[Bug] Cumulative Volume Delta on Custom Future

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CrazyNasdaq
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[Bug] Cumulative Volume Delta on Custom Future

Postby CrazyNasdaq » 18 Mar 2021

Why Cumulative Volume Delta based on Custom Future has a reset at the beginning of each new contract ?
If price is rolled to new contract with a rectify of "difference" to create a continuous contract/chart, why Cumulative volume Delta based on Custom Future is NOT rolled for difference to create a continuous Cumulative Volume Delta. The logic is more simple then rectify all the quotes (High, Low, Open, Close) because the only filed that is needed to be rectified is the delta volume (in the image attched the calculaton needs only to subtract to the historical volume delta about 45K delta value to have a continuous Cumulative Volume Delta)
Why this ?
It would be useful to have a correct ad continuous Cumulative Volume Delta
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Vlada MultiCharts
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Re: [Bug] Cumulative Volume Delta on Custom Future

Postby Vlada MultiCharts » 31 Mar 2021

Hello CrazyNasdaq,

Please send us the following files so that we could check the issue on our end:

1) Exported custom futures instrument in QMD format;
2) Exported individual contracts that your custom futures is built from;
3) Your workspace file on which the issue is reproduced;

Please specify whether the issue is reproduced on a particular bar or on several bars and specify the time of the bars that are incorrect.


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