Delta Buy/Sell Volume

[sbgtrading]

Here is the chart for a 1 min ES chart on 3/6/08 morning around 2:00 am EST. Note that at 2:06 am EST, delta as shown in Ninja appears to be around +250. But the MD version shows it as around +150.

I don't think you're doing anything wrong in loading the indicator...but all my testing showed that this indicator is working correctly. I'll take a look at the raw time and sales data vs. the indicator output and see if there's a discrepancy. And then there is a chance that the MD version is incorrect...we need to get to the bottom of this.

It also could be the way that data is presented to the Ninja platform vs. the way Market Delta gets their data. Basically, both of these indicators hinge on the timing of the change of the Bid and Ask prices. For example, if a large volume transaction comes in at the Bid price on NinjaTrader, it's recorded as sell pressure as it should, but if that same large volume transaction comes on MD and the Bid price has moved lower in a split second, MD doesn't record that large volume transaction as a transaction at the Bid. I'm just kicking around ideas here, but I'm thinking it's one feasible explanation.

Ben

[commodity_trader]

Thanks Sbgtrading for confirming I am loading the indicator properly.

One question is, MD plots/records the delta after the bar is complete. Say for example if delta of say like a 1 min bar, goes up to like 1000 and then falls back to 500,it plots delta as 500 and doesn't show up 1000 in the plot. Plotting 500,which is the actual delta of the 1 min bar is correct I believe. Does this indicator also plot the same way the final delta of the bar? Is it possible to plot this as a histogram on panel 2, instead of continuous line.

Thanks
Commodity_trader

[sbgtrading]

The NT bid/ask cumulative number is updated on each transaction and plotted as such. As you say, MD plots it only after the bar is closed out. So in that way, the two plot differently. The resolution of this "situation" is yet to be achieved.

To answer to your question is yes, you can plot the cumulative delta as a histo very easily, but switching the Plot to "Bars" instead of "Line. You'd probably want to set the DeltaUp and DeltaDown plots to "Transparent" in color so they don't overprint the new Cumulative histo you've created.

Ben

One question is, MD plots/records the delta after the bar is complete. Say for example if delta of say like a 1 min bar, goes up to like 1000 and then falls back to 500,it plots delta as 500 and doesn't show up 1000 in the plot. Plotting 500,which is the actual delta of the 1 min bar is correct I believe. Does this indicator also plot the same way the final delta of the bar? Is it possible to plot this as a histogram on panel 2, instead of continuous line.

[Mavrik00]

I am interested in testing this indicator as well, however, I do not know how to use this text file that is attached to import into NT 6.5 and use as an indicator.

Could someone point me in the right direction on how to use this today? Thanks in advance!

Joe
[email protected]

[sbgtrading]

Hi Joe,
Any ZIP indicator file can be Imported by the NinjaTrader Control Center.

1) Download the ZIP file to your desktop or wherever
2) On the NT Control Center, click on File > Utilities > Import NinjaScript
3) Click "Yes" if you believe the content to be trustworthy
4) Find the ZIP file in the dialog

Ben

I am interested in testing this indicator as well, however, I do not know how to use this text file that is attached to import into NT 6.5 and use as an indicator.

[Mavrik00]

Thanks for the help, where can I find the most recent version of this indicator?

[sbgtrading]

Here they are:

http://www.ninjatrader-support.com/vb/showpost.php?p=24809&postcount=25

http://www.ninjatrader-support.com/vb/showpost.php?p=24809&postcount=46

Thanks for the help, where can I find the most recent version of this indicator?

[Mavrik00]

How do I use this great indicator?

Sorry for cluttering up this thread with these short posts....

I found the file I needed, however, does anyone have information on how to use this thing? Ive got it loaded on my charts and it appears to be working...now...what is this stuff telling me? hehe.

thanks in advance to the group!

Joe
[email protected]

[Ricardo Salas]

Hi Sbgtrading:

Thanks a lot for this indicator. I would like that you add the possibility to remove the dots and to leave only the indicator due to the scale problems.

