Cumulative Volume(Delta Buy/Sell) Indicator

Discussion in 'Trading' started by MichaelB, Jun 21, 2008.

  1. MichaelB

    MichaelB

    Hi All,
    This indicator was posted by Ben, for use with NT

    "Delta Buy/Sell Volume, Tick volume or Tick count
    Hello everyone,

    I've made a sweeping change to the cumulative delta indicator and posted it to this message. It is one indicator that lets you choose from the following 3 cumulative delta types:
    1) Bid/Ask Volume
    This is cumulation of the volume at the Ask - volume at the Bid
    2) UpTick/DownTick Volume
    This is the cumulation of the volume on upticks - volume on downticks
    3) Tick Count
    No volume in this calculation, just the sum of upticks - downticks

    I believe this is a more efficient handling of the incoming market data and it may lead to resolving some of the "discrepancies" in the cumulative calculation. Please test it and report back to this thread.

    Another enhancement in this version is you can completely turn-off the individual bar delta values (which were plotted as green and red dots in prior versions). This will prevent any undesirable scaling issues with the panel.

    Let me know if you have any questions! Please test this indicator and report back.

    Enjoy!
    Ben
    Attached Files
    File Type: zip CumulativeVolumeOrTick.zi p (3.1 KB, 159 views)
    Last edited by sbgtrading : 04-15-2008 at 05:25 AM. "

    Does anyone here use a Cumulative Volume(Delta Buy/Sell) indicator in conjunction with Market Profile, and if so ,would it be possible to comment on how they have used it ?

    Thanks in advanced for any feed back
    Cheers
    Michael Bethell
     
    palprabob116 likes this.
  2. Several traders here at ET use the cumulative delta information from various indicators. So far the Investor R/T Volume Breakdown tool still seems to give the best information over studies listed in the ninjatrader forums. One reason I would not use the data set to "ticks", is the ability to filter bid/ask trade size for cumulative delta indications with Investor R/T.

    Observing the cumulative and intrabar delta at market profile levels is an excellent way to find great trade opportunities imo. Dr. Bill Linn at linnsoft.com has built a very good charting package for the use of market profile and cumulative/intrabar delta charting studies.
     
  3. In addition, I have seen sbgtrading built studies from his website listed at the ninjatrader forums. Sbgtrading seems to be getting closer to what Investor R/T has for cumulative delta studies that plot the correct information, and I like what he has been developing. He needs to get the SDK from Investor R/T to hone in on a few details. wink-wink :D
     
  4. MichaelB

    MichaelB

    Thanks for the detailed reply,
    I will contact Sbgtrading (Ben) to discuss your comments/developements etc etc.
    Have you or others here ,you may know, used / compared the
    http://www.fin-alg.com/volumefootprint_gallery.html
    (Muly Oved) indicator with Cumulative Delta capabilities for NT , with the Investor R/T.
    If so , would it be possible to comment or discuss this as a viable tool ( accurate )
    compared to Investor R/T?
    Thanks
    Michael Bethell
     
  5. I see from the Final example they have footprints for the delta now. I do not use footprints for my trading. I plot the cumulative delta in Investor R/T as candlesticks which I can then apply "studies/indicators" too for any chart time frame selected. Several traders I know well, chart the cumulative delta the way I have always done it since using Investor R/T the past few years.

    There should be free videos at the marketdelta website which may help you too.
     
  6.