Cumulative Delta & Volume Delta

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ROBERTO AMBROGI
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Cumulative Delta & Volume Delta

Postby ROBERTO AMBROGI » 25 Aug 2009

Is there anyone who figured out how to code these 2 indicators for MC?
If not could you please give me some advice on where to try to find them?

good trading to everyone

R.

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Postby TJ » 25 Aug 2009

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ROBERTO AMBROGI
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Postby ROBERTO AMBROGI » 26 Aug 2009

Thanks TJ,
I'll'try it and I'll see if I'm able to make it work.

Good trading

R.

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Postby ROBERTO AMBROGI » 27 Aug 2009

TJ,
I've compiled the indicator and plot it in my charts, but actually I was looking something more simple and clear, I dont' want to filter block trades, I just want a line that tells the cumulative delta...

the point is also that it works only in real time, so you have datas only since when you switched on the pc.

good trading

R.

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Postby TJ » 27 Aug 2009

if you want just a line, then set all the plots to invisible except the close.

you can only get cd in real time, unless you set up a database to store the data.

cd deals with intrabar values, those values are calculated in real time, they cannot be reconstructed with EOB OHLCV.

EasyLanguage is not the best programming language to manage a database,
it can be done, but will require some effort.
(edit: or use an add-on).
Last edited by TJ on 28 Aug 2009, edited 1 time in total.

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Postby ROBERTO AMBROGI » 28 Aug 2009

Tks TJ for your replies, now I'll try to be more clear:

I apreciate the effort many MC/TS users and EL programmers made in threads like:
www.traderslaboratory.com/forums/f56/vo ... -5824.html and others

but I think that if we want to find something really useful for trading purpose we need to create/use indicator that represent significative and unquestionable datas. Having those datas each of us can make assumptions in order to make trading decisions.

I am interested in Volume Delta and CVD because they are unquestionable datas, then each of us can use it or ignore in his trading decisions.
I'm sure everyone here knows the exact meaning of these 2 indicators but to be more clear:

DELTA VOLUME: it is the difference between volume traded at bid and volume traded at ask in a definite time frame (es 1min 5min and so on)

CVD: The cumulative volume delta is the algebraical sum of the single delta volume values

In the thread above and others beside adding other things like filters and assumptions about dumb traders (little) and big traders, the basic fault IMHO that invalidate all the reasoning is that is used the tick volume instead of the real volume ad bid and volume at ask.

Also in MC prebuild indicators we have Volume up and Volume dn, that are only uptick or downtick, they don't consider the real volume at bid or volume at ask.
An uptick can be made by a 1ctr or by 2000ctr that's not definitely the same thing.

By the way what I'm telling now is, I'm not a programmer but just a trader but in Multichart we have:
- the possibility to plot the bid and the ask historically
- the possibility to have a tick by tick "last trade" with volume

I would really apreciate an imput from EL programmers and also from TS SUPPORT TEAM.

good trading to everyone

R.

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Postby ROBERTO AMBROGI » 28 Aug 2009

sorry I missed a sentence: 8) :oops:

By the way what I'm telling now is, I'm not a programmer but just a trader but in Multichart we have:
- the possibility to plot the bid and the ask historically
- the possibility to have a tick by tick "last trade" with volume
It seems it's all we need to build a Real VD and CVD with history, exactely like that one that Trading Technologies offers with X-Study.

I would really apreciate an imput from all of you EL programmers and also TS SUPPORT TEAM.

good trading to everyone

R.

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Postby TJ » 28 Aug 2009

BlowFish is a guru grade trader and programmer,
the program above is one of his "exercises" from a long time ago.
I think it is a good starting point for learning programming,
and a good base to build your enhancements.

Bid data and Ask data are very recent additions to MultiCharts, I haven't tried programming with it yet.

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Postby zukkaweb » 28 Aug 2009

Is there a porting from X-Study to MC ?

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Postby CrazyNasdaq » 09 Sep 2009

Tks TJ for your replies, now I'll try to be more clear:

I am interested in Volume Delta and CVD because they are unquestionable datas, then each of us can use it or ignore in his trading decisions.
I'm sure everyone here knows the exact meaning of these 2 indicators but to be more clear:

DELTA VOLUME: it is the difference between volume traded at bid and volume traded at ask in a definite time frame (es 1min 5min and so on)

CVD: The cumulative volume delta is the algebraical sum of the single delta volume values

[cut] the basic fault IMHO that invalidate all the reasoning is that is used the tick volume instead of the real volume ad bid and volume at ask.