Additionaly, Is there any possiblity to draw this indicator with candles sticks instead of a continuos line???

Cheers

Ricardo

Hi Joe,
Any ZIP indicator file can be Imported by the NinjaTrader Control Center.

1) Download the ZIP file to your desktop or wherever
2) On the NT Control Center, click on File > Utilities > Import NinjaScript
3) Click "Yes" if you believe the content to be trustworthy
4) Find the ZIP file in the dialog

Ben

[sbgtrading]

Hi Sbgtrading:

Thanks a lot for this indicator. I would like that you add the possibility to remove the dots and to leave only the indicator due to the scale problems.

Additionaly, Is there any possiblity to draw this indicator with candles sticks instead of a continuos line???

Cheers

Ricardo

Hello Ricardo,

You are free to remove the dots by changing their output color. Pull up the indicator parameter screen (Ctrl-I), and change the output color to 'Transparent'.

About your request for candlestick output instead of continuous line, I'm sorry to say that is not possible at the moment. If you would, please suggest that enhancement to the NinjaTrader staff. Perhaps it can be included in a future version of NT.

Ben

[Ricardo Salas]

Thanks Ben fo your answer.

I did not explain well what I wanted in my last post.

If I remove the dots by doing what you suggest, that wont help a lot, because the dots are still placed there and they would not let the indicator to fit automatically with the scale when I choose false in the auto scale option. When the dots are there, the indicator consider the dots and the continuos line and fit both but unfortunately this reduce the size of the continuos line.

Cheers

Ricardo

Hello Ricardo,

You are free to remove the dots by changing their output color. Pull up the indicator parameter screen (Ctrl-I), and change the output color to 'Transparent'.

About your request for candlestick output instead of continuous line, I'm sorry to say that is not possible at the moment. If you would, please suggest that enhancement to the NinjaTrader staff. Perhaps it can be included in a future version of NT.

Ben

[commodity_trader]

Hi Ben,

I have tested the indicator on 1 min ES overnight and they are not calculating the buyvolume/sellvolume/delta correctly. Did you happen to look at the indicator, what the problem might be. Do you think it is anything to do with OnMarketData function?

Thanks
Commodity_trader

[sbgtrading]

New version of indicator posted

ATTENTION:

I've posted a new version of this Cumulative Delta indicator to Post#1 of this thread. Please visit there and download (and test) this version.

Thank you,
Ben

[TiP2012]

Discrepancy between real time calculation and market replay

Hi Ben,

Firstly thanks so much for sharing this indicator. Its very much appreciated.

I have been playing around with it for about a week now. I noticed that there is a big difference between the shape of the chart of cumulative volume delta (bid / ask) between when it is plotted real time on live data and when I replay the data with the market replay tool.

Have you experienced somthing similar? I am using a multi broker license with ZenFire as the primary feed and Interactive Brokers as backup / secondary. The only thing I can think of is that as IB is not a true real time feed, that when the market replay occurs NT takes the tick data from a different source. Is this possible?

Thanks.

TiP2012

PS - I can post some saved charts tomorrow as an example if you wish.

[sbgtrading]

Very interesting...I'll take a look at that. I had not observed the data stream in the market replay function. Since you're using the same indicator on both the live data and the market replay data, my only guess is that the market replay data is different in some way...perhaps the bid/ask values are different? It's worth looking into.

Thanks for the report!

Ben

Hi Ben,

Firstly thanks so much for sharing this indicator. Its very much appreciated.

I have been playing around with it for about a week now. I noticed that there is a big difference between the shape of the chart of cumulative volume delta (bid / ask) between when it is plotted real time on live data and when I replay the data with the market replay tool.

Have you experienced somthing similar? I am using a multi broker license with ZenFire as the primary feed and Interactive Brokers as backup / secondary. The only thing I can think of is that as IB is not a true real time feed, that when the market replay occurs NT takes the tick data from a different source. Is this possible?

Thanks.

TiP2012

PS - I can post some saved charts tomorrow as an example if you wish.