What's the difference between taking the offer and having an up volume. Conversely, having a dn volume and hitting the bid? I love marketdelta, but IB's snapshot data just doesnt make the delta accurate enough. So, i want to replace it a little bit with UpDn tick data. Is having an up volume same as taking the offer? Thank you.
I'm quite sure that uptick/downtick is different (although there will be bound to be overlaps) from the offer/bid. If I remembered correctly, I ever had 2 T&S running side by side (1 showing uptick/downtick coloring while the other showed bid/ask coloring)--they were different. (this was quite a while ago, so I hope I got it correct). Even if you think through an example, IMHO, it should be different.
They are different and you need real tick-by-tick data for any market delta computations...........if you watch some of the video's at www.marketdelta.com everything should make sense to you.
An Uptick is a higher tick a Downtick is a lower tick. A side tick is the same as the last one (though it is usually asigned to be the same as the last directional tick recieved). Market Delta looks at volume @ bid and volume @ ask. The fomer is assigned a negative value the latter a positive. The sum of the two is the 'Delta'. So quite different. The assumption is that trades at the ask are 'aggresive' buying and trades at the bid are 'aggresive' selling. Put another way they are market buys and market sells. Be aware that it is not as simple as +ve delta = buyers, in fact I would say in most market phases it is the reverse - when accumulating or distributing large positions the big boys will tend not to use market orders! If you check the marketdelta.com blogspot I wrote a piece about this that is reptoduced there. I know 5 pillars likes his IQfeed ;-) but I do think IB is probably 'good enough' for most things despite aggregating. I guess it depends, the ebs flows and shifts seem pretty clear. However I think 5 has a mechancical systems based on things like absolute delta at the open so perhaps his perspective is different. Cheers, Nick.
Logically they are the same. I still dont see the difference. Please tell me a situation where they are different. Let say we are open at 10 bid on 200, 50 at 20 1st trade: 10 lots at 20 traded - MD: +10, UpVolume: 10 2nd trade: 40 lots at 20 traded - MD: +40, UpVolume: 40 Now we are 10 bid on 200, 100 at 30 3rd trade: 100 lots at 30 traded - MD: +100, UpVolume: 100 Now we are 20 bid on 10, 100 at 40 4th trade: 10 lots at 20 traded - MD: -10, Dn Volume: 10 That's is what is happening all day. I cant see the diffrence between MD, and UpDn Volume
Here is the only difference i can think of say we are .25 bid at .50 offer on the minis where .50 is taken and now we are .50 at .75 and .75 never traded, and the .50 keeps getting hit. It wouldnt make a big difference for the delta and the UpDn Volume, because the .50 bid cant be big size without the .75 trade.
I am testing it on the slow overnight market right now. I dont see that big of a difference watching the Bid/offer and the UpDn tick. I know they are different in a sense they are apple and oranges. But if they yield the same result. Who cares? Is there any way Trevor from marketdelta can reply and give an example when there will be a difference between an uptick and a trade at the offer? Thank you!
Ahh Ok originaly you asked about upticks/downticks rather than upvol downvol. They are still different just because a trade is on the ask dosent mean that the last tick was an uptick. If price is at X and X is sometimes on the bid and sometimes on the ask (i.e. bid and ask are moving around it) the deltas is assigned acordingly. With upvol downvol it will alll go on one or the other depending on the last directional tick. Cheers.
That is only if u only have 1 price trading. As long as both the bid and ask printed at some point, the up down vol should reflect the price traded at the bid or ask pretty good. Of course, if u have only higher and higher bid keeps getting hit, than it would make a big difference. I dont think that's a reality under normal condition tho.
If the .50 keeps getting traders who want to be LONG filled at that level with "limit" orders they would not be counted towards the positive delta............now if they start popping the .75 level with "INITIATED" buying as "market" buy orders, then those would be counted towards the positive delta. The "delta" computation is counting traders orders that where not willing to wait for the best price at the moment.....they count the "I just want in, and right now at market dictated pricing" orders. For myself, the "delta" during the day can be read very easily and it makes a lot of sense to me to visualize the change of rate of "initiated" trade activity. I really can't think of any scenario's where I could say the "delta" faked me out.....I just don't see that behavior from market delta readings. Again as others have said, the "delta" is not necessarily a stand alone trading tool.........it is just a raw look at all the "initiated" trading volume parsed out from the total volume traded at all price levels. Also, I can set my "delta" chart to filter trade size (100 lots and above, etc) and that is very interesting to watch at times when you see the little guys doing one thing (total delta which includes orders as small as 1 lot) and the big boys doing another (filtered big lot delta). Sometimes at key price levels the little guys will be initiating order flow on the "sell" side while the big lot traders are initiating orders on the "buy" side................so who do you think usually wins these battles. I have watched the "delta" enough now over the past two years to know what to look for, so it has become a vital tool for my discretionary trading. I guess you could say I have learned to not fight the "delta" with trades.