Cumulative Delta indicators - GomCD tools for MultiCharts

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Stan Bokov
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Cumulative Delta indicators - GomCD tools for MultiCharts

Postby Stan Bokov » 24 Jun 2011

Hello everyone,

There is a set of indicators that I posted on this forum yesterday - the GomCD tools. These indicators are used to analyze Cumulative Delta, and are popular among some of our customers. After posting I was alerted by Big Mike that these indicators were created by a member of the Big Mike's Trading forum (BMT) specifically and exclusively for BMT Elite members - which means the MultiCharts version also belongs in the Elite section at BMT. Hence, the indicators were removed from here and are now posted here - http://www.bigmiketrading.com/elite-cir ... harts.html

The developer, Gomi, is a prominent member of the BMT community (http://www.bigmiketrading.com/wiki/trading-wiki/Gomi). We respect intellectual property rights and posting something that shouldn't have been posted was not intentional.
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Re: Cumulative Delta indicators - GomCD tools for MultiChart

Postby RobotMan » 24 Jun 2011

If you own Multicharts, you should be a member of BMT Elite. Not only can you get prewritten .pla code, but there are so many examples and insights of how to trade that it will blow you away. Big Mike has made it the most functional and easy to use traders forum that I have ever seen and he always seems available for help.
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Re: Cumulative Delta indicators - GomCD tools for MultiChart

Postby tekram » 24 Jun 2011

Shouldn't the Multicharts Premium Forum be the place for useful insights and "how to trade that will blow you away"?
RobotMan wrote:If you own Multicharts, you should be a member of BMT Elite. Not only can you get prewritten .pla code, but there are so many examples and insights of how to trade that it will blow you away. Big Mike has made it the most functional and easy to use traders forum that I have ever seen and he always seems available for help.

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Re: Cumulative Delta indicators - GomCD tools for MultiChart

Postby RobotMan » 24 Jun 2011

Shouldn't the Multicharts Premium Forum be the place for useful insights and "how to trade that will blow you away"?

If it was, it would be, but it's not, so; no.

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Re: Cumulative Delta indicators - GomCD tools for MultiChart

Postby sptrader » 25 Jun 2011

RobotMan wrote:
Shouldn't the Multicharts Premium Forum be the place for useful insights and "how to trade that will blow you away"?

If it was, it would be, but it's not, so; no.

**************************************************************************
** We have the Best Platform (MC), that's what matters most to me..
( I also love "Big Mikes" forum)
Last edited by sptrader on 02 Jul 2011, edited 1 time in total.

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Re: Cumulative Delta indicators - GomCD tools for MultiChart

Postby RobotMan » 25 Jun 2011

We have the Best Platform (MC), that's what matters to me..
Agreed!

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Re: Cumulative Delta indicators - GomCD tools for MultiChart

Postby tekram » 26 Jun 2011

GOMCD in C#, public code released by Gomifromparis, originally from a discussion of Delta Buy/Sell volume by sbgtrading on another forum and is still open and freely available. There is a general interest in this subject as evidence by the highest number of views of those threads in that forum. I am no marketing genius, but I find it perplexing that MC would like to send these potential 150 thousand pairs of eyes and customers elsewhere to find what they want. If I were MC, I would build these simple deltavolume functions right into Powerlanguage (and make the data stream persistent or capturable) and make it available to every MC owner and market this as the next holy grail - they are not really, but marketing is make believe, that why it is called the "market".

Therefore, even though these may be terribly flawed indicators, they deserve at least a place in open discussion and it is unfortunate such discussion of this particular version is not available in this MC forum.

Image

Code: Select all

#region Using declarations
using System;

** snipped ***

#endregion


Moderator's note:
I have edited out the lengthy C# code to save bandwidth.
You may go to the referenced site to read the code if interested.
Best Regards

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Re: Cumulative Delta indicators - GomCD tools for MultiChart

Postby Stan Bokov » 27 Jun 2011

tekram wrote:GOMCD in C#, public code released by Gomifromparis, originally from a discussion of Delta Buy/Sell volume by sbgtrading on another forum and is still open and freely available.

There is a general interest in this subject as evidence by the highest number of views of those threads in that forum. I am no marketing genius, but I find it perplexing that MC would like to send these potential 150 thousand pairs of eyes and customers elsewhere to find what they want. If I were MC, I would build these simple deltavolume functions right into Powerlanguage (and make the data stream persistent or capturable) and make it available to every MC owner and market this as the next holy grail - they are not really, but marketing is make believe, that why it is called the "market".


Sure, these are available. However, the wishes of the author were that GomCD PLA indicators remain posted on the BMT forum in the Elite section - that's fine with us. It has been suggested by some people in the past that these Cumulative Delta tools had the potential to become a major selling point of the MultiCharts platform. However, maybe due to our lack of marketing know-how, maybe due to some reasons, the potential has not been realized. So, we leave it to traders where to share ideas and what tools to use. However, one thing is certain, the author of the tools indicated that what he wanted, and we will respect his wishes.


