Delta Buy/Sell Volume

[Pepperdog]

Any recent developments on this? It seems this thread has died out.

So far I have tracked down 2 of Ben's indicators (thanks for creating them!): the CumulativeVolumeOrTick from this thread, and another DeltaBSVNormalized indicator, which includes an EMA line (not sure where I found this one). Can someone point me towards a non-cumulative version of the first? I guess that would be the original version of the Cumulative one?

Thanks.

[rally]

Hi Ben,

Just found this indicator. This indicator looks very similar to the CVD indicator in trading technologies X-Trader, is it the same or a similar idea?

[rally]

Hi Jack,

The bad news is this indicator, like all bid/ask volume indicators in NinjaTrader, requires live data to be gathered. It doesn't work with historical data. In other words, you must load this indicator early in the day, then as time (and trade activity) passes, the data will be gathered and the indicator output will be relevant.

Also, be aware, that any recalculation of indicators on that chart will ZERO-OUT any gathered data. There has been quite a bit of discussion on this forum concerning this and the use of globals to retain this type of data. Hopefully, that will get resolved. Until then, be aware of this limitation.

Ben

A question for the NT staff, is there a fix in the pipeline for this problem?

This is a real problem because you have to have so many charts open etc to gather this data and it's really depressing to lose it all just by closing a chart

[NinjaTrader_Dierk]

NT7 will manage historical bid/ask data. Beta by the end of this year.

[timmyb]

I have to strongly agree, if i want to add antoher indicator i lose all live values, absolutely rediculous. Especially having to wait 6 months for a fix.

[greentrader]

OnMarketData use

Hi all. I just wanted to verify that code such as the following was the proper way to accumulate net bid/ask volume from within OnMarketData:

if (e.Price >= e.MarketData.Ask.Price)
netVol += e.Volume;
else if (e.Price <= e.MarketData.Bid.Price)
netVol -= e.Volume;

when e.MarketDataType == MarketDataType.Last

In other words, does "e.Price" contain the last trade price, and e.MarketData.Ask.Price and e.MarketData.Bid.Price the last reported ask and bid prices? And should such trades seen in OnMarketData exactly match those seen in NT's T&S window? Or are there some timing issues I'm unaware of? Thanks.

------------
Also, when Josh wrote,

"I would check the e.MarketDataType with MarketDataType.Ask or .Bid first. Then aggregate Volume based on the Price after I determine the Market Data Type."

Does that mean that it's best to track bid and ask via the routine's bid and ask messages, rather than using e.MarketData.Ask/Bid.Price? Or is the "current" bid/ask at the time of a trade best obtained in some other way?

-------------
I see that NT Ray answered this question a few months ago:

- Create bid/ask price variables outside of OnMarketData()
- Monitor OnMarketData() to update these variables
- Monitor OnMarketData() for the last price event and compare this price to the variables to determine whether to add/subtract from delta

Have rewritten routine to follow that advice and will compare results to NT's T&S window tomorrow...

[greentrader]

verification

Verified that NT Ray's approach agrees with T&S window for ES, NQ, and ER2:

- Create bid/ask price variables outside of OnMarketData()
- Monitor OnMarketData() to update these variables
- Monitor OnMarketData() for the last price event and compare this price to the variables to determine whether to add/subtract from delta

[fy260498]

Kind Attention: sbgtrading

Hi sbgtrading,

This is Yusuf. As usual wanted to appreciate your work as I recently saw the Delta BuySell Volume Indicator that seems to serve some purpose in refining the entry point of a trade. Thanks for that. I just wonder if you can add an option to define the lot size as well as the user input. For example allow a set of 3 user variables where the user input would consist of lot sizes. Lets say I use the inputs to be 50, 100 and 200. This means I am looking at this indicator to plot 3 Delta Buy Sell Volume Dots for lot sizes greater than 50, 100 and 200 respectively with a possiblity of configuring the size an color of the dots to be plotted. This would be great as it would isolate big traders from others and give us an info as the market is long or short in terms of big players with respect to small players. See if you can do that or atleast let me know if that is possible so that I will try it out.

Thanks anyways,
Best regards,
Yusuf SHAIKH

[trader65]

hi sbgtrading,
great work.....i noticed the cumulative delta line (curve) is not updated on last candle....is it possible to change that so we have it update to the last tick? also it would be great if we could plot that line as a candle or ohlc bar so we could see the pressure during last price bar is forming....great indicator to spot divergencies afterall...many thanks.

kon

[trader65]

Everything that works in 6.0 should work in 6.5...the problem is that not everything that works in 6.5 works in 6.0. They are not backward compatible.

Ben

hi sbgtrading,
great work.....i noticed the cumulative delta line (curve) is not updated on last candle....is it possible to change that so we have it update to the last tick? also it would be great if we could plot that line as a candle or ohlc bar so we could see the pressure during last price bar is forming....great indicator to spot divergencies afterall...many thanks.

kon

[jasonf]

like only use order of 200 or more contracts (you pick). and only plot the delta buy/sell from orders of that size.

anyone know how to edit the code for this?

[Pepperdog]

anyone know how to edit the code for this?

I added a variable to define the volume limit (Vol_Lim in my code), then went and changed the if statements in the OnMarketData section of the code by adding a second condition to the IF statement, like so:

if(ctype == CVOTL_OutputType.BidAskVolume)
{
if ((e.Price >= e.MarketData.Ask.Price) && (e.Volume >= Vol_Lim)) { buys += e.Volume; Total += e.Volume; }
else if ((e.Price <= e.MarketData.Bid.Price) && (e.Volume >= Vol_Lim)) { sells += e.Volume; Total -= e.Volume; }
}
else if(ctype == CVOTL_OutputType.UpDownTickVolume)
{
if(e.Price > LastTransactedPrice) Direction = 1;
if(e.Price < LastTransactedPrice) Direction = -1;
if((Direction == 1) && (e.Volume >= Vol_Lim)) { buys += e.Volume; Total += e.Volume; }
if((Direction == -1) && (e.Volume >= Vol_Lim)) { sells += e.Volume; Total -= e.Volume; }
LastTransactedPrice = e.Price;
}
else if(ctype == CVOTL_OutputType.TickCount)
{
if((e.Price > LastTransactedPrice) && (e.Volume >= Vol_Lim)) { buys++; Total++; }
if((e.Price < LastTransactedPrice) && (e.Volume >= Vol_Lim)) { sells++; Total--; }
LastTransactedPrice = e.Price;
}

It seems to work fine, but I've not really tested it or been using this indicator until NT will not lose the data on a chart/indicator reload. Hopefully version 7 corrects this and will appear soon!

[commodity_trader]

Hi PepperDog,

Can you please post the version you have in .zip form, so that one of the users can test it and compare it to like Time and Sales (possibly during slow After hours) to see if it is calculating delta correctly.

Thanks
Commodity_Trader

[alleillo]

could someone explain me what kind of informations give more time and sales respect the book?

[trader65]

delta diverg

hi sbgtrading,
great work.....i noticed the cumulative delta line (curve) is not updated on last candle....is it possible to change that so we have it update to the last tick? also it would be great if we could plot that line as a candle or ohlc bar so we could see the pressure during last price bar is forming....great indicator to spot divergencies afterall...many thanks.

kon