the chart as configured in the dialog above:

Delta Summary Profile

Delta has been added as an option for the summary profile:

The screen shot below shows the Delta Summary profile on the right hand side of the chart:

Disable Column 1

Added the option to disable Column 1. This will effectively hide the imprints, but allow you to show the imprints totals section at the bottom of the chart.

Font Colors

Added options to change the color for labels in the Volume Profile, Bid/Ask, Ladder, Volume, Delta and Totals.

Summary Profile Totals

Added the option to toggle the display of totals in the Summary Profile (see Summary Profile tab -> Show Totals).

DOM History

Significant enhancements have been added to the DOM History study to improve the performance and add more coloring options. This dialog has the following options:

Max Depth Levels – Maximum number of levels to display for history (default 50). This is mostly relevant for Rithmic™ (which supports unlimited depth levels) but will apply to future brokers/data services that provide more than 10 levels of depth.
Min Qty – Minimum quantity for displaying a depth level.
Max History – Maximum number of bars for displaying the history
Extend Latest DOM – Extends the latest DOM levels to the end of the chart.
Gradient Colors – This field is the same as in previous versions of MotiveWave, but is also the default colors to use if none of the color levels apply (see below)
Level 1 – 5 – These fields allow you to customize how the DOM history is colored for specify quantity ranges. If none of these levels apply, then the default Gradient Colors are used.

Big Trades Study

This new study shows historical trades on the chart. These are computed using historical tick data. This study has the following options:

Aggregate Period (ms) – Optionally aggregates trades that have occurred within the aggregate period (milliseconds). These trades must occur at the same price and the @Ask flag must be the same.
Outline – Options include:
1. Circle (default)
2. Rectangle
3. Rounded Rectangle
4. None (text only)
Min Trade Size – Up to 5 trade sizes can be defined to distinguish between smaller and larger trades. Use the Min Trade Size for each level to define the tiers.
@Ask Trades – These fields define the font, font color and background color for trades that occurred at the ask price. The size of the trade can be modified by changing the size of the font. Text can be hidden by choosing the same font color as the background color.
@Bid Trades – Same as @Ask trades, but applies to trades that occurred at the bid price.

The screen shot below shows the Big Trades study with the settings from above. For convenience larger trades are drawn on top (potentially hiding smaller trades underneath). The following limitations are imposed to avoid performance issues with the study:

Max 25000 Trades – The study will only compute a maximum of 25000 trades that meet the given criteria
Max 500 Visible – A maximum of 500 trades will be drawn on the chart at one time.

OHLC Study

This new study plots the daily (ETH or RTH) information for the following: Note: this study only works on intraday bars.

Open – Opening price for the day
High – High price for the day
Low – Low price for the day
Prev Close – Close for the previous day
Mid – Midpoint between the high and low
Prev Low – Low price for the previous day
Prev High – High price for the previous day
Range (min) – Time range for computing the Range High/Low lines. The time starts at the opening time for the day (regular trading hours)
Range High – High value for the range defined above
Range Low – Low value for the range defined above

The screen shot below shows the study using the settings in the dialog above:

Volume Profile Study

The existing Volume Profile study has been rewritten in this update to use tick data and define a time range. The purpose of this study is to display a summary volume profile on the left or right side of the chart over an extended period of time.

General Tab

The following options are available on the General tab:

Time Range – Specified the time range for the volume profile. The range will “roll over” when it hits the end of the range. For example, if “Day” is chosen, the time range will shift when the start of the next day is reached. Available options include:
1. Day
2. 1 Min
3. 5 Min
4. 10 Min
5. 15 Min
6. 30 Min
7. 45 Min
8. 1 Hour
Tick Interval – number of ticks that make each bar in the profile
RTH Data – only uses regular trading hours data if checked
Use Historical Bars – Uses historical bars instead of tick data. This is recommended if the time range is larger (greater than 1 day) or tick data is limited from your broker/data service.

Display

The following options are available in the Display tab:

Align – Displays the profile on the left- or right-hand side of the price graph
Width – Maximum width for the profile bars.
Bar Color – Default color for the bars (not displayed if Show Bid/Ask Volume is checked)
POC Bar Color – Bar color for the bar that is the Point of Control (bar with the highest volume)
POC Line – Optionally displays a line across the chart from the middle of the POC bar
Show Bid/Ask Volume – Separates the Bid/Ask volume in each profile bar using the Bid/Ask colors below
Bid Color – Color for the bid volume in the profile bar
Ask Color – Color for the ask volume in the profile bar
Volume Totals – Toggles the display of the volume totals for each bar and defines the font/font color
Line Font – Toggles the display of the prices for the horizontal lines. This applies to the POC line as well as the Range Lines (see Value Area tab).

Value Area

Use this tab to display the value area for the profile. It has the following options:

Show Value Area – Toggles the display of the Value Area
Range % - Defines the percentage for calculating the value area. For example, 70% will select the range of bars that encompass 70% of the volume for the profile. This range must include the Point of Control and includes the minimum number of bars.
Bar Color – Bar color for the bars that are included in the value area
Range Lines – Optionally displays horizontal lines at the top and bottom of the value area
Range Fill – Optionally draws the given fill color for the value area.

The following screen shot shows a 30 day volume profile displayed on the right side of the price graph:

VWAP Study

Tick Data

The VWAP (Volume Weighted Average Price) study has been re-written to use historical tick data (instead of bar data). Optionally, ticks can be generated from historical minute bars (see Use Historical Bars option below).

Standard Deviation Bands and Anchors

The following enhancements/changes have been added to the VWAP study:

1. Std Dev Calculation – The calculation for the standard deviation has changed. It is now calculating using the difference between the HLC3 – VWAP (instead of the VWAP alone)
2. Std Dev Bands – Up to 3 band lines can be configured
3. Anchored VWAP – The starting point can be set for calculating the VWAP via right click (see menu options below):
  1. Remove Anchor – This option will remove a previously set anchor
  2. Anchor VWAP at <Time> - This will set the anchor at the given time.

Relative Volume Study

This new study compares the volume on the current bar to the average volume for that same bar (same time of day) for the given period (see Study -> Volume -> Relative Volume).