Therefore, even though these may be terribly flawed indicators, they deserve at least a place in open discussion and it is unfortunate such discussion of this particular version is not available in this MC forum.


What is the purpose of posting C# indicators on a MultiCharts forum?

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Re: Cumulative Delta indicators - GomCD tools for MultiChart

Postby RobotMan » 02 Jul 2011

Just eating lunch here in sunny California and reading over the forum...
GOMCD in C#, public code released by Gomifromparis, originally from a discussion of Delta Buy/Sell volume by sbgtrading on another forum and is still open and freely available.
Yes, and because it is C#, it works best in NT.
It has been suggested by some people in the past that these Cumulative Delta tools had the potential to become a major selling point of the MultiCharts platform.
Not until you keep track of volume internally in the MC program itself. Perhaps just a checkmark on the "Format Instrument" window that says "keep track of IntrBar b/a volume?" Then those that have newer CPUs and HDs can easy use this option and those that chose not to do so can leave it unchecked. And no, I am not going to the PM page request it. It's just a good business move. NT should have thought of it long ago.

I think that TekRam has a valid point. I will just touch upon it briefly.
Gomi wrote some incredibly helpful code for NT that users were crying out for. It is called the GomRecorder. It allowed the volume at bid and ask be recorded and saved so that it would not be lost on a historical basis. Gomi also wrote another incredible piece of software called GomVolumeLadder that mimics Fin-alg and MD to show volume at bid and ask on the charts in real time. He wrote several indicators bundled together and all his stuff integrates with the GomRecorder so that they all can utilize historical bid/ask volume. Very nice! And all for free for the elite traders at BMT. He is a great guy and a very smart guy. Becoming an Elite member at BMT is a real bargain for the value and quality that is there. Not just indicators, but the people.

He did not originate code for Cumulative Delta, although he wrote CD within his own creations, but as far as I know, the concept of CD has been around for a while. Gomi has not, as far as I know, ever written code in .pla or .ela format. So - the code that MC wrote and posted is not original in concept or a copy of anyone's proprietary work.

I believe that the only flaw is naming it "Gomi" in the title. Although, if you think about it, people like Bollinger, Chaikin, Keltner, McClellan and others have their names in the title of some indicators also. However, a request was made to not have code named after Gomi be placed in a public forum and available to any MC user that wants it. You might think this unfair. However, I think you will find that, after I explain it to you, you will see it as a blessing if you cannot get a hold of this .pla code and use it in MC.

You see; the code does not work.

It is well written and theoretically will do the CD calculation on paper. However, in practice the numbers are all over the place and spurious at best.

Don't believe me?
Let me show you on your own machine, in your own copy of MC.

Pull up a chart of something that actively trades. I am going to use the ES as an example.
I use eSignal (YMMV). In data #1 use Quotefield: Ask, In Data #2 use Quotefield: bid, In Data #3 use Trade. Set them all to the same chart type of 300 seconds (using Minute volume only shows as Trade UpVolume). Now set up the Gomi indicators. Also one Volume indicator on each of three data series (3 Volume histograms total). Now let them run for a while during the live market. Nice looking aren't they. Pretty. Now look at the volume. do you see it? Look closely.

There are MILLIONS of contracts going off at the bid and ask per bar. Yeah. more volume in one day than the CME records for the ES in a year. Now look at the trade volume. Normal. weird huh.

I don't know why it does this. But you probably should be thanking BMT for the favor.

MC put a bandaid on IntraBarPersist by storing ticks in cache and giving them a trade ID. I suggest using only "Trade" Quotefield and using IBP method instead. Plenty of code has been posted on this forum. I, myself, have no problem using UpTicks and DownTicks in my volume analysis.

Let the flaming begin.... :-)
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Re: Cumulative Delta indicators - GomCD tools for MultiChart

Postby Stan Bokov » 04 Jul 2011

RobotMan wrote:He is a great guy and a very smart guy. Becoming an Elite member at BMT is a real bargain for the value and quality that is there. Not just indicators, but the people.


Agreed.

He did not originate code for Cumulative Delta, although he wrote CD within his own creations, but as far as I know, the concept of CD has been around for a while. Gomi has not, as far as I know, ever written code in .pla or .ela format. So - the code that MC wrote and posted is not original in concept or a copy of anyone's proprietary work.


Right, we ported it over to MC, but we ported over his work - not some CD concept from somewhere else. This is where it all stems from.



You see; the code does not work.

It is well written and theoretically will do the CD calculation on paper. However, in practice the numbers are all over the place and spurious at best.

Don't believe me?
Let me show you on your own machine, in your own copy of MC.

Pull up a chart of something that actively trades. I am going to use the ES as an example.
I use eSignal (YMMV).