Also in MC prebuild indicators we have Volume up and Volume dn, that are only uptick or downtick, they don't consider the real volume at bid or volume at ask.
An uptick can be made by a 1ctr or by 2000ctr that's not definitely the same thing.

R.

Hi Roberto,
Your answer is not completly right, maybe as you write in the post, because you are not a programmer.
If you set in the Settings Control panel of the format symbol "Build Volume On: TRADE VOLUME" and if you use not a 1 tick chart but a 1 contract chart, you can use Uptick and DownTick as a very good proxy of Volume@Bid and Volume@Ask and in a very little time you can have a sort of cumulative volume delta that I call Book Pressure.
Infact if You use 1 contract chart and the market trades 1000 lots @ the ASK side which is Upper then the previous close, MC register this trade as an Uptick and You can plot a 1000 lots trade @ the ASK side as an UpTick. So based on this example, if you create a cumulative sequence of trades based on volume, you can have a Cumulative Delta Volume. Be careful because with 1 contract chart, it's a good stuff only reffered to a brief time lap (about 30minute to 1 Hour MAX).
Hope to help you .

CraZyNasdaq

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Re: Cumulative Delta & Volume Delta

Postby Nick » 22 Jan 2011

I should caution people that this is not accurate due to possible race conditions in MC, I uploaded the indicator under the name 'BlowFish' at traderslaboratory.

Hopefully this will be sorted out in version 7.0, it is being discussed on the main forum right now.

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Re: Cumulative Delta & Volume Delta

Postby TJ » 22 Jan 2011

Nick wrote:I should caution people that this is not accurate due to possible race conditions in MC, I uploaded the indicator under the name 'BlowFish' at traderslaboratory.

Hopefully this will be sorted out in version 7.0, it is being discussed on the main forum right now.

can you elaborate?
maybe with some illustrations?

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Re: Cumulative Delta & Volume Delta

Postby Nick » 22 Jan 2011

Hi TJ,

Thanks for the kind words earlier. I believe the problem lies with the functions InsideBid & InsideAsk. Basically these functions return the current live best bid best ask not the value from when the tick occurred that your indicator is processing. This can lead to race conditions even on powerful hardware. The issue clearly demonstrates itself when you run the same study on the same instrument with the same periodicity, exactly the same charts if you like. You will get a different value for cumulative delta in the two chart windows. It is possible (especially on heavy volume instruments) to get 10's if not 100's of ticks pretty much at the 'same time'. So while you are processing 'tick n-10' the functions I mention will be returning the current value of InsideBid/Ask i.e the value from 'tick n'.

That was what was going on as best as I was able to determine. It may have been (or be) to do with the multiple core issue a while back, but if memory serves me correctly (maybe not the case!) the last time I tested was after those had been resolved.

Edit: there are some illustrations in the thread you mentioned but I will try and provide fresh data next week. Of course it all needs to be done live at the moment!

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Re: Cumulative Delta & Volume Delta

Postby RobotMan » 24 Jan 2011

I think we beat this horse to death in this thread:
http://www.multicharts.com/discussion/viewtopic.php?f=1&t=6307
Infact, I think Nick (BlowFish) had the last word back in Sept '10.

According to FulcrumTrader over at Big Mike's, you need a software platform that internally keeps track of all the trades at the bid and ask in real time. He likes Investor/RT and DTN.IQ.

In MC I get ok results just using Upticks and Downticks with Volume set to "TradeVolume" but cannot get candlesticks of CD. And, like Nick says, it's not the actual volume traded at the bid or ask; it's volume trade on the uptick and downtick. Even then, I get spurious results if I try and use IntraBarPersist on a tick-by-tick basis.

I am not going to comment further on this in this thread. As far a I am concerned this is a dead issue unless TSSupport rewrites the MC code to accommodate this functionality.

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Re: Cumulative Delta & Volume Delta

Postby Nick » 24 Jan 2011

Indeed we did though you had already done the hard work John. Here is a graphic illustration....The two left hand charts are both set up the same 1 tick with a delta indicator. The indicator simply uses intrabarpersist and InsideBid InsideAsk to calculate if a tick is at the bid or ask. It's pretty simple stuff. You can see the value for delta is already different after as little as 5 minutes on the DAX (a low volume instrument). 654 on the center one and 627 on the right, I used a session template to make sure they started updating at the same time.
deltaissues.png
deltaissues.png (214.94 KiB) Viewed 5466 times

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Re: Cumulative Delta & Volume Delta

Postby Dave Masalov » 01 Feb 2011

Taking into account issues described here: viewtopic.php?f=1&t=6307 , DeltaVolume script should be changed as showed in the attached document.

