Delta Buy/Sell Volume

[gomifromparis]

Ok, I'll try, thanks a lot!

You might need to use the GomOnMarketDataWithTime(DateTime tickTime, TickTypeEnum tickType,double price,int volume,bool firstTickOfBar) method to get access to the DateTime data

[toulouse-lautrec]

re the new GOMFOLDER environment variable (thanks gomi for all these clever updates !)

has anyone experience using that feature to record on a separate system which is online 24x7 and has the folder containing the data shared on a network?
I am thinking of setting this up and wanted to know if there are any traps to look out for.

[rt-trader]

Gomi,

Unfortunately the blank charts are back again.. with a twist.

Last time the data was there but wasnt plotting. This time the data is wasnt recorded for the entire Monday session (local time - using the Session template as per post #586).

I cross checked this by reverting to NT6.5 and using GOMCD 5.5 there was no plot for the day session. ES was also similarly affected.

It must be something to do with the weekend.... any ideas?

Thanks

[gomifromparis]

It seems that your recording problem is still here, but I don't understand where it's not working. Anyway the recording process doesn't go through any time filtering, any tick arriving in OnMarketData will get recorded,whatever the session settings are.

I'll try to run NT7 longer, maybe it'll happen to me too.

[rt-trader]

Gomi,

Its working fine again now - I think this is a problem for Mondays only so if you test look for it to fail then. There must be some interaction between GOMCD and NT7 session setup which causes this to happen.

[pfx111]

Thanks again Gomi.

Some (various) questions on GomCD.

i)
Is there a way to combine in a GomCDDemoIndicator something like that (differerence between BidAsk and UpDownTick)::

indic= GomCD(GomCDCalculationModeType.BidAsk,GomCDChartTy pe.NonCumulativeChart,GomFileFormat.Binary,GomFilt erModeType.None,0,false)
- GomCD(GomCDCalculationModeType.UpDownTick,GomCDCha rtType.NonCumulativeChart,GomFileFormat.Binary,Gom FilterModeType.None,0,false)

*****
ii)
In the same way something like that (divergences from Price):
indic1 = GomCD(GomCDCalculationModeType.BidAsk,GomCDChartTy pe.CumulativeChart,GomFileFormat.Binary,GomFilterM odeType.None,0,false) - Close[0]

or to observe GomCD differences in timeframe longer than the basic with NonCumulative

indic2 = GomCD(GomCDCalculationModeType.BidAsk,GomCDChartTy pe.CumulativeChart,GomFileFormat.Binary,GomFilterM odeType.None,0,false)[0]
- GomCD(GomCDCalculationModeType.BidAsk,GomCDChartTy pe.CumulativeChart,GomFileFormat.Binary,GomFilterM odeType.None,0,false)[4]


Thanks for any suggestion.

Paolo

[gomifromparis]

You can't use GomCD like that, you must use one of the exposed timeseries (DeltaOpen,DeltaClose,DeltaHigh, DeltaLow)

1) in the init part,
indic1=GomCD(GomCDCalculationModeType.BidAsk,GomCD ChartTy pe.NonCumulativeChart,GomFileFormat.Binary,GomFilt erModeType.None,0,false);
indic2=GomCD(GomCDCalculationModeType.UpDownTick,G omCDCha rtType.NonCumulativeChart,GomFileFormat.Binary,Gom FilterModeType.None,0,false);


then in OnBarUpdate,
delta=indic1.DeltaClose[0]-indic2.DeltaClose[0];



2) in the init part
indic = GomCD(GomCDCalculationModeType.BidAsk,GomCDChartTy pe.CumulativeChart,GomFileFormat.Binary,GomFilterM odeType.None,0,false);

in the onbarupdate:
delta=indic.DeltaClose[0]-Close[0];

3) in the init part
indic = GomCD(GomCDCalculationModeType.BidAsk,GomCDChartTy pe.CumulativeChart,GomFileFormat.Binary,GomFilterM odeType.None,0,false);

in onbarupdate:
delta=indic.DeltaClose[0]-indic.DeltaClose[4];


etc..

[warrior]

Nt7

Thank you Gomi for excellent work. You are tha man! A question on NT7 for all the NT7 experts here - I thought with NT7 the bid/ask volume data was stored in NT7 database and any indicator that uses historical bid/ask volume data would not have to create its own files for storing that such as the way GomCD works. So, such indicators should be able to directly pull historical bid/ask volume data from the database and work. Was that feature dropped from NT7? That would have been a big help since then GomCD indicator would just work even if you dont have the indicator running 24x7. thanks in advance.

[gomifromparis]

Take a look on NT 7 threads.
Basically bid/ask data is stored, but bid, ask, and price info are not synchronized. So you you can't use it to reconstruct the current bid/ask at a specific tick. So you're back to 24/7 recording !

[gomifromparis]

Here's a recorder version of VolumeProfile for those that might want to use historical data

[Ricam]

Exposing GomCD timeseries, and recording price as well as volume

Hello Gomi. Thanks for your great work.

Here are a couple of ideas:

Can GomCD be changed to expose the four dataseries: dsHigh, dsLow, dsOpen, and dsClose, to make it easier to write indicators based on them?

When GomCD records the bid ask volume data to a file, could it also record the price data in synchrony. Would it then be theoretically possible to modify indicators or create them in another application (Excel?) to get around the historical bid ask data limitations of NT7?

[gomifromparis]

Can GomCD be changed to expose the four dataseries: dsHigh, dsLow, dsOpen, and dsClose, to make it easier to write indicators based on them?

Already done , they're called DeltaClose DeltaOpen etc.

When GomCD records the bid ask volume data to a file, could it also record the price data in synchrony.

Done

Would it then be theoretically possible to modify indicators or create them in another application (Excel?) to get around the historical bid ask data limitations of NT7?

Done (see SMA example in 5.4 or 5.3)

Maybe you should do some reading in this thread...

[Ricam]

Thanks again, Gomi

I read the relevant posts and am running some custom indicators on NT7B4.

Everything is working, including recording and persistence on charts, of CD based indicators.

Just wanted to thank you not only for the indicators but for the very helpful followup postings. Sorry about any earlier obtuseness.

[gomifromparis]

Glad you could adapt it to your needs!

[turbotrader]

2. How do I flush out the recorded data and start fresh? When I was first tinkering around with the recorder, I saved a few bars of delta (ie. -1500 contracts), and now every chart I open includes that and starts at -1500.

Hi,

same problem here? How can I reset the data?

Thanks!