Cumulative Delta inconsistencies

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lordongi
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Cumulative Delta inconsistencies

Postby lordongi » 04 Dec 2018

Hi,

a little background: I'm using the AMP Futures version of MC.Net (Special Edition) and in addition I'm the owner of a MC.Net lifetime license. The data feed I use on both platforms is CQG.

Today I was trading EuroFX future. As you can see on the attached screenshots, on data#2 I have a chart with cumulative delta. MC.Net was running in realtime mode all day long, until I closed MC.Net. As usual MC.Net stored all data (tick data) in the local database.

After that I reopened MC.Net with the same workspace and the cumulative delta chart looked completely different.
On the attached screenshot you can still see the trendline boundaries I drew before. As you see the chart is not the same anymore.

After that I opened my lifetime version of MC.Net. I open the same workspace (same CQG data feed) and the result is another completely different cumulative delta chart. This is very strange, I've no idea what's going wrong here.

Regards
Ingo
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Jobauma
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Re: Cumulative Delta inconsistencies

Postby Jobauma » 06 Dec 2018

Hi.

My brother mentioned AMP Futures with the offer of MC .NET included. I completely forgot it. I'm going to look into this. I hope that your issue resolved soon. :)



Best regards,
Johannes Hillestad Baumann

lordongi
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Re: Cumulative Delta inconsistencies

Postby lordongi » 14 Dec 2018

Dear Support,

could you please give feedback to this issue? This is very crucial for me. I programmed a lot of studies that use cumulative delta volume charts. All backtests loose their reliability, if the charts are drawn more or less by random.

Thank you
Ingo

janus
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Re: Cumulative Delta inconsistencies

Postby janus » 15 Jan 2020

I've started to look at cumulative delta in MC and it concerns me there are inconsistencies with other platforms. Is there any update on this?
Last edited by janus on 29 Jan 2020, edited 1 time in total.

Emmanuel
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Re: Cumulative Delta inconsistencies

Postby Emmanuel » 29 Jan 2020

Lordongi,

I was thinking the delta come directly from the server , you should not have this inconsistencies.

Maybe it depend on your data provider.

Maybe with CQG the Delta is calculated in multicharts with the tic data ?

in Real time did you check the tic data ID number in the quotemanager ?

In real time, part of the tic never arrive because of the distance of the server. (it is probably a UDP protocol)

When you restart, the quote manager may reload the historical data, in this case all the tic will be in the quote manager and you can see the full cumulative delta.

You can see this by checking the tic ID number.

Did you check if the session are identical ? with the same number of hour and minute ? this could explain the difference

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Anna MultiCharts
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Re: Cumulative Delta inconsistencies

Postby Anna MultiCharts » 13 Feb 2020

Hello, lordongi!

As Emmanuel correctly noticed, cumulative delta is constructed from ticks, and realtime and historical data may differ, which is already a good explanation for the difference of the cumulative delta charts.
Also we know that CQG ticks in realtime and on history have different timestamps, and this was confirmed by the CQG themselves.

But this – “I was thinking the delta come directly from the server, you should not have this inconsistencies” – is not true about CQG. They don’t supply such statuses via WebAPI that’s used by MultiCharts.


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