An option was made specifically for IQFeed to have minute and daily bars made out of ticks - then it does work, from what I've been told. I believe the code DOES NOT work with regular minute and daily bars because it needs ticks. The option is a tickbox in QuoteManager > Tools > Data Sources > IQFeed > Settings.
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Re: Cumulative Delta indicators - GomCD tools for MultiChart

Postby bomberone1 » 05 Oct 2011

Hi Multicharts Team.
On bik mike forum we try to implement GomVD to have the same on NT and Maket deta,
but find many difficult.
Please could you help us?

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Re: Cumulative Delta indicators - GomCD tools for MultiChart

Postby horton » 08 Oct 2011

Stan Bokov wrote: An option was made specifically for IQFeed to have minute and daily bars made out of ticks - then it does work, from what I've been told. I believe the code DOES NOT work with regular minute and daily bars because it needs ticks. The option is a tickbox in QuoteManager > Tools > Data Sources > IQFeed > Settings.


When can we have this option added to the Esignal data feed? I submitted a feature request for this a few months ago. I use Esignal with MD with good results, so I don't see any functional reason that would complicate enabling this feature. Of note, Esignal users have to call in and request access to the tick server historical data. But that took me all of ten minutes a year ago. You get ten days of data which is plenty for intraday analysis.

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Re: Cumulative Delta indicators - GomCD tools for MultiChart

Postby Henry MultiСharts » 10 Oct 2011

bomberone1 wrote:Hi Multicharts Team.
On bik mike forum we try to implement GomVD to have the same on NT and Maket deta,
but find many difficult.
Please could you help us?

Please describe what do you mean. What difficulties do you have?
horton wrote:When can we have this option added to the Esignal data feed? I submitted a feature request for this a few months ago. I use Esignal with MD with good results, so I don't see any functional reason that would complicate enabling this feature. Of note, Esignal users have to call in and request access to the tick server historical data. But that took me all of ten minutes a year ago. You get ten days of data which is plenty for intraday analysis.

Thank you for your suggestion Sir.
I have forwarded your request to the developers.
Unfortunately there is no ETA at the moment.

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Re: Cumulative Delta indicators - GomCD tools for MultiChart

Postby bomberone1 » 10 Oct 2011

Please follow the topic on bigmike forum or speak to him. So he explains better than me the problem in better English.
My best

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Re: Cumulative Delta indicators - GomCD tools for MultiChart

Postby SP » 10 Oct 2011

Henry,

could you test if that is wrong:

"If i use a 1 Tick chart with "Quote Field " -> Trade and as data2 a 1 Tick chart with "Quote Field " -> Ask
and simple use an test with

plot1 (insideask - close of data2);

there are differences. Insideask into the code only updates if on a new tick comes in, but this is sometimes after the fact.
I.e if we have 35 bid for 100 contracts and 36 ask for 100 and somebody buys 250 with 36 limit, 36 gets the new insidebid for the remaining 150 and 37 the new ask. Then it seems that the trade is counted as traded at bid because at the moment the code updates and calculates the insidebid is 36, instead of counted as trade at the former insideask."

http://www.bigmiketrading.com/elite-cir ... post145869

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Re: Cumulative Delta indicators - GomCD tools for MultiChart

Postby Henry MultiСharts » 11 Oct 2011

Hello SP.
You are using the different data sources.
Insideask uses the status line, close of data2-uses the chart data series 2.
If you have a possibility-please use the chart as the data source.

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Re: Cumulative Delta indicators - GomCD tools for MultiChart

Postby Stan Bokov » 11 Oct 2011

bomberone1 wrote:Hi Multicharts Team.
On bik mike forum we try to implement GomVD to have the same on NT and Maket deta, but find many difficult.
Please could you help us?


I'm not sure what you are referring to. We implemented GomCD for MC, it's posted in Elite section on Big Mike's. We do not implement indicators for other platforms. Do you have any specific questions?

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Re: Cumulative Delta indicators - GomCD tools for MultiChart

Postby Stan Bokov » 11 Oct 2011

bomberone1 wrote:Please follow the topic on bigmike forum or speak to him. So he explains better than me the problem in better English.
My best


MC staff is directly responsible for answering questions on this forum, we cannot follow other forums.

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Re: Cumulative Delta indicators - GomCD tools for MultiChart

Postby SP » 11 Oct 2011

Henry Multicharts wrote:If you have a possibility-please use the chart as the data source.


Henry,

does that mean we should avoid all calculations with insidebid/insideask in Delta codes and
generally use data2 (bid) and data3 (ask ) instead or what is the best way to determine if a trade
was on bid/ask or in-between (or could this information be stored in a future version of Quotemanager directly like IQ Feed does it)?

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Re: Cumulative Delta indicators - GomCD tools for MultiChart

Postby Henry MultiСharts » 11 Oct 2011

What I ment is that it is better to use the data series 1 for calculations instead of status bar data.


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