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Cumulative Delta: Difference between revisions
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===Understanding Cumulative Delta Chart Type=== | ===Understanding Cumulative Delta Chart Type=== | ||
[[File:CDChart2.png|right|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 Option === | |||
===Selecting Cumulative Delta Chart | |||
# Open the '''Format Instrument''' window by one of the following methods: | # Open the '''Format Instrument''' window by one of the following methods: | ||
#:* Click the '''New Chart Window''' | #:* Click the '''New Chart Window''' [[File:New_Chart.png]] icon on the Main toolbar; or: | ||
#:* Use the '''Insert''' key on the keyboard; or: | #:* Use the '''Insert''' key on the keyboard; or: | ||
#:* In the main menu select '''File''', then point to '''New''' and click '''New Chart Window'''. | #:* In the main menu select '''File''', then point to '''New''' and click '''New Chart Window'''. | ||
# Select the '''Instrument''' tab. | # Select the '''Instrument''' tab. | ||
# Select a data feed from the '''Data Source''' list. | # Select a data feed from the '''Data Source''' list. | ||
# Select a symbol from the list of available symbols in '''All | # Select a symbol from the list of available symbols in '''All Instruments''' tab, or use the '''Category''' tabs to show 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 [[Operating Symbol List#Adding Symbol(s) to Symbol List|Adding Symbol(s) to Symbol List]] section. | ||
# Select the '''Settings''' tab. | # Select the '''Settings''' tab. | ||
# Select | # Select the '''Resolution''' your chart will 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. | ||
# Enable '''Show Delta''' section and choose ''' Cumulative Delta''' from the '''Delta Type''' dropdown list. | |||
# | # Select '''Breakdown by''': | ||
#* '''Up Ticks vs Down Ticks''' method: | #* '''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 higher than the previous tick price, the volume of the current tick goes to BUY volume. | ||
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#** 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.<br><div style="background-color: #E5F6FF;">'''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.</div> | #** 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.<br><div style="background-color: #E5F6FF;">'''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.</div> | ||
#** If a tick is first one in the series, its volume goes to BUY volume. | #** If a tick is first one in the series, its volume goes to BUY volume. | ||
#* '''Ask Traded vs Bid Traded''' method: | #* '''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 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 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, than the volume is recorded either to BUY or to SELL volume depending on what was the last recorded volume.<br><div style="background-color: #E5F6FF;">'''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.</div> | #** If the current tick price is between ASK and BID prices, than the volume is recorded either to BUY or to SELL volume depending on what was the last recorded volume.<br><div style="background-color: #E5F6FF;">'''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.</div> | ||
#: | # Select '''Build from''' to choose which type of data shall be utilized to build Cumulative Delta: | ||
# | #*If '''Ticks''' is selected: | ||
#*:- In case '''Breakdown by''' = '''Ask Traded vs Bid Traded''', MultiCharts will request '''historical tick ask''' and '''bid''' data from the data source for selected data range irrespective of the chart resolution to build Cumulative Delta chart. | |||
# | #*:- In case '''Breakdown by''' = '''Up Ticks vs Down Ticks''', MultiCharts will request '''historical tick trade''' data from the data source for selected data range irrespective of the chart resolution to build Cumulative Delta chart. | ||
<div style="background-color: #E3FBE5;">'''Note''': [[Custom Futures]] are | #*'''Minutes''' option is available if the basic resolution in chart settings is bigger than one minute. | ||
#*:- If '''Minutes''' is selected, MultiCharts will request '''historical minute trade''' data from the data source for selected data range irrespective of the chart resolution to build Cumulative Delta chart. | |||
#*'''Days''' option is available if the basic resolution in chart settings is bigger than one day. <div style="background-color: #E3FBE5;">'''Note''': '''Minutes''' and '''Days''' options are not available if '''Breakdown by''' = '''Ask Traded vs Bid Traded'''.</div> | |||
# Click '''OK''' to create a chart. | |||
<div style="background-color: #E3FBE5;">'''Note''': [[Custom Futures]] are supported on Cumulative Delta chart type since MultiCharts 11.</div> | |||
=== | ===Setting Cumulative Delta Chart Style (Open, High/Low, Close, Up, Wick, Down)=== | ||
# Open the '''Format Instrument''' window by one of the following methods: | # 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: | #* 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''' | #* Position the mouse pointer over the symbol's data series; double-click once the '''Pointer''' [[File:Pointer.png]] changes into a '''Hand''' [[File:Hand.png]]; or: | ||
#* Position the mouse pointer over the symbol's data series; once the '''Pointer''' | #* Position the mouse pointer over the symbol's data series; once the '''Pointer''' [[File:Pointer.png]] changes into a '''Hand''' [[File: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: | #* 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. | #* Select '''Format''' in the main menu and click '''Instrument'''; if the '''Format Objects''' window appears, select the symbol and click the '''Format''' button. | ||
# Select the '''Style''' tab. | # Select the '''Style''' tab. | ||
# Select one of the | # Select one of the 6 available chart types: | ||
#* '''OHLC Bar''' | #* '''OHLC Bar''' | ||
#* '''HL Bar''' | |||
#* '''Candlestick''' | #* '''Candlestick''' | ||
#* '''Line on close''' | |||
#* '''Histogram''' | #* '''Histogram''' | ||
#* '''Invisible bars''' | |||
# In the '''Chart Style''' section click on the component element to be changed. | # In the '''Chart Style''' section click on the component element to be changed. | ||
# In the '''Color''' column select one of the standard 40 colors from the palette box, or click the '''Other''' button to create custom colors. | # In the '''Color''' column select one of the standard 40 colors from the palette box, or click the '''Other''' button to create custom colors. | ||
# From the '''Width''' list select a width of the | # From the '''Width''' list select a width of the component. | ||
# To apply the most recently selected component's style to all components, click the '''Apply to All Components''' button. | # To apply the most recently selected component's style to all components, click the '''Apply to All Components''' button. | ||
# 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 | # 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 can be selected in the '''Chart Style''' section. | ||
# '''Last Price Marker Line''' option is used to display a line showing the last price level along the length of the chart. The color of the line can be set in the '''Chart Style''' section. | |||
# To show candlestick borders, select '''Show Candlestick Border''' check box; clear the box to hide the border. This option works for Candlestick chart style only. The style of the border is the same as of the Wick. | |||
# To use these style settings for all new charts of this type, select '''Use as Default''' check box. | # To use these style settings for all new charts of this type, select '''Use as Default''' check box. | ||
===Auto Trading | ===Auto Trading and Backtesting on Cumulative Delta Chart Style=== | ||
Intra-Bar Order Generation is supported on | Intra-Bar Order Generation is supported on Cumulative Delta chart type. Bar magnifier is not supported. | ||
To learn how Intra-Bar Order Generation on | To learn how Intra-Bar Order Generation on Cumulative Delta Chart Type, see [[Intra-Bar Order Generation, Bar Magnifier on Non-Standard Chart Types|this page]] | ||
====Backtesting==== | ====Backtesting==== | ||
There is no difference in order generation between Regular and | 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==== | ====Order Generation in Data Playback==== | ||
There is no difference between order generation on Regular and | 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==== | ====Real-Time Simulation==== | ||
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Auto trading is not allowed for this chart type. | Auto trading is not allowed for this chart type. | ||
[[Category:Non-Standard_Chart_Types]] | [[Category:Non-Standard_Chart_Types]] | ||
