Cumulative Delta

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Understanding Cumulative Delta Chart Type

Cumulative Delta Chart
Cumulative Delta is the algebraic sum of the single delta volume values. In comparison to Volume Delta, Cumulative Delta is not based on regular bars. When the Cumulative Delta chart type is used, the price scale of the chart is transformed into volume scale and the formed bars represent not volume within regular price bars, but accumulated delta (buy - sell) of the volume per specified resolution. It can be used for analysis only. Trading directly from this chart type is not supported.

Selecting Cumulative Delta Chart Type

  1. Open the Format Instrument window by one of the following methods:
    • Click the New Chart Window New Chart.png icon on the Main toolbar; or:
    • Use the Insert key on the keyboard; or:
    • In the main menu select File, then point to New and click New Chart Window.
  2. Select the Instrument tab.
  3. Select a data feed from the Data Source list.
  4. Select a symbol from the list of available symbols in All Symbols tab, or use the category tabs to list only a particular category of symbols; the list can be sorted by any column, in ascending or descending order, by clicking on the column header. If you can’t find a symbol, see Adding Symbol(s) to Symbol List section.
  5. Select the Settings tab.
  6. Select Cumulative Delta from the Chart Type list.
  7. Select Resolution for your chart to be based on. It allows you to choose which type of data (for more details see Tick, Minute and Daily Data) and what detailed resolution will be used for building the bars.
  8. Select Breakdown by:
    • Up Ticks vs Down Ticks method:
      • If the current tick price is higher than the previous tick price, the volume of the current tick goes to BUY volume.
      • If the current tick price is lower than the previous tick price, the volume of the current tick goes to SELL volume.
      • If the current tick price is the same as the previous tick price, the volume is recorded either to BUY or to SELL volume depending on what was the last recorded volume.
        Example: If a new tick comes with higher than previous price and volume is recorded as BUY volume, and then another tick comes with the same as previous price, the volume is recorded also to BUY volume.
      • If a tick is first one in the series, its volume goes to BUY volume.
    Note: When you plot Volume Delta chart, take into account that it doesn't matter what resolution is selected, additionally MultiCharts will request historical tick trade data from your data source for the specified in chart settings data range, if Up Ticks vs Down Ticks is selected.
    • Ask Traded vs Bid Traded method:
      • If the current tick price is higher or equals current ASK tick price, the volume of the current tick goes to BUY volume.
      • If the current tick price is lower or equals current BID tick price, the volume of the current tick goes to SELL volume.
      • If the current tick price is between ASK and BID prices, then the volume is recorded either to BUY or to SELL volume depending on what was the last recorded volume.
        Example: If a new tick comes with a price higher or equals current ASK tick price and its volume is recorded as BUY volume, and then another tick comes with a price that is between ASK and BID prices, the volume is recorded also to BUY volume.
    Note: When you plot Volume Delta chart, take into account that it doesn't matter what resolution is selected, additionally MultiCharts will request historical tick ask and bid data from your data source for the specified in chart settings data range, if Ask Traded vs Bid Traded is selected.
  9. Check Break on Session if you want to see the session breaks (not available for daily-based resolutions).
  10. Double-click the symbol, or click OK, to create a chart.
Note: Custom Futures are not supported on Cumulative Delta chart type.

Settings Cumulative Delta Chart Style (Open, High/Low, Close, Up, Wick, Down)

  1. Open the Format Instrument window by one of the following methods:
    • Click the Format Instrument icon on the Chart Analysis toolbar; if the Format Objects window appears, select the symbol and click the Format button; or:
    • Position the mouse pointer over the symbol's data series; double-click once the Pointer Pointer.png changes into a Hand Hand.png; or:
    • Position the mouse pointer over the symbol's data series; once the Pointer Pointer.png changes into a Hand Hand.png, right-click and then click Format 'Symbol Name'; or:
    • Right-click on an empty area of the chart and then click Format Instrument; if the Format Objects window appears, select the symbol and click the Format button; or:
    • Select Format in the main menu and click Instrument; if the Format Objects window appears, select the symbol and click the Format button.
  2. Select the Style tab.
  3. Select one of the 2 available chart types:
    • OHLC Bar
    • Candlestick
    • Histogram
  4. In the Chart Style section click on the component element to be changed.
  5. In the Color column select one of the standard 40 colors from the palette box, or click the Other button to create custom colors.
  6. From the Width list select a width of the body border and the wick.
  7. To apply the most recently selected component's style to all components, click the Apply to All Components button.
  8. To display the Last Price Marker select the Last Price Marker check box, or clear the box to hide the marker; the color of the marker is the same as the color of the Down component.
  9. To use these style settings for all new charts of this type, select Use as Default check box.

Auto Trading Orders on Cumulative Delta Chart Type

Intra-Bar Order Generation is supported on Cumulative Delta chart type. Bar magnifier is not supported. To learn how Intra-Bar Order Generation on Cumulative Delta Chart Type, see this page

Backtesting

There is no difference in order generation between Regular and Cumulative Delta chart types with regards to backtesting. The basis of Cumulative Delta chart is volume, not price, so the orders are executed based on volume, not on price.

Order Generation in Data Playback

There is no difference between order generation on Regular and Cumulative Delta chart types with regards to data playback. Only As Is type of Data Playback is available] for Cumulative delta chart type.

Real-Time Simulation

There is no difference between order generation on Regular and Cumulative Delta chart types with regards to real-time order simulation.

Auto Trading

Auto trading is not allowed for this chart type.

Cumulative Delta in MultiCharts 11

Since MultiCharts 11 Beta 1 Cumulative Delta is available not as a separate chart type, but as an option for other chart types.

To enable Cumulative Delta for the chart:

  1. Open the Format Instrument window by one of the following methods:
    • Click the Format Instrument icon on the Chart Analysis toolbar; if the Format Objects window appears, select the symbol and click the Format button; or:
    • Position the mouse pointer over the symbol's data series; double-click once the Pointer Pointer.png changes into a Hand Hand.png; or:
    • Position the mouse pointer over the symbol's data series; once the Pointer Pointer.png changes into a Hand Hand.png, right-click and then click Format 'Symbol Name'; or:
    • Right-click on an empty area of the chart and then click Format Instrument; if the Format Objects window appears, select the symbol and click the Format button; or:
    • Select Format in the main menu and click Instrument; if the Format Objects window appears, select the symbol and click the Format button.
  2. Select the Settings tab.
  3. Enable Show Delta section and choose Cumulative Delta from the Delta Type dropdown list.
Note that there’s a restriction for the resolution of charts that use Cumulative Delta option:
  • For Regular charts — tick and minute resolutions are available.
  • For non-regular charts — only 1-tick resolution.