Delta Buy/Sell Volume

[gomifromparis]

Gomi can you please read this post and the one following it:

http://www.traderslaboratory.com/forums/56/volume-splitter-5824-45.html#post73476

then jump to this post as it mentions your indicator and something about "potential race conditions"

http://www.traderslaboratory.com/forums/56/volume-splitter-5824-46.html#post73482

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I've seen some stuff concerning "race conditions" in GomCD, but I don't think it's an issue. The idea underlying is that if the bid/ask info and the trade info are sent asynchronously, they might arrive in an incorrect order, and the delta computation may be false (because you compare the last trade with a false bid or ask)

However, I don't think it's the case for 3 reasons :

1) There is no evidence that bid/ask info and trade info is sent asynchronously by the exchanges, and by the data feed. I even don't see why bid/ask info should be asynchronous. At the exchange level, the bot making the trades has to have the correct bid/ask info. So the bid/ask info and trade info should be synchronous at the exchange level. I don't see why they would become asynchronous later on the data feed level. I may be completely mistaken, so if anyone has the correct info, it would be cool to enlight us.

2) Bid/ask info and trade info are processed in the same event loop, OnMarketData, so if they arrive in the correct order to NT, they are processed in the same correct order.

3) I don't think there's multithreading implemented in the data processing layer in NT. The logic is event-driven (OnUpdate, OnMarketData etc), but event-driven does not mean multithreaded. For that you would need to launch event listener threads, an I don't think it's the case. Try opening charts, you will see it doesn't change the thread count. So I don't see any multi-threaded "race" conditions appearing at the NT level.

[gomifromparis]

Delta Momentum indicator works very nice.
Thank you Gomi.

indic=Momentum(GomCD(GomCDCalculationModeType.BidAsk,GomCDChartType.CumulativeChart,GomFileFormat.Binary,GomFilterModeType.None,0,false).DeltaClose,5);

I wanted to plot Momentum with trade size bigger the 99, in the GomCDDemoindicator any ideas how to archive that one?

R

Just think about the meaning of the parameter list you typed, you have to understand them, specifically GomFilterModeType and following

[deanz]

Ok so I checked the indicator on a 1 Tick chart and noticed some trades were not being used in the GomCD running total, can anyone explain this ?

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[gomifromparis]

Probably ticks that are between bid and ask.
You can try the GomTickType indicator, it shows the ticktype (only works in slow markets with not more than 1 tick/second)

TickType values, starting at 0, are BelowBid,AtBid,BetweenBidAsk,AtAsk,AboveAsk,Unknow n

So a value of 2 is BetweenBidAsk and is not used for computations.

[deanz]

Probably ticks that are between bid and ask..

Thanks for the reply but I don't think that Indicator is working correctly either. Check out the Time and Sales window in that chart I showed, the Black Text is Between Bid and Ask, the Green Text is at the Ask and the Blue Text is at the Bid.... I have not changed the Properties/Colours of the T & S window so anyone opening up theirs as per factory settings can see how mine is setup. {Right Click T & S window and select Properties}

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[timmyb]

You have to edit by hand your files and copy/paste the missing part.
you will see lines that contain date/time info. Caution, time is stored in UTC format.

for instance if you see
0906021817 2531
06 3 5 50
09 1 5 15
3 6 171
4 7 2
3 6 14
2 6 83

090602 is the date 1817 is time/min in UTC.
then the lines that contain 4 numbers contain seconds (06 , 09 ) in the example.

the lines that contain 3 numbers represent data arriving on the same second than the last second (09 in the example)

So just so I know i have this right. I got a file that was binary, I converted it to flat so i can understand it more easily. I took the main big file i have and also converted to flat. I found the time i was missing copy and pasted to the bigger file (my original) then hit save. So now can i just place this flat file in my documents and it will load or do i need to convert to short and place in my documents.

thanks

tim

[timmyb]

Thanks for the reply but I don't think that Indicator is working correctly either. Check out the Time and Sales window in that chart I showed, the Black Text is Between Bid and Ask, the Green Text is at the Ask and the Blue Text is at the Bid.... I have not changed the Properties/Colours of the T & S window so anyone opening up theirs as per factory settings can see how mine is setup. {Right Click T & S window and select Properties}

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I see soem discussion of whether the indicator is working properly. I have been using it for months now with no real issues even comparing time and sales. Fulcrum traders charts resemble mine almost perfectly. And he is not using the ninja platform. But once again i thank gomi for his understanding and help when people have issues.

