I read this with some interest. Makes sense to me. It also raises the obvious question of whether anybody has any experience of using market delta with stocks. I had a very brief look but not in sufficient depth to reach worthwhile conclusions. It seems to me that there might be something to be gained in constructing some sort of "market delta breadth" indicator across the stocks comprising an index, or at least a representative sample of the latter. Such an indicator might have some merit in trading the futures contract for the underlying index. A couple ways of constructing such an indicator could be: * ratio of number of stocks with +ve delta to ratio with -ve delta * a kind of dollar delta - the difference between the dollar value of trades at bid and trades at ask across all the monitored stocks I'd estimate that this should not be too computationally demanding. It should be possible to handle this for 100 stocks on an ordinary PC - probably substantially more.
thanks dcraig, hi bolter, lifes great thanks, though a double change in daylight savings is making it interesting to trade U.S. market from Australia
In Qld, we only have one to worry about. That extra hour of sunlight would fade the curtains. Apparently it also upsets the cows.
haha, i've heard skin cancer is an issue as well. i'm in Melbourne, we usually dont get enough sun here as it is.
just a quick question to see if i have this right. MD this bar = MD last bar + ask volume, or minus bid volume is that right?
Slighly off topic but think nevertheless interesting. The attached chart shows what might be an example of 'flipping' on the DAX. Notice the rapid fall in order book delta accompanied by very little volume. I observed something like 250 contracts on the inside bid - pretty unusual for the DAX. Shortly afterwards about 150 contracts are dumped - presumably after the culprit has seen enough other size being fooled into joining the bid. Subsequent price action completes the story. Actually it's quite unsettling to see 250 contracts on the bid if you are thinking of shorting.
It is quite interesting to put a 'dollar' - acutally a euro - figure on this: Say 100 contracts were dumped 100 contracts * 15 points fall * 25 euro = 37,500 euro
toe, More or less correct. Market delta is the net of the volume at the offer minus the volume at the bid. You can display it in various different forms, including the footprint chart and the volume breakdown indicator. With the VB you can choose to accumulate it as you suggest, either todays value or all values. cheers, bolter
One of the niceties of MD is that it enables you study the action retrospectively to help understand how markets behave under extreme conditions. In real-time is often plays out far too quickly to accurately observe the dynamics. This was the bund today on the NFP announcement. Interesting to note how one sided the trade is during the initial reaction, as it rotated down then up then down again.
Another interesting footprint from todays action on the bund. After a nasty selloff following the NFP number it managed a weak bounce before the following chart played out. As you can see it hit a vaccuum and dumped ten ticks in a blink on very little volume. Hard to imagine on a contract as liquid as the Bund right? 56 was the LOD at this point, you can see what looks like stops being pinged around this level, but these prices also attracted buyers. Clearly this was a mispricing opportunity for short term traders to capitalise on. The market moved back to the 70 level fairly quickly.