In this script, bid = close data2; ask = close data3; is used instead of InsideBid/Ask and the chart has two additional data series.
Attachments
Delta.txt
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Re: Cumulative Delta & Volume Delta

Postby tortoise » 04 Feb 2011

Dave Masalov wrote:Taking into account issues described here: viewtopic.php?f=1&t=6307 , DeltaVolume script should be changed as showed in the attached document.

In this script, bid = close data2; ask = close data3; is used instead of InsideBid/Ask and the chart has two additional data series.



Hi -- Could you please explain how one sets up a chart to use this ... three data series, correct? Data1 being the series plotted
Data2 being the same series ...
Data3 being ... ???

Also, I assume that this applies to live data only? Does anyone know whether MC plans to incorporate bid/ask delta analysis of the kind we find with Investor R/T?

Thanks!

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Re: Cumulative Delta & Volume Delta

Postby sptrader » 05 Feb 2011

tortoise wrote:
Dave Masalov wrote:Taking into account issues described here: viewtopic.php?f=1&t=6307 , DeltaVolume script should be changed as showed in the attached document.

In this script, bid = close data2; ask = close data3; is used instead of InsideBid/Ask and the chart has two additional data series.



Hi -- Could you please explain how one sets up a chart to use this ... three data series, correct? Data1 being the series plotted
Data2 being the same series ...
Data3 being ... ???

Also, I assume that this applies to live data only? Does anyone know whether MC plans to incorporate bid/ask delta analysis of the kind we find with Investor R/T?

Thanks!


***********************************************************************
Yes, you need 3 rt data series, for example-
ES trade on data1
ES bid on data2
ES ask on data3

If you go to "Format Instrument" , "Settings" you can choose between "trade, bid or ask".

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Re: Cumulative Delta & Volume Delta

Postby tortoise » 05 Feb 2011

very helpful. thanks.

By the way, this is for live data only, I gather?

sptrader wrote:
tortoise wrote:
Dave Masalov wrote:Taking into account issues described here: viewtopic.php?f=1&t=6307 , DeltaVolume script should be changed as showed in the attached document.

In this script, bid = close data2; ask = close data3; is used instead of InsideBid/Ask and the chart has two additional data series.



Hi -- Could you please explain how one sets up a chart to use this ... three data series, correct? Data1 being the series plotted
Data2 being the same series ...
Data3 being ... ???

Also, I assume that this applies to live data only? Does anyone know whether MC plans to incorporate bid/ask delta analysis of the kind we find with Investor R/T?

Thanks!


***********************************************************************
Yes, you need 3 rt data series, for example-
ES trade on data1
ES bid on data2
ES ask on data3

If you go to "Format Instrument" , "Settings" you can choose between "trade, bid or ask".

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Re: Cumulative Delta & Volume Delta

