Opal - Aggr.Crypto█ OVERVIEW
The Multi-Exchange Crypto Aggregator is a unique concept ticker that gathers up to 10 tickers into one. A new OPAL Chart is created as an indicator, with its own candles and information. This information is meant to be interpreted as average information in order to reduce noise from a single ticker only. Everything is automated between assets. Our script will always check and ensure that data is received for calculations; otherwise, invalid tickers are ignored. This version is designed for Crypto Perpetual markets.
█ HOW DATA SLIPPAGE/DIFFERENCE IMPACT NOISE
This new average ticker aims to reduce noise in your candles and their live movements, avoiding most of the minor/last-second spikes, especially when they don't happen on every desired exchange at the same time. Our candles have different behaviors and highlight close-open slippage/gaps, as it seems to provide a strong reaction. Those gaps represent average slippage.
█ HOW TO USE
This should help you visualize market behaviors. Volume pressures are the origin of a lot of misunderstood things. Data analysis and observations show that makers target liquidity on both sides. Time and sessions have their own logic and will always need experience, as it is basically a gigantic Tetris game. Anyway, this should help with timing confirmations or bring confidence.
█ FEATURES
Aggregated (Tickers) Candles ▸ Aggregated OHLC candles, the idea behind the script. Set desired tickers to automate in settings. Value and Var% are displayed right next to the current candle.
Aggr. Dynamics/Levels ▸ Plot some strong levels as landmarks calculated on modified price, from Volume Weighted Average Price (VWAP) to Daily aggregated Open Price. The previous day's key level is included.
Aggr. Data Markers ▸ Plot some key markers on the chart, such as Open Pressure gaps, or estimated 3-scale liquidation bubbles with 2 confirmation modes (using different filters).
Aggr. Averages ▸ Plot up to 3 averages or HLC channels for visual ease.
█ SIGN
All of our contents are shared for educational purposes only.
Wishing you success;
OPAL - Strive for Greatness
Slippage
Slippage Calculator Hello everyone,
This is the first script I publish, also my English is not the best my apologies.
This simple study script is an attempt to estimate the slippage during a trade. By no means it is a precise calculation, it is just an approach that can be improved.
You are welcome to take this simple script and use it and change it at your convenience just ask your acknowledge.
My approach considers the total fluctuation the price gets as a consequence for the total volume on that specific bar.
The volume on each bar is given in BTC, thus you get that by using the formula.
vol = volume * vwap
The total variation in price is considered as twice the size of the bar plus the gap between to consecutive bars. that is the
total fluctuation of price on each bar = (2 * (high - low) + abs(open - close )) which is not totally true since inside each bar price can fluctuate a lot more.
The script considers you are trading your total equity (eq_BTC ) each time. The fraction of your equity of the volume bar is eq_BTC / vol
Then eq_BTC / vol is the portion or the total fluctuation in price that is due to your entry or exit from the market.
(2 * (high - low) + abs(open - close )) * eq_BTC / vol
is the average change in price due you enter o exit a position.
** the 2 factor accounts for the two directions in the market buying and selling. There is more behind this formula I can explain you in more detail if you like.
I haven't seen anywhere a formula like this one, so it is intended to be a first attempt to get a better approach.
Finally the output of the scripts is how many ticks the price might change due to your trade on each bar
round(slippage/syminfo.mintick)
The script is focused in crypto but it can be used as well on forex markets.
Take care,
@yvponce
