Delta Buy/Sell Volume

[cabmanage]

Delta

Ok, sorry, but here goes. Would someone be kind enough to explain/define, for me, the term "Delta", as it is described and used in this thread?

Thank you very much.

Stan

[samiam30]

http://en.wikipedia.org/wiki/Delta_%28letter%29

http://en.wikipedia.org/wiki/Difference_operator

[sbgtrading]

Ok, sorry, but here goes. Would someone be kind enough to explain/define, for me, the term "Delta", as it is described and used in this thread?

Thank you very much.

Stan

Hi Stan,
These indicators are plotting the "difference" between what is considered buy volume and sell volume. Delta is just the difference.

[pdawg]

SBGtrading- Great work! I installed 6.5 to try this out as I have been wanting to implement this indicator for a while now. Ran it on a couple of days worth of replays on an 89t chart. Seems like a promising tool for catching the divergences(used the beta version below). 10 tick targets were very doable. Look forward to working with this indicator, thanks for your contributions to the NT community.

[samiam30]

Here is a screeenshot of the new cummulative uptick/downtick delta indicator:

http://i239.photobucket.com/albums/ff304/samiam30/Snap1-30.jpg

It seems to be ploting the delta for each time period instead of the cummulative number.

[JeffGus]

Ben,

This work that you have put up here is excellent, but can you just a brief math example to show how these unit deltas are being calculated. Lets us the ER2 for example.

A Bid is hit with 5 lot...that is -5 deltas? An offer is taken with 10 lot so that +10 and a net of +5?

Do you take into consideration if the next trade is still at the offer with a 5 lot but this is not an uptick, but an equal tick but is still on the offer and would be a +5 count..so out net now goes to +10?

And than what time will this start over on one min chart 59 secs 00 sec or 01 sec?

I just want to get this straight as I use this in conjunction with program our programmer uses that uses the footprint concept form MD and would like to get the two in sync.

Here is my example to figure this out. I used time and sales and counted up the trades on bid and offer and starting at 00 sec my count came to +19 while the delta counter in the top left only got to +12...thus trying to find the issues here.

Thanks again for contribution.

[sbgtrading]

Corrected indicator has been attached

New (corrected) file has been attached to Post#46


Ben

[samiam30]

Thanks sbtrading, it appears to be working fine now.

[samiam30]

Here are a couple of screenshots of the updated version plotted in the same window as the cummulative Bid/Ask delta (it's interesting that the numbers are quite different):

http://i239.photobucket.com/albums/ff304/samiam30/Snap1-31.jpg

http://i239.photobucket.com/albums/ff304/samiam30/Snap1-32.jpg

[Gibby]

Average Delta instead of Cumulative

It would be awesome to be able to set an average period to apply to delta (for example to apply to a volume chart) to see if the average say 10 period delta is either buy or sell biased in a histogram format.

[Fulcrum]

It would be awesome to be able to set an average period to apply to delta (for example to apply to a volume chart) to see if the average say 10 period delta is either buy or sell biased in a histogram format.

I currently do this with Investor RT "Volume Breakdown" tool....sshhhhhh!

[sbgtrading]

Hi Gibby...I'm not sure I follow your suggestion...are you saying just put a SMA on the current Cumulative volume line?

It would be awesome to be able to set an average period to apply to delta (for example to apply to a volume chart) to see if the average say 10 period delta is either buy or sell biased in a histogram format.

[Gibby]

Average Delta

No, I am trying to get a moving average of net buying or selling volume over a user defined period of time, such as 10 periods. This way as price moves up or down we can see if there is on average more or less net buying or selling coming into the market.

[sbgtrading]

So, you want the 10-bar average of buy volume plotted, and the 10-bar average of selling volume plotted. Or, do you want the 10-bar average of the net (buy minus sell) volume? Both are possible, the first is two moving averages and the second is one moving average.

Buy Volume, Sell Volume , Net
10, 2, 8
3 , 10, -7
4 , 100, -96
6 , 20, -14
1 , 10, -9
70 , 5, 65
10 , 6, 4
10 , 10, 0
8 , 40, -32
10 , 10, 0
10 bar Avg Buy, 10 bar Avg Sell, 10 bar Avg net,
13.2, 21.3, -8.1

Ben

No, I am trying to get a moving average of net buying or selling volume over a user defined period of time, such as 10 periods. This way as price moves up or down we can see if there is on average more or less net buying or selling coming into the market.

[Gibby]

I think the net buying or selling per bar (delta) is the most important, so a moving average of the net makes the most sense to me. Say green histogram above a zero line while the net is positive and red below. And if there was an option to just show the basic delta per bar in the same manner, you could look at your chart and add up the total delta on a price move up over a defined range, versus the total delta on a price move down over a similar sized nearby range, to get a clue as to whether the next move will be a continuation or a reversal based on the total delta difference over those compared ranges. For example. if the first move was up and the second move was down and there was much less total selling delta on the way down than there was total delta buying on the way up, plus the latest per bar delta is turning positive again, it's more likely price will go back up, rather than continue down.