Postby CrazyNasdaq » 06 Feb 2011

Using Data1 data2 and Data3 and matching them, you must have historical values of Bid and Ask which are collected in Quotemanager simply selecting them in "Fileds to collect".
The problem is the same as insidebid and insideask because you get those data of level1 from the status line "bid" and "Ask" and storage them in the Quotemanager.
The only datafeed that works great after a reload with this logic is DTN IQ feed which sends you historical data (30 days back) of Bid and ASK and also the trade value so you can match Trade with bid or ask (Data2 or Data3).
I said "after a Reload of data" because your CVD is reliable only if you have a perfect synchronization of BID /Ask and Trade.
Infact there is also an other problem with this logic and it comes out when you reload your data (with DTN). The Cumulative Volume Delta after the Backfill is different from the Real Time CVD, which makes this logic very difficult to be reliable when you use the code with 3 datas.
During Live data, you loose some ticks and trades and you don't have all the changes of Bid and ASK levels because of the latency of internet connection and this is normal. When You reload data and backfill them, you collect many ticks more and much more BID and ASK values (which are always more then Trades because they change more often then trades), so the Cumulative Volume Delta changes its curve because after the backfill you use Historical DTN IQfeed data reloaded and storaged and not your live data collected.
I've tried this logic with DTN IQ feed and a code of mine based on Data2 and Data3 about an year ago and there were many differences from live CVD curve and Backfilled CVD curve.
The problem is always the synchronization of Bid and ASk and Trade during Live data.
You can't know if that real time BID is really a BID..........not only because you can't have a subsecond time stamp, but also because subsecond time sequency is not a good way to collect data. The best way is to sequence each trade and each bid and each ASK level with a specific ID and match that ID with the same BID ID or ASK ID so your time frequency can reach even the Microsecond and not only millisecond, but for your code is the same because your logic is not based on time but on an ID counter.
The same logic of Data2 and Data3 works BAD with other datafeed which don't backfill ASK and BID levels, and however you can trust in the code only after a reload of data with the level of Technology that the modern platforms have as primary logic based on "TIME" stamp and not on ID Counter.
The ID Counter is a new and more reliable and more efficient way to storage data and trades in a sequence which is more reliable then Time stamp and it cant' be wrong because for example the trade Number 8573 can match only with the bid number 8573 or an ASK numbered 8573 and there is only an ASk ID or a BID ID with ID 8573. There isn't in the same time an ASK and a BID ID numbered 8573 if the protocol has worked fine.
I remeber to all that the market is moving towards microseconds frequency, so the Millisecond logic is already NOT the LAST border.
This my opinion on CVD with today technology, and this is the way that I've choosen to move towards with my proprietary software.
I hope that this way that I've choosen to move towards can help MULTICHARTS programmers/developers in a future version of this great software.

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Re: Cumulative Delta & Volume Delta

Postby tortoise » 06 Feb 2011

Ok, this is very helpful. So, in other words, this data2/data3 code yields, more or less, garbage?

Also, I see MC has made some sort of .dll available that appears to have something to do with this subject (cumulative delta/IQ feed), but I'm not at all sure what to do with it (aside from load it, as per the instructions.) Does this .dll somehow address the problem? If not, then what the heck does it do? Thanks.


CrazyNasdaq wrote:Using Data1 data2 and Data3 and matching them, you must have historical values of Bid and Ask which are collected in Quotemanager simply selecting them in "Fileds to collect".
The problem is the same as insidebid and insideask because you get those data of level1 from the status line "bid" and "Ask" and storage them in the Quotemanager.
The only datafeed that works great after a reload with this logic is DTN IQ feed which sends you historical data (30 days back) of Bid and ASK and also the trade value so you can match Trade with bid or ask (Data2 or Data3).
I said "after a Reload of data" because your CVD is reliable only if you have a perfect synchronization of BID /Ask and Trade.
Infact there is also an other problem with this logic and it comes out when you reload your data (with DTN). The Cumulative Volume Delta after the Backfill is different from the Real Time CVD, which makes this logic very difficult to be reliable when you use the code with 3 datas.
During Live data, you loose some ticks and trades and you don't have all the changes of Bid and ASK levels because of the latency of internet connection and this is normal. When You reload data and backfill them, you collect many ticks more and much more BID and ASK values (which are always more then Trades because they change more often then trades), so the Cumulative Volume Delta changes its curve because after the backfill you use Historical DTN IQfeed data reloaded and storaged and not your live data collected.
I've tried this logic with DTN IQ feed and a code of mine based on Data2 and Data3 about an year ago and there were many differences from live CVD curve and Backfilled CVD curve.
The problem is always the synchronization of Bid and ASk and Trade during Live data.
You can't know if that real time BID is really a BID..........not only because you can't have a subsecond time stamp, but also because subsecond time sequency is not a good way to collect data. The best way is to sequence each trade and each bid and each ASK level with a specific ID and match that ID with the same BID ID or ASK ID so your time frequency can reach even the Microsecond and not only millisecond, but for your code is the same because your logic is not based on time but on an ID counter.
The same logic of Data2 and Data3 works BAD with other datafeed which don't backfill ASK and BID levels, and however you can trust in the code only after a reload of data with the level of Technology that the modern platforms have as primary logic based on "TIME" stamp and not on ID Counter.
The ID Counter is a new and more reliable and more efficient way to storage data and trades in a sequence which is more reliable then Time stamp and it cant' be wrong because for example the trade Number 8573 can match only with the bid number 8573 or an ASK numbered 8573 and there is only an ASk ID or a BID ID with ID 8573. There isn't in the same time an ASK and a BID ID numbered 8573 if the protocol has worked fine.
I remeber to all that the market is moving towards microseconds frequency, so the Millisecond logic is already NOT the LAST border.
This my opinion on CVD with today technology, and this is the way that I've choosen to move towards with my proprietary software.
I hope that this way that I've choosen to move towards can help MULTICHARTS programmers/developers in a future version of this great software.