[gomifromparis]

So just so I know i have this right. I got a file that was binary, I converted it to flat so i can understand it more easily. I took the main big file i have and also converted to flat. I found the time i was missing copy and pasted to the bigger file (my original) then hit save. So now can i just place this flat file in my documents and it will load or do i need to convert to short and place in my documents.

You can use Flat file "as is", but it has to be renamed "ES XXXX.Flat.txt", and you must choose "Flat" of course as file format in gomCD. Or you can convert to short or binary, and use those instead. Up to you, really :-)

[gomifromparis]

Thanks for the reply but I don't think that Indicator is working correctly either. Check out the Time and Sales window in that chart I showed, the Black Text is Between Bid and Ask, the Green Text is at the Ask and the Blue Text is at the Bid.... I have not changed the Properties/Colours of the T & S window so anyone opening up theirs as per factory settings can see how mine is setup.

Sorry but couldn't reproduce your problem. I Tried running market replay too, and either in live or in historical mode, GomCD data is OK for me (not like your chart).

By the way, the 1,9 and 2 vol ticks that take your GomCD from 550 to 538 are correctly used. But as they happen in the same second, the total is applied on the first tick. That's why instead of 550 549 540 538 you get 550 538 538 538.

[deanz]

Sorry but couldn't reproduce your problem. I Tried running market replay too, and either in live or in historical mode, GomCD data is OK for me (not like your chart).

Yes I have tried to again and again on replay data, and live, both with and without Video Capture running as I was doing when I made that chart, and I can not reproduce it again either. My bad. Thanks for taking the time to try to reproduce.

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[timmyb]

Yes I have tried to again and again on replay data, and live, both with and without Video Capture running as I was doing when I made that chart, and I can not reproduce it again either. My bad. Thanks for taking the time to try to reproduce.

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I am missing Sunday-mid Monday data, from not hitting refresh, I was curious if anyone could be so kind to share that data file with me so i can rebuild my data.

Thanks tim

[timmyb]

Is anyone able to get numbers over 100,000 to display the 000 instead of 100k and if so how. thanks

tim

[pfx111]

Hints to clone the indicator

First of all THANKS to Gomi.
I think your indicator (with the understanding of limit of the limits of the underling data feed) is one of the most interesting in the NT world.
One questions.
I want to use GomCD indicator in customized ways (ex. with different filtering size).
**On the same symbols** everything is OK, the only need is to rename some methods.
On different symbol is more difficult.
I' ve tried to rename the methods of GomRecorderIndicator, but no way.
In particular the "new" clone seem always using inidcator of this type.
GomCDclone(<unknown>,<unknown>,<unknown>,<unknown> ,<unknown>)

Gomi, can you suggest some hints (in particular in the overall design of the indicator) to help in customizing GomCD in order to build customized "Clones" in parallel?

Thanks anyway

Paolo

[gomifromparis]

I' ve tried to rename the methods of GomRecorderIndicator, but no way.
In particular the "new" clone seem always using inidcator of this type.
GomCDclone(<unknown>,<unknown>,<unknown>,<unknown> ,<unknown>)

Paolo

This error happens when the indicator doesn't find the data file. You have to set "write" property to True to have one indicator generating the file. Apart from that I don't see why you should observe any difference between same symbol and different symbols. Could you clarify the problems ?

[qewcool]

i compared the GomCD with the screens on fulcrum website and they dont match at all

Anyone done the comparison.

I am using GomCD with IB intraday data. both bid/ask and tick methods dont match with fulcrum screens. So we dont really know if the indicator is good although it is a great effort from gomi to post it.

But I realized fulcrum is using another software completely so maybe you guys are not even discussing the same thing ( the same chart or data or indicator)

anyone using this with IB data can confirm ?