Volume Delta Bar Algorithm  [SOLVED]

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ABC
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Volume Delta Bar Algorithm

Postby ABC » 24 Jun 2014

How are the Volume Delta Bar values computed?
I am talking about the bid and ask volume values at each price. This might sound like an easy question, but I have tried to reproduce the results and it turns out that it's not so simple.
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The reason for my question is that I would expect that I can recreate the values from 1 tick charts using bid, ask and trade (unless you can directly access the values from the volume delta bars, which you can't in regular MC afaik).
However when I sum up the volume when trade price >= ask price and trade price <= bid price the total volume of the bar matches, but the AskVolume and the BidVolume is different to the volume shown in the Volume Delta Bar. Even on bars where there is not one single trade price in between bid and ask, the results differ. How does MC calculate the volume at bid and ask in those situations by the way?

That's why I am interested in how MC exactly calculates those values, so they can be reproduced.
To make sure I used the same symbol coming from IQFeed and my tests have been done in MultiCharts64 Version 8.8 Release (Build 9189).

Thank you,

ABC
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Re: Volume Delta Bar Algorithm  [SOLVED]

Postby Henry MultiСharts » 26 Jun 2014

Hello ABC,

That is less likely that you will be able to replicate the volume delta bars in a custom indicator, that is why we have added a prebuilt tool for that. We have invested a lot of time into analysis, implementation and debugging of this functionality.
Here is how to see how it works:
1) You need to plot 1 tick volume delta chart (trade), breakdown by “Ask traded vs Bid Traded”. Then add data 2 - 1 tick regular Ask series (dot on close), data 3 - 1 tick regular Bid series (dot on close).
2) Compare the plots. When Volume Delta chart (Trade ) is equal to Ask, then this is Up volume, when equal to Bid – this is Down volume.
3) If Ask = Bid = Trade or Trade is between Ask and Bid, then the algorithm is switched to “Up Volume vs Down Volume” and the delta is calculated based on the previous tick.
For historical data IQfeed assigns the volume status (ask/bid traded) on their end and we use that in MultiCharts. For the other data providers for historical and realtime data we calculate it on our end.


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