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Re: Cumulative Delta & Volume Delta

Postby CrazyNasdaq » 06 Feb 2011

tortoise wrote:Ok, this is very helpful. So, in other words, this data2/data3 code yields, more or less, garbage?

Also, I see MC has made some sort of .dll available that appears to have something to do with this subject (cumulative delta/IQ feed), but I'm not at all sure what to do with it (aside from load it, as per the instructions.) Does this .dll somehow address the problem? If not, then what the heck does it do? Thanks.



It's not garbage, but it's not so reliable as you could think for the reasons that I've wrote above which are internet connection latency dependent.
Which .dll do you talk about ? Can you post some link about what you wrote ?
Thanks

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Re: Cumulative Delta & Volume Delta

Postby tortoise » 06 Feb 2011

Here y'go!

https://www.multicharts.com/traders-blog/?p=115


CrazyNasdaq wrote:
tortoise wrote:Ok, this is very helpful. So, in other words, this data2/data3 code yields, more or less, garbage?

Also, I see MC has made some sort of .dll available that appears to have something to do with this subject (cumulative delta/IQ feed), but I'm not at all sure what to do with it (aside from load it, as per the instructions.) Does this .dll somehow address the problem? If not, then what the heck does it do? Thanks.



It's not garbage, but it's not so reliable as you could think for the reasons that I've wrote above which are internet connection latency dependent.
Which .dll do you talk about ? Can you post some link about what you wrote ?
Thanks

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Re: Cumulative Delta & Volume Delta

Postby CrazyNasdaq » 06 Feb 2011

TKS !!!

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Re: Cumulative Delta & Volume Delta

Postby CrazyNasdaq » 06 Feb 2011

It seems that my suggestion and logic protocol has been picked up by Dave who mention it in the BUG tracker section of the forum and Multicharts developers has solved and implemented it in the new release of Multichtars.
http://www.multicharts.com/pm/viewissue.php?issue_no=MC-156

I've dicussed and promoted this solution that I use in my proprietary software with Nick (also Blowfish in Traderslaboratory) here http://www.traderslaboratory.com/forums/34/time-sales-profile-indicator-8682-2.html#post107012 and here http://www.multicharts.com/discussion/viewtopic.php?f=1&t=8116 at post #5

Glad to know that my logic/solution can improve the status of the problem and help to solve the problem.
Now we can only wait the new release 7.0

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Re: Cumulative Delta & Volume Delta

Postby TJ » 06 Feb 2011

CrazyNasdaq and Nick/BlowFish: Good work! Many thanks for your tireless detective efforts.

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Re: Cumulative Delta & Volume Delta

Postby RobotMan » 07 Feb 2011

CrazyNasdaq and Nick/BlowFish: Good work! Many thanks for your tireless detective efforts.
Yes! Thank you! This just gets better and better.

~Bob Perry

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Re: Cumulative Delta & Volume Delta

Postby Laurentius » 01 Mar 2011

Yes. I would also like to say thank you very much to CrazyNasdaq and Nick. Appreciate it a lot!

Laurentius : )

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Re: Cumulative Delta & Volume Delta

Postby reitberg » 19 May 2011

Was this Volume Delta feature implemented in MC 7? If yes, in there an indicator already made?

Thanks

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Re: Cumulative Delta & Volume Delta

Postby Nicolas23 » 05 Jul 2012

Hi,

I am pushing up this old topic. :)
I have MC8 and DTN IQFeed as a data feed.
Is there now a built-in way to have real Cumulative Delta in MultiCharts? [I have not found]
Or shall we use one of the indicators proposed above? Which one is the most up-to-date?

Thanks in advance for your help! :)

Nicolas

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Re: Cumulative Delta & Volume Delta

Postby Andrew MultiCharts » 24 Oct 2012

The Volume Delta and Cumulative Delta are already implemented in MultiCharts as chart types, documentation is in the process, everything will be released with next coming MultiCharts 8